In high dimensional spaces random vectors drawn from the same distribution have almost the same length, and independent vectors are almost always orthogonal. In Christiansen (2018a) I used these properties to explain the ubiquitous observation that the ensemble mean very often has a smaller error than all individual ensemble members when compared to observations. I also explained why the error of the ensemble mean often is 30% smaller than the typical error of the ensemble members. This is not only found in validation of climate models but also when dealing with ensemble weather forecasts.
Assuming the simple statistical model that the observations
Schematic diagram showing the situation in high dimensional space when ensemble members and observations are drawn independently from an N-dimensional Gaussian distribution
Citation: Journal of Climate 31, 21; 10.1175/JCLI-D-18-0416.1
In his comment Rougier (2018) claims the there is a logical flaw in the argument above because the ensemble mean is not independent from the individual ensemble members. Actually, the argument does not require that the ensemble mean is orthogonal on the individual ensemble members; it only requires that the ensemble mean is near the center. This is ensured by the law of large numbers as also discussed in Christiansen (2018a). Nevertheless, as the number of ensemble members increases, the contribution to the ensemble mean by each individual ensemble member vanishes. For example, considering the covariance between an ensemble member
The arguments up to this point are simple and flawless and, if in doubt, the results above can easily be confirmed with numerical experiments as they were in Christiansen (2018a).





Finally, Rougier (2018) questions the applicability of the arguments to the ensemble of climate models. It is true that there are reasons to believe that the simple statistical model above is not fully representative for the ensemble of climate models. This model is often described as the “indistinguishable” interpretation and requires that ensemble members and observations are exchangeable. However, Christiansen (2018a) did test this based on 17 CMIP5 models by successively swapping the observations and a selected climate model. Again I found for each swap that the ensemble mean was better than almost all individual ensemble members and that the ensemble mean was around 30% better than the typical ensemble member. It is also easy to directly test the relevant properties of the ensemble. Calculating the lengths of the ensemble members we get values in the range of 390–666 K with a mean of 514 K.1 For the observations we get 419 K and for the ensemble mean 25 K. For the angles between the ensemble members we get
Of course the simple statistical model may not be correct from all perspectives and I did mention in Christiansen (2018a) that the swapping experiment may lack power as a test of the statistical model. But as the aphorism goes, “all models are wrong but some are useful,” and the explanation given in Christiansen (2018a) does succeed in explaining the ubiquitous observations of the ensemble mean in a very simple way.
In Christiansen (2018a) the simple statistical model was extended to allow for bias and different variances of observations and ensemble members. I noted that the results regarding the ensemble mean are robust and only change little for small biases and small differences between the variances. In Christiansen (2018b, manuscript submitted to Mon. Wea. Rev.) I analyze weather forecasts using this extended model. Because the bias and variances depend on lead time so does the behavior of the model mean. For low lead times we are in the “truth plus error” interpretation where ensemble members are sampled from a distribution centered about the observations. For large lead times we approach the “indistinguishable” interpretation, where model ensembles and observations are all considered exchangeable. Again, I find an excellent agreement with the analytical results of the extended statistical model in high dimensions.
Acknowledgments
This work is supported by the NordForsk-funded Nordic Centre of Excellence project (Award 76654) Arctic Climate Predictions: Pathways to Resilient, Sustainable Societies (ARCPATH).
REFERENCES
Christiansen, B., 2018a: Ensemble averaging and the curse of dimensionality. J. Climate, 31, 1587–1596, https://doi.org/10.1175/JCLI-D-17-0197.1.
Christiansen, B., 2018b: Analysis of ensemble mean forecasts: The blessings of high dimensionality. Mon. Wea. Rev., submitted.
Rougier, J., 2018: Comment on “Ensemble averaging and the curse of dimensionality.” J. Climate, 31, 9015–9016.
We are looking at the monthly climatology of near-surface temperature. The length is calculated in the space spanned by all 10 512 grid points and the 12 calendar months. The ensemble and the observations have been centered to their common mean. A length of 500 K corresponds to