A climate index is real-valued time-series which has been designated of interest in the climate literature. For example, the El Niño–Southern Oscillation (ENSO) index has widespread uses for predictions of regional and seasonal conditions, as it tends to have strong (positive or negative) correlation with a variety of weather conditions and extreme events throughout the globe. The ENSO index is just one of the many climate indices studied. However there is currently significant room for improvement in predicting even this extremely well studied index with such high global impact. For example, most statistical and climatological models erred significantly in their predictions of the 2015 El Niño event; their predictions were off by several months. Better tools to predict such indices are critical for seasonal and regional climate prediction, and would thus address grand challenges in the study of climate change (World Climate Research Programme: Grand Challenges, 2013).