[Statlist] ETH/UZH Research Seminar by Sebastian Lerch, Karlsruhe Institute of Technology, 17.03.2023

[Maurer Letizia]

We are glad to announce the following talk in the ETH/UZH Research Seminar:

"Generative machine learning methods for multivariate ensemble post-​processing"   
Sebastian Lerch, Karlsruhe Institute of Technology

Time: Friday,  17.03.2023 at 15.15 h
Place: ETH Zurich, HG G 19.1

Abstract: Ensemble weather forecasts based on multiple runs of numerical weather prediction models typically show systematic errors and require post-​processing to obtain reliable forecasts. Accurately modeling multivariate dependencies is crucial in many practical applications, and various approaches to multivariate post-​processing have been proposed where ensemble predictions are first post-​processed separately in each margin and multivariate dependencies are then restored via copulas. These two-​step methods share common key limitations, in particular the difficulty to include additional predictors in modeling the dependencies. We propose a novel multivariate post-​processing method based on generative machine learning to address these challenges. In this new class of nonparametric data-​driven distributional regression models, samples from the multivariate forecast distribution are directly obtained as output of a generative neural network. The generative model is trained by optimizing a proper scoring rule which measures the discrepancy between the generated and observed data, conditional on exogenous input variables. Our method does not require parametric assumptions on univariate distributions or multivariate dependencies and allows for incorporating arbitrary predictors. In two case studies on multivariate temperature and wind speed forecasting at weather stations over Germany, our generative model shows significant improvements over state-​of-the-art methods and particularly improves the representation of spatial dependencies. A preprint is available at https://arxiv.org/abs/2211.01345.

Seminar website: https://math.ethz.ch/sfs/news-and-events/research-seminar.html

Research Seminar – Seminar for Statistics | ETH Zurich
math.ethz.ch


Organisers: A. Bandeira, P. L. Bühlmann, R. Furrer, L. Held, T. Hothorn, D. Kozbur, N. Meinshausen, J. Peters, S. van de Geer, M. Wolf