Periodic Exponential Autoregressive Models for Rainfall Forecasting in Algeria
Keywords:
Periodic exponential autoregressive model, SARIMA model, Quasi-maximum likelihood, Rainfall in Algeria.
Abstract
This study examines the utilization of periodic exponential autoregressive (PEXPAR) models in analyzing rainfall time series data from Algeria. The method of Gaussian quasi maximum likelihood for parameter estimation is used. By comparing its forecasting performance with SARIMA models, we observe a slight improvement with PEXPAR12(1), suggesting its potential efficacy in capturing seasonal variations and nonlinear behavior in precipitation data.References
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(2) Amondela, A. and Francq, C. (2009): Concepts and tools for nonlinear time series modelling. In Handbook of Computational Econometrics. Edts D. A. Belsley and E. J. Kontoghiorghes, Wiley.
(3) Becila, S and Merzougui, M. (2020). Nonlinear Least Squares estimation of the Periodic EXPAR(1) model. Communications in Statistics-Theory and Methods. DOI: 10.1080/03610926.2020.1839099.
(4) Box, G. E. P. and Jenkins, G. M. (1976). Time Series Analysis, Forecasting and Control, 2nd edi., Holden-Day San Francisco, CA.
(5) Franses, P.H. and Ooms, M., (1997): A Periodic Long Memory Model for Quarterly UK Ináation. International Journal of Forecasting, 13, 119-128.
(6) Gladyshev, E. G. (1961). Periodically correlated random sequences. Soviet. Math., 2, 385-88.
(7) Hamdi, F. and Souam, S. (2013): Mixture periodic GARCH models: Applications to exchange rate modeling. 5th International Conference on Modeling, Simulation and Applied Optimization (ICMSAO).IEEE.
(8) Lama, A., Singh, K.N., Singh, H. et al. (2021): Forecasting monthly rainfall of Sub Himalayan region of India using parametric and non-parametric modelling approaches. Model. Earth Syst. Environ. https://doi.org/10.1007/s40808-021-01124-5
(9) Lewis, P. A. W. and Ray, B. K. (2002). Nonlinear modelling of periodic threshold
autoregressions using TSMARS. Journal of Time Series Analysis 23, 4, 459-471.
(10) McLeod, A. I. (1994). Diagnostic checking periodic autoregression models with application. Journal of Time Series Analysis 15, 2, 221-233.
(11) Merzougui, M., Dridi, H. and Chadli, A. (2016). Test for periodicity in restrictive EXPAR models.Communication in Statistics- Theory and Methods, 45:9, 2770-2783.
(12) Ozaki, T. (1980). Non-linear time series models for non-linear random vibrations, Journal of Applied Probability 17, 84-93.
(2) Amondela, A. and Francq, C. (2009): Concepts and tools for nonlinear time series modelling. In Handbook of Computational Econometrics. Edts D. A. Belsley and E. J. Kontoghiorghes, Wiley.
(3) Becila, S and Merzougui, M. (2020). Nonlinear Least Squares estimation of the Periodic EXPAR(1) model. Communications in Statistics-Theory and Methods. DOI: 10.1080/03610926.2020.1839099.
(4) Box, G. E. P. and Jenkins, G. M. (1976). Time Series Analysis, Forecasting and Control, 2nd edi., Holden-Day San Francisco, CA.
(5) Franses, P.H. and Ooms, M., (1997): A Periodic Long Memory Model for Quarterly UK Ináation. International Journal of Forecasting, 13, 119-128.
(6) Gladyshev, E. G. (1961). Periodically correlated random sequences. Soviet. Math., 2, 385-88.
(7) Hamdi, F. and Souam, S. (2013): Mixture periodic GARCH models: Applications to exchange rate modeling. 5th International Conference on Modeling, Simulation and Applied Optimization (ICMSAO).IEEE.
(8) Lama, A., Singh, K.N., Singh, H. et al. (2021): Forecasting monthly rainfall of Sub Himalayan region of India using parametric and non-parametric modelling approaches. Model. Earth Syst. Environ. https://doi.org/10.1007/s40808-021-01124-5
(9) Lewis, P. A. W. and Ray, B. K. (2002). Nonlinear modelling of periodic threshold
autoregressions using TSMARS. Journal of Time Series Analysis 23, 4, 459-471.
(10) McLeod, A. I. (1994). Diagnostic checking periodic autoregression models with application. Journal of Time Series Analysis 15, 2, 221-233.
(11) Merzougui, M., Dridi, H. and Chadli, A. (2016). Test for periodicity in restrictive EXPAR models.Communication in Statistics- Theory and Methods, 45:9, 2770-2783.
(12) Ozaki, T. (1980). Non-linear time series models for non-linear random vibrations, Journal of Applied Probability 17, 84-93.
Published
2025-01-20
How to Cite
BECILA, S., & MERZOUGUI, M. (2025). Periodic Exponential Autoregressive Models for Rainfall Forecasting in Algeria. Statistics, Optimization & Information Computing. https://doi.org/10.19139/soic-2310-5070-2000
Issue
Section
Research Articles
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