P. Dimitriadis, and D. Koutsoyiannis, Climacogram versus autocovariance and power spectrum in stochastic modelling for Markovian and Hurst–Kolmogorov processes, *Stochastic Environmental Research & Risk Assessment*, 29 (6), 1649–1669, doi:10.1007/s00477-015-1023-7, 2015.

[doc_id=1514]

[English]

Three common stochastic tools, the climacogram i.e. variance of the time averaged process over averaging time scale, the autocovariance function and the power spectrum are compared to each other to assess each one’s advantages and disadvantages in stochastic modelling and statistical inference. Although in theory, all three are equivalent to each other (transformations one another expressing second order stochastic properties), in practical application their ability to characterize a geophysical process and their utility as statistical estimators may vary. In the analysis both Markovian and non Markovian stochastic processes, which have exponential and power-type autocovariances, respectively, are used. It is shown that, due to high bias in autocovariance estimation, as well as effects of process discretization and finite sample size, the power spectrum is also prone to bias and discretization errors as well as high uncertainty, which may misrepresent the process behaviour (e.g. Hurst phenomenon) if not taken into account. Moreover, it is shown that the classical climacogram estimator has small error as well as an expected value always positive, well-behaved and close to its mode (most probable value), all of which are important advantages in stochastic model building. In contrast, the power spectrum and the autocovariance do not have some of these properties. Therefore, when building a stochastic model, it seems beneficial to start from the climacogram, rather than the power spectrum or the autocovariance. The results are illustrated by a real world application based on the analysis of a long time series of high-frequency turbulent flow measurements.

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**See also:**
http://dx.doi.org/10.1007/s00477-015-1023-7

**Our works referenced by this work:**

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**Our works that reference this work:**

1. | D. Koutsoyiannis, Generic and parsimonious stochastic modelling for hydrology and beyond, Hydrological Sciences Journal, 61 (2), 225–244, doi:10.1080/02626667.2015.1016950, 2016. |

2. | P. Dimitriadis, D. Koutsoyiannis, and K. Tzouka, Predictability in dice motion: how does it differ from hydrometeorological processes?, Hydrological Sciences Journal, 61 (9), 1611–1622, doi:10.1080/02626667.2015.1034128, 2016. |

3. | P. Dimitriadis, D. Koutsoyiannis, and P. Papanicolaou, Stochastic similarities between the microscale of turbulence and hydrometeorological processes, Hydrological Sciences Journal, 61 (9), 1623–1640, doi:10.1080/02626667.2015.1085988, 2016. |

4. | I. Deligiannis, P. Dimitriadis, Ο. Daskalou, Y. Dimakos, and D. Koutsoyiannis, Global investigation of double periodicity οf hourly wind speed for stochastic simulation; application in Greece, Energy Procedia, 97, 278–285, doi:10.1016/j.egypro.2016.10.001, 2016. |

5. | C. Pappas, M.D. Mahecha, D.C. Frank, F. Babst, and D. Koutsoyiannis, Ecosystem functioning is enveloped by hydrometeorological variability, Nature Ecology & Evolution, 1, 1263–1270, doi:10.1038/s41559-017-0277-5, 2017. |

6. | M. Chalakatevaki, P. Stamou, S. Karali, V. Daniil, P. Dimitriadis, K. Tzouka, T. Iliopoulou, D. Koutsoyiannis, P. Papanicolaou, and N. Mamassis, Creating the electric energy mix in a non-connected island, Energy Procedia, 125, 425–434, doi:10.1016/j.egypro.2017.08.089, 2017. |

7. | G. Koudouris, P. Dimitriadis, T. Iliopoulou, N. Mamassis, and D. Koutsoyiannis, Investigation on the stochastic nature of the solar radiation process, Energy Procedia, 125, 398–404, 2017. |

8. | E. Moschos, G. Manou, P. Dimitriadis, V. Afendoulis, D. Koutsoyiannis, and V. Tsoukala, Harnessing wind and wave resources for a Hybrid Renewable Energy System in remote islands: a combined stochastic and deterministic approach, Energy Procedia, 125, 415–424, doi:10.1016/j.egypro.2017.08.084, 2017. |

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10. | T. Iliopoulou, S.M. Papalexiou, Y. Markonis, and D. Koutsoyiannis, Revisiting long-range dependence in annual precipitation, Journal of Hydrology, 556, 891–900, doi:10.1016/j.jhydrol.2016.04.015, 2018. |

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**Tagged under:**
Scaling,
Stochastics