A novel approach for discovering stochastic models behind data applied to El Niño–Southern Oscillation

Roman Olson, Soon Il An, Soong Ki Kim, Yanan Fan

Research output: Contribution to journalArticlepeer-review

4 Citations (Scopus)


Stochastic differential equations (SDEs) are ubiquitous across disciplines, and uncovering SDEs driving observed time series data is a key scientific challenge. Most previous work on this topic has relied on restrictive assumptions, undermining the generality of these approaches. We present a novel technique to uncover driving probabilistic models that is based on kernel density estimation. The approach relies on few assumptions, does not restrict underlying functional forms, and can be used even on non-Markov systems. When applied to El Niño–Southern Oscillation (ENSO), the fitted empirical model simulations can almost perfectly capture key time series properties of ENSO. This confirms that ENSO could be represented as a two-variable stochastic dynamical system. Our experiments provide insights into ENSO dynamics and suggest that state-dependent noise does not play a major role in ENSO skewness. Our method is general and can be used across disciplines for inverse and forward modeling, to shed light on structure of system dynamics and noise, to evaluate system predictability, and to generate synthetic datasets with realistic properties.

Original languageEnglish
Article number2648
JournalScientific reports
Issue number1
Publication statusPublished - 2021 Dec

Bibliographical note

Funding Information:
For their roles in producing, coordinating, and making available the CMIP5 model output, we acknowledge the climate modeling groups, the World Climate Research Programme’s (WCRP) Working Group on Coupled Modeling (WGCM), and the Global Organization for Earth System Science Portals (GO-ESSP). This work was supported by the National Research Foundation of Korea (NRF) grant funded by the Korea government (MSIT) (NRF-2018R1A5A1024958, 2020R1A2B5B01094934). Computer code underlying the developed method is available from the authors upon request.

Publisher Copyright:
© 2021, The Author(s).

All Science Journal Classification (ASJC) codes

  • General


Dive into the research topics of 'A novel approach for discovering stochastic models behind data applied to El Niño–Southern Oscillation'. Together they form a unique fingerprint.

Cite this