This study investigated the effect of harsh winter climate on the performance of high speed passenger trains in northern Sweden. Novel approaches based on heterogeneous statistical models were introduced to analyse the train performance in order to take the time-varying risks of train delays into consideration. Specifically, stratified Cox model and heterogeneous Markov chain model were used for modelling primary delays and arrival delays, respectively. Our results showed that the weather variables including temperature, humidity, snow depth, and ice/snow precipitation have significant impact on the train performance.