A Markov regime-switching framework to forecast El Niño Southern Oscillation patterns

Iván Cárdenas-Gallo (), Raha Akhavan-Tabatabaei (), Mauricio Sánchez-Silva () and Emilio Bastidas-Arteaga ()

Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, 2016, vol. 81, issue 2, 829-843

Abstract: The El Niño Southern Oscillation (ENSO) is an ocean–atmosphere phenomenon involving sustained sea surface temperature fluctuations in the Pacific Ocean, causing disruptions in the behavior of the ocean and atmosphere. We develop a Markov-switching autoregressive model to describe the Southern Oscillation Index (SOI), a variable that explains ENSO, using two autoregressive processes to describe the time evolution of SOI, each of which associated with a specific phase of ENSO. The switching between these two models is governed by a discrete-time Markov chain, with time-varying transition probabilities. Then, we extend the model using sinusoidal functions to forecast future values of SOI. The results can be used as a decision-making tool in the process of risk mitigation against weather- and climate-related disasters. Copyright Springer Science+Business Media Dordrecht 2016

Keywords: ENSO; Markov-switching; Autoregressive processes; Forecasting; Regimes (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1007/s11069-015-2106-y (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:nathaz:v:81:y:2016:i:2:p:829-843

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/11069

DOI: 10.1007/s11069-015-2106-y

Access Statistics for this article

Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards is currently edited by Thomas Glade, Tad S. Murty and Vladimír Schenk

More articles in Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards from Springer, International Society for the Prevention and Mitigation of Natural Hazards
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().