Knowledge Resource Center for Ecological Environment in Arid Area
DOI | 10.1002/hyp.9452 |
Generalized autoregressive conditional heteroscedasticity modelling of hydrologic time series | |
Modarres, R.1; Ouarda, T. B. M. J.1,2 | |
通讯作者 | Modarres, R. |
来源期刊 | HYDROLOGICAL PROCESSES
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ISSN | 0885-6087 |
出版年 | 2013 |
卷号 | 27期号:22页码:3174-3191 |
英文摘要 | The existence of time-dependent variance or conditional variance, commonly called heteroscedasticity, in hydrologic time series has not been thoroughly investigated. This paper deals with modelling the heteroscedasticity in the residuals of the seasonal autoregressive integrated moving average (SARIMA) model using a generalized autoregressive conditional heteroscedasticity (GARCH) model. The model is applied to two monthly rainfall time series from humid and arid regions. The effect of Box-Cox transformation and seasonal differencing on the remaining seasonal heteroscedasticity in the residuals of the SARIMA model is also investigated. It is shown that the seasonal heteroscedasticity in the residuals of the SARIMA model can be removed using Box-Cox transformation along with seasonal differencing for the humid region rainfall. On the other hand, transformation and seasonal differencing could not remove heteroscedasticity from the residuals of the SARIMA model fitted to rainfall data in the arid region. Therefore, the GARCH modelling approach is necessary to capture the heteroscedasticity remaining in the residuals of a SARIMA model. However, the evaluation criteria do not necessarily show that the GARCH model improves the performance of the SARIMA model. Copyright (c) 2012 John Wiley & Sons, Ltd. |
英文关键词 | nonlinear time series heteroscedasticity GARCH Engle’s test SARIMA model seasonality Box-Cox transformation |
类型 | Article |
语种 | 英语 |
国家 | Canada ; U Arab Emirates |
收录类别 | SCI-E |
WOS记录号 | WOS:000325132400007 |
WOS关键词 | HETEROSKEDASTICITY |
WOS类目 | Water Resources |
WOS研究方向 | Water Resources |
资源类型 | 期刊论文 |
条目标识符 | http://119.78.100.177/qdio/handle/2XILL650/177531 |
作者单位 | 1.INRS ETE, Canada Res Chair Estimat Hydrometeorol Variables, Quebec City, PQ G1K 9A9, Canada; 2.Masdar Inst Sci & Technol, Abu Dhabi, U Arab Emirates |
推荐引用方式 GB/T 7714 | Modarres, R.,Ouarda, T. B. M. J.. Generalized autoregressive conditional heteroscedasticity modelling of hydrologic time series[J],2013,27(22):3174-3191. |
APA | Modarres, R.,&Ouarda, T. B. M. J..(2013).Generalized autoregressive conditional heteroscedasticity modelling of hydrologic time series.HYDROLOGICAL PROCESSES,27(22),3174-3191. |
MLA | Modarres, R.,et al."Generalized autoregressive conditional heteroscedasticity modelling of hydrologic time series".HYDROLOGICAL PROCESSES 27.22(2013):3174-3191. |
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