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Weather comprises all the various phenomena that occur in the atmosphere of a planet. "Weather" is normally taken to mean the activity of these phenomena over short periods of time, usually no more than a few days in length. Average weather conditions over significantly longer periods is known as climate, which is studied by climatologists for signs of climate change.
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On Earth, the regular events include wind, thunderstorms, rain, sleet, hail, snow, and fog which occur in the troposphere or the lower part of the atmosphere. Weather is driven by differences in energy received from the sun. Due to the different angles that sunlight intersects the earth, different parts of it are heated to different extents. This causes temperature differences, which lead to global wind, as well as, indirectly, all other weather phenomena. Direct causes of weather are temperature, humidity, atmospheric pressure, cloud cover, wind speed, and elevation.
The Earth's atmosphere is one large inter-related system so small changes to one part can have large effects in other parts, i.e., it is a chaotic system. This makes it very difficult to accurately predict short term weather changes more than a few days in advance, though weather forecasters large and small are continually working to improve this limit through the science of the study of weather: meteorology.
Weather phenomena and systems on other planets are thought to be similar to those on Earth, but often occur on a much bigger scale. Extra-terrestrial weather systems can be extremely stable; one of the most famous landmarks in the solar system, Jupiter's Great Red Spot is an anticyclonic storm known to have existed for at least 300 years. On other gas giants, the lack of a surface allows the wind to reach enormous speeds: gusts of up to 400 metres per second have been measured on the planet Neptune. This has created a puzzle for planetary scientists: The weather is created by the differential action of the Sun's energy on different places and the amount of energy received by Neptune is very, very small, relative to the Earth, yet the strength and magnitude of weather phenomena on Neptune is far, far greater than on Earth. This mystery is still to be solved.
Earth's weather appears to behave based on about a half-dozen latitudinal weather zones. Jupiter's banded appearance shows over a dozen such zones, while Venus appears to have no zones at all. Studying how the weather works on other planets has been seen as helpful in understanding how it works on Earth.
Weather is not limited to just planetary bodies however. A star's corona is constantly being lost to space, creating what is essentially a very thin atmosphere throughout the solar system, known as the solar wind. Inconsistencies in this wind and larger events on the surface of the star, such as Coronal Mass Ejections, form a system that has features analogous to conventional weather systems (i.e. pressure and wind), and though not true weather, is known as space weather. The activity of this system can affect planetary atmospheres and occasionally surfaces. The interaction of the solar wind with the terrestrial atmosphere can produce spectacular aurorae, but can play havoc with electrically sensitive systems such as electricity grids and radio signals.