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The mean squared error (MSE) is another method for evaluating a forecasting technique.
= =
= =
N
t
t t
N
t
t
e
N
Z Z
N
MSE
1
2 2
1
1
)
(
1
And the root mean squared error (RMSE) is given as
= =
= =
N
t
t t
N
t
t
e
N
Z Z
N
RMSE
1
2 2
1
1
)
(
1
Mean absolute percentage error is given by 100
1
1
=
=
N
t t
t
Z
e
N
MAPE .
These error measures used to compare the accuracy of the different techniques applied on a time series data.
FORECASTING MODELS
This section presents some forecasting models for forecasting monthly mean of minimum SAT using Box-Jenkins
methodology and neural networks.
68 K. Anitha Kumari, Naveen Kumar Boiroju, T. Ganesh
& P. Rajashekara Reddy
Building SARIMA Model
In this section, monthly mean of minimum SAT is modeled using Box-Jenkins methodology. The development of
SARIMA model for any variable involves following four steps: Identification, Estimation, Diagnostic checking and
Forecasting.
Time plot of the minimum SAT reveals that the data is seasonal and non stationary.
Figure 1: Time Plot of Monthly Mean of Minimum Surface Air Temperature in India
Sample autocorrelation function (ACF) also computed to check whether the time series is non-stationary and
seasonal or not.
Figure 2: Autocorrelation Function for Minimum SAT
Forecasting Surface Air Temperature Using Neural Networks 69
From the above ACF, it is observed that the ACF is dies out slowly for higher lags which indicates non-
stationarity of the series and the significant spikes at seasonal lags shows that the series is a seasonal time series. Seasonal
difference of order one (D=1) is sufficient to achieve stationarity of the series. Autocorrelation function and partial
autocorrelation function (PACF) is computed for the differenced series and are presented below.
Figure 3: Sample ACF for Minimum SAT with Seasonal Difference D=1
Figure 4: Sample PACF for Minimum SAT with Seasonal Difference D=1
From the above ACF and PACF it is observed that the order of p is at most 1, P is at most 4, q is at most 2 and Q
is at most 1. All the tentative models are considered with the above specifications and observed that the most suitable
model is SARIMA (1, 0, 2) X (0, 1, 1)
12.
Model parameters (without constant term in the model) are estimated using SPSS for selected model. Estimates of
parameters are given below.
70 K. Anitha Kumari, Naveen Kumar Boiroju, T. Ganesh
& P. Rajashekara Reddy
Table 1: SARIMA Model Parameters
Transformation Parameter Estimate SE T Sig.
No Transformation
AR Lag 1 .895 .040 22.551 .000
MA
Lag 1 .647 .050 12.949 .000
Lag 2 .113 .035 3.240 .001
Seasonal Difference 1
MA, Seasonal Lag 1 .951 .012 80.540 .000
with the above parameters the fitted model is
t t
a B B B Z B ) 951 . 0 1 )( 113 . 0 647 . 0 1 (
~
) 895 . 0 1 (
12 2 1
12
= V
Adequacy of the model is tested using Portmanteau test. For this purpose, the various autocorrelations of residuals
for 25 lags are computed and the same along with their significance which is tested by Box-Ljung Q- test statistic. Let the
hypothesis on the model is
H
o
: The selected model is adequate.
H
1
: The selected model is inadequate.
Table 2: Portmanteau Test
Ljung-Box Q-Test
Statistic DF Sig.
9.421 14 0.803
Since the probability corresponding to Ljung-Box Q-statistic is greater than 0.05, therefore, we accept H
o
and we
may conclude that the selected SARIMA model is an adequate model for the given time series on Mean of Minimum
Surface Air temperature.
One can forecast the future mean of minimum SAT using the equation (fitted model)
12
1 2 12
(1 0.895 ) (1 0.647 0.113 )(1 0.951 )
t t
B Z B B B a V =
H H H H Z
s
+ + =
wher
72 K. Anitha Kumari, Naveen Kumar Boiroju, T. Ganesh
& P. Rajashekara Reddy
M= month, ( ) ( ) ) ( / ) (
1 1 1 1
=
t t t t
Z Z Z Z S o , ( ) ( ) ( ) ( )
12 12 12 12
/
=
t t t t
Z Z Z Z S o and ( ) A I is an
indicator function.
The above model is used to forecast the future values of monthly mean of minimum SAT and the forecasts for
out-of-sample are presented in the table 5. Prediction performance of the model is measured using the error measures and
the results are presented in the Table 6.
Building HONN Model
In this section, building of forecasting model for minimum SAT using HONN is discussed. The in-sample data set
is partitioned into two sets namely training set and testing set. For model building 70% of the in-sample data is taken as
training set and 30% of the data is taken as testing set. The HONN model is similar to FFNN model and it consists of input
layer, hidden layer and output layer. Input layer consists of 14 units representing the month (numbers from 1 to 12),
1 t
Z ,
12 t
Z ,
2
1 t
Z ,
2
12 t
Z and
12 1 t t
Z Z values. Output layer consists of only one neuron and represents the forecast value (
t
Z
)
of the series. Number of hidden neurons in the hidden layer is determined using forward selection method. The optimum
number of hidden neurons is four. Hyperbolic tangent function is used as an activation function and scaled conjugate
gradient algorithm is used to train the network. The network is trained until the number of epochs is equivalent to 1,000.
SPSS software is used to train the network. With the above specifications the following synaptic weights are obtained.
Table 4: Synoptic Weights for HONN Model
Predictor
Predicted
Hidden Layer 1 Output Layer
H(1:1) H(1:2) H(1:3) H(1:4) Min_SAT
Input Layer
(Bias) .232 -.069 -.470 -.355
[MONTH=1] -.232 .227 .274 .377
[MONTH=2] .241 -.220 .155 -.070
[MONTH=3] -.179 .504 -.533 -.549
[MONTH=4] -.072 -.821 -.757 .092
[MONTH=5] -.315 -.064 -.187 -.518
[MONTH=6] -.268 -.240 .127 -.394
[MONTH=7] -.198 -.312 .174 -.020
[MONTH=8] .032 .413 .465 -.334
[MONTH=9] -.059 -.364 .230 .240
[MONTH=10] -.078 -.155 .007 .893
[MONTH=11] .156 .676 .653 -.065
[MONTH=12] -.409 .169 .548 .343
( )
1 t
Z S .343 -.394 .020 .101
Forecasting Surface Air Temperature Using Neural Networks 73
Table 4 Contd.,
( )
12 t
Z S -.111 -.706 -.139 .177
( )
2
1 t
Z S .544 -.275 -.165 -.469
( )
2
12 t
Z S -.158 -.249 -.099 -.005
( )
12 1 t t
Z Z S .495 .094 -.161 .086
Hidden Layer 1
(Bias)
-.433
H(1:1)
.132
H(1:2)
-.585
H(1:3)
-.589
H(1:4)
-.709
From the above weight matrix the forecasting model can be constructed as
s t
Z Z
o + = Where and o are the mean and standard deviation of the in-sample data set
and ) 4 : 1 ( 709 . 0 ) 3 : 1 ( 589 . 0 ) 2 : 1 ( 585 . 0 ) 1 : 1 ( 32 . 1 433 . 0
H H H H Z
s
+ =
M= month, ( ) Z S is the standardized values of Z and ( ) A I is an indicator function.
The above model is used to forecast the future values of monthly mean of minimum SAT and the forecasts for
out-of-sample are presented in the table 5. Prediction performance of the model is measured using the error measures and
the results are presented in the Table 6.
74 K. Anitha Kumari, Naveen Kumar Boiroju, T. Ganesh
& P. Rajashekara Reddy
Table 5: Out-of-Sample Forecasts from SARIMA, FFNN and HONN Models
COMPARISON OF FORECASTING MODELS
This section presents the error measures and the significance of equal prediction ability of the forecasting models.
Table 6: Error Measures for SARIMA, FFNN and HONN Models
Sample Error SARIMA FFNN HONN
In-Sample
MAE 0.431 0.425 0.419
MAPE 2.809 2.793 2.753
RMSE 0.573 0.566 0.557
Out-of-Sample
MAE 0.519 0.440 0.426
MAPE 3.186 2.719 2.584
RMSE 0.653 0.581 0.558
From the above table, it is observed that the HONN model has minimum error measures in both the in-sample and
out-of-sample sets compared to SARIMA and FFNN models. FFNN model has minimum error measures than that of
SARIMA model. From the above study it is observed that, HONN model is good at forecasting of minimum SAT.
Testing Equal Forecasting Accuracy with Respect to Absolute Errors
This section presents the results of Sign test, Diebold-Mariano (DM) test and Bootstrap test to test the equal
prediction accuracy of the forecasting models with respect to the out-of-sample absolute errors. The detailed procedure of
Forecasting Surface Air Temperature Using Neural Networks 75
these tests presented in the paper of Naveen Kumar Boiroju et.al. (2011). the following table presents the test statistic
values for testing the null hypothesis of equal prediction accuracy of the models.
Table 7: Equal Prediction Accuracy Tests
Models
Test Statistics Bootstrap Test
Sign test DM test LDL UDL
SARIMA vs FFNN 2.593 2.228 0.0188 0.1399
SARIMA vs HONN 2.828 2.742 0.0284 0.1565
FFNN vs HONN 1.179 1.037 -0.0109 0.0385
Sign test statistic value (2.593) is greater than the critical value (1.96) at 5% level of significance for comparison
of SARIMA and FFNN models. Therefore null hypothesis is rejected and we may conclude that there is a significant
difference in forecasting ability between SARIMA and FFNN models.
Sign test statistic value (2.828) is greater than the critical value (1.96) at 5% level of significance for comparison
of SARIMA and HONN models. Therefore null hypothesis is rejected and we may conclude that there is a significant
difference in forecasting ability between SARIMA and HONN models.
Sign test statistic value (1.179) is greater than the critical value (1.96) at 5% level of significance for comparison
of FFNN and HONN models. Therefore null hypothesis is accepted and we may conclude that there is no significant
difference in forecasting ability between FFNN and HONN models.
DM test statistic value (2.228) which is greater than the critical value (1.96) at 5% level of significance for
comparison of SARIMA and FFNN models. Therefore the null hypothesis is rejected and we may conclude that there is a
significant difference in prediction ability between SARIMA and FFNN models.
DM test statistic value (2.742) which is greater than the critical value (1.96) at 5% level of significance for
comparison of SARIMA and HONN models. Therefore the null hypothesis is rejected and we may conclude that there is a
significant difference in prediction ability between SARIMA and HONN models.
DM test statistic value (1.037) which is greater than the critical value (1.96) at 5% level of significance for
comparison of FFNN and HONN models. Therefore the null hypothesis is accepted and we may conclude that there is no
significant difference in prediction ability between FFNN and HONN models.
Bootstrap test procedure for absolute errors is also applied to test the equal prediction accuracy of the models. The
decision limits (0.0284, 0.1565) are obtained using the bootstrap test procedure for comparison of SARIMA and FFNN
models. Since the hypothetical difference zero does not belongs to the interval of decision limits that is, 0e(0.0284,
0.1565). Therefore null hypothesis is rejected and we may conclude that there is a significant difference in prediction
ability between the SARIMA and HONN models.
The decision limits (0.0188, 0.1399) are obtained using the bootstrap test procedure for comparison of SARIMA
and HONN models. Since the hypothetical difference zero does not belongs to the interval of decision limits that is,
0e(0.0188, 0.1399). Therefore null hypothesis is rejected and we may conclude that there is a significant difference in
prediction ability between the SARIMA and HONN models.
The decision limits (-0.0109, 0.0385) are obtained using the bootstrap test procedure for comparison of FFNN and
HONN models. Since the hypothetical difference zero belongs to the interval of decision limits that is, 0e(-0.0188,
76 K. Anitha Kumari, Naveen Kumar Boiroju, T. Ganesh
& P. Rajashekara Reddy
0.0385). Therefore null hypothesis is accepted and we may conclude that there is no significant difference in prediction
ability between the FFNN and HONN models.
From the above tests, it is observed that, the forecasting accuracy of the models is not same and empirical
evidence shows that FFNN model is good at forecasting than that of SARIMA model. FFNN and HONN models are
equally efficient at forecasting of minimum SAT.
CONCLUSIONS
Three different forecasting models, SARIMA, FFNN and HONN models have been developed in this study to
predict the mean of minimum surface air temperature in India. Error measures showed small values that demonstrate the
developed models are suitable and adequate for the forecasting of SAT. Forecasting errors of neural network models is less
compared to SARIMA model. Equal prediction accuracy tests reports that the neural networks models are significantly
different from SARIMA model. FFNN and HONN models are equally efficient at forecasting of minimum SAT. Hence,
neural networks are robust models for forecasting the mean of minimum surface air temperature.
ACKNOWLEDGEMENTS
Author is very thankful to Department of Science and Technology (DST), India, for providing Inspire fellowship
to carry out this research work.
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