Predictability of extreme events

Sarah Hallerberg

Instituto de Física de Cantabria, Santander, Spain

There is evidence that in certain circumstances, events are the better predictable, the larger they are. This was for example reported for predictions of avalanches in systems which display self organized criticality, and also in multi-agent games. We studied this effect in detail for predictions employing precursory structures in stochastic processes. The quality of the predictions was quantified using the receiver operating characteristic (ROC), and the precursors were determined as the maxima of conditional probability distributions. Furthermore, we did an analogous study on the predictability of failures of numerical weatherforecasts.