Predictability of threshold exceedances in dynamical systems

Abstract

In a low-order model of the general circulation of the atmosphere we examine the predictability of threshold exceedance events of certain observables. The likelihood of such binary events -- the cornerstone also for the categoric (as opposed to probabilistic) prediction of threshold exceedences -- is established from long time series of one or more observables of the same system. The prediction skill is measured by a summary index of the ROC curve that relates the hit- and false alarm rates. Our results for the examined systems suggest that exceedances of higher thresholds are more predictable; or in other words: rare large magnitude, i.e., extreme, events are more predictable than frequent typical events. We find this to hold provided that the bin size for binning time series data is optimized, but not necessarily otherwise. This can be viewed as a confirmation of a counterintuitive (and seemingly contrafactual) statement that was previously formulated for more simple autoregressive stochastic processes. However, we argue that for dynamical systems in general it may be typical only, but not universally true. We argue that when there is a sufficient amount of data depending on the precision of observation, the skill of a class of data-driven categoric predictions of threshold exceedences approximates the skill of the analogous model-driven prediction, assuming strictly no model errors. Furthermore, we show that a quantity commonly regarded as a measure of predictability, the finite-time maximal Lyapunov exponent, does not correspond directly to the ROC-based measure of prediction skill when they are viewed as functions of the prediction lead time and the threshold level. This points to the fact that even if the Lyapunov exponent as an intrinsic property of the system, measuring the instability of trajectories, determines predictability, it does that in a nontrivial manner.