A Markov Regime-Switching Framework Application for Describing El Niño Southern Oscillation (ENSO) Patterns

Iván Cárdenas-Gallo (1, 2) , Mauricio Sánchez-Silva (1) , Raha Akhavan-Tabatabaei (2) , Emilio Bastidas-Arteaga (3)

1 Department of Civil and Environmental Engineering
2 COPA - Centro para la Optimización y Probabilidad Aplicada, Departamento de Ingeniería Industrial
3 TRUST - Contrôle de santé fiabilité et calcul des structures

The El Niño-Southern Oscillation (ENSO) is an ocean – atmosphere phenomenon that involves sustained sea surface temperature fluctuations in the Pacific Ocean. This causes disruption in the behavior of the ocean and the atmosphere having important consequences on the global weather. This paper develops a stochastic model to describe El Niño-Southern Oscillation patterns. A Markov Switching Autoregressive model (MS-AR) was implemented to fit the Southern Oscillation Index (SOI), a variable that explains the phenomenon. The model consists of two autoregressive processes describing the time evolution of SOI, each of which associated with a specific phase of ENSO (El Niño and la Niña). The switching between these two models is governed by a discrete time Markov chain. We study the advantages of incorporating time-varying transition probabilities between them and show that the fitted model provides an adequate description of the time series, and demonstrate its utility in analysis and evaluation of the phenomenon

Mots clés: markov chain; Auto regressive models; ENSO

Domaines: Génie civil; Matériaux; Milieux et Changements globaux; Océan, Atmosphère

Iván Cárdenas-Gallo, Mauricio Sánchez-Silva, Raha Akhavan-Tabatabaei, Emilio Bastidas-Arteaga. A Markov Regime-Switching Framework Application for Describing El Niño Southern Oscillation (ENSO) Patterns. 12th International Conference on Applications of Statistics and Probability in Civil Engineering (ICASP12), Jul 2015, Vancouver, Canada. ⟨10.14288/1.0076152⟩. ⟨hal-01316237⟩