Add and validate GEV preprocessing step

[perrette]

After the NGFS workshop preparation call, and preliminary discussion with @NiklasSchwind and Carl, we'll want to do GEV fitting inside the 21-year window instead of calculating the climatic average. This would require some validation and possible variations such as detrending the data inside the window, to avoid artificially distorting the GEV distribution.

[NiklasSchwind]

Good idea! However, as the GEV median and the mean won't exactly match and this introduces another assumption I would keep it an optional preprocessing step :)

[perrette]

Does it come to mind because of the importance of skewness in GEV fitting? On the other hand, precisely because of its importance, we might want to correct for it. Anyway, we can do sensitivity tests, see how strong the impact is, and decide then what the default should be. On a more general note, the processing of climate model data is not an exact science...

[perrette]

But I do agree detrending comes with tradeoffs and it needs careful assessment of whether the cure is better than the ill. E..g probably not a good idea to detrending selectively on 21 years worth of local data. If anything, we'd need to model the trend in a robust manner that does not add to the variability. A reasonably elegant (because self consistent) idea would be to use our model for the 21-year mean, perhaps (but not necessarily) calibrated on a per model basis, to remove the mean.

[NiklasSchwind]

I wouldn't put it as default as I think that doing that would limit the applicability of the emulator to GEV-distributed extreme indicators. E.g. rx1day is distributed with a GEV but tas is probably distributed normally, and flood depth probably has a completely different underlying distribution. So using the GEV per default would limit the applicability of our emulator to rx1day in this case while keeping it optional adds to the applicability.

I even wouldn't count the GEV fit/mean as a part of the emulator per se but as a part of the definition of the underlying indicator. (So we emulate indicators like e.g. "1-in-20 year event of rx1day" or "21-year-mean precipitation").

[NiklasSchwind]

Note about an idea by Carl (will elaborate further tomorrow):
Instead of fitting one GEV on every 20-year window, one could try to fit a (linear?) function predicting the parameters of the GEV distribution from GMT to each simulation.

[perrette]

Here I am only talking about these variables that we assume follow a GEV distribution, like 1-in-X year events.
The reason why I propose a dedicated processing for these variables, instead of treating them as a regular variable, is because they are already a statistics over time. There would not be a justification to take another 21-year, "climatological" mean of these variables, because they are already a climatological indicator. The question remains of whether they need detrending or not, and whether that should be done by default, but I tend to thing they do, and I maintain the line put forward above that we could use our classical emulator for the "mean" climatological variable as the trend, and use the GEV fitting on the daily variable minus the trend (I'd probably use a smooth GMT value to compute the trend). I don't see exactly what you find problematic here, nor the difference with predicting the parameters of the GEV. To predict the parameters of the GEV, you need to fit the GEV first, right? So accordintg to my understanding, in every 21-yr period, you'd do a GEV fitting on the (probably detrended) time-series derive the 1-in-X year event values, thus obtaining new time-series for each of the desired return periods. Later on this would not be fundamentally different from the other indicators, except that wouldn't take the 21-year mean of these values, you'd just use them directly. We can discuss that and other ideas on a call perhaps. Also with Carl if needed.

[NiklasSchwind]

My preferred way to go here would be to
(1) calculate a warming-level-dependent GEV for each input ISIMIP simulation.
(2) extract the indicator (e.g. 1-in-20 year event of rx1day) per warming level from every warming-level dependent GEV extracted from the simulation
(3) calculate quantiles of the indicator values weighted by the probability of the warming level

Of course this would require some kind of detrending, let me check if I find a paper that does something similar after lunch, I think they do similar GEV fits in attribution studies. I think detrending with our own method would likely not work, as we calculate medians from all models, but maybe I am also misunderstanding the approach.

[perrette]

I guess we're on the same line. About the details, in my understanding (1) would mean doing this in a 21-year moving window: a 100-year time-series is split up into 80 overlapping sets of 21-years each (2000-2020, 2001-2021, ..., 2080-2100) and the GEV is fitted for every set. What is the input data frequency here, daily?

Regarding detrending, I don't have a strong opinion. Simplest is probably to just fit a linear trend and remove it within each 21-year period (keep the mean though). Not sure there could be side effects (like a noisy trend over time).

[perrette]

Yeah I'd do a linear detrending in every 21-year window. That would tend to minimize the GEV range, so it's conservative, so it's good.

[perrette]

The GEV approach may be powerful but it is limited to very specific indicators, by nature, and can not be applied to all indicators in the table for which a percentile is required*.

Perhaps a simpler, and more general approach would be to use the empirical percentiles on our 21-year sample. That would be limited to max the 95th percentile, and may not be very robust at all, but it has the merit of being straightforward to calculate:

$> np.percentile(np.arange(21), [.9, .95, 1])
array([0.18, 0.19, 0.2 ])

For moderate warming levels with many ESMs available, the expected value of the 95th percentile could become more robust though. Of course that also would need detrending. For the trend I continue to think the per-model fit of the emulator (GMT -> 21-year mean local impact) would be the most elegant predictor, despite cutting-off some of the end of the window. Otherwise a linear regression GMT -> local impact would also be OK.

*GEV deals with time-series of max values (e.g. seasonal or annual max of tasmax: 21 values -- a small sample but OK). The resulting percentiles / return values will be a statement about that: e.g. the max temperature experienced in a year). The GEV approach will not work with statistics that are no maxima. There are also related statistics such as the generalized Pareto distributions that deal with peaks above a threshold, which can include more data points, and could match some of the more specific climate indicators, but it is also not a general way of calculating percentiles.

[perrette]

And related to that: should this 95th percentile be computed on the monthly/annual mean, or on the monthly/annual max? I'm just wondering what is most useful here. And there are also the climate indices (e.g. heat stress indicators) that already focus on extracting the extremes.
At this point, I feel these percentiles in the indicators table create more problems than they offer responses, not so much for technical difficulties but rather to understand what we want from them.

Perhaps we should only keep them for the climate indices? (e.g. the heat stress indicator), where a 21-year mean is useful but a 1-in-20-years event may tell a whole different story.