Arid
DOI10.1002/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
ISSN0885-6087
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
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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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