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EXECUTIVE SUMMARY................................................................................................. 2
INTRODUCTION........................................................................................................... 2
TIME SERIES ANALYSIS................................................................................................ 4
Modelling Approach 1: Winters Additive Method....................................................5
Modelling Approach 2: ARIMA Modelling.................................................................7
RESULT AND CONCLUSION........................................................................................ 11
APPENDIX................................................................................................................. 11
References................................................................................................................ 16
Figure
Figure
Figure
Figure
Figure
Figure
Figure
Figure
Figure
Figure
Figure
EXECUTIVE SUMMARY
We have performed a time series analysis on the Global atmospheric CO 2 content in this term project. The
data obtained for the series is in terms of the parts per millions in the atmosphere for many different sites
around the world. We initially analyzed the data as a basic time series to find out its basic characteristics.
We used 80% of the available data for the Modelling part. The remaining data was used to check the
forecasting accuracy of the model. On realizing that the data had an increasing trend with seasonal
changes we used a winters additive method to model the data. We modeled the data with different values
for the smoothing constants. However, trying to fit an error minimizing model using JMP resulted in
smoothing values of 1 for the level and no trend or seasonal terms. This was strange as there was clearly a
trend and seasonal component apparent from the time series plot. The model also was not invertible for an
equivalent ARIMA model. Apart from this, the initial plot indicated that the data was not stationary. So
we needed differencing model for this data apart from an appropriate AR and MA terms. A general
ARIMA model with different number of AR and MA terms were fit using JMP. We selected ARIMA (0,
1, 1) X (0, 1, 1) 12 model from various options as this model offered better performance measurement
values. We forecasted the Global atmospheric CO 2 content for the remainder of the 20% data points to
check the performance of the models. The forecasted error was minimal showing a very good fit of the
model to the data.
INTRODUCTION
With increasing industrial development over the past century the effects of modern technology has started
showing its impact on the environment. The average global temperature has steadily increased over this
time period. Much of this temperature change or Global warming is attributed to the increased amounts of
Greenhouse gases in the atmosphere, specifically CO 2.
OBJECTIVE:
To analyze the Global monthly CO2 concentration in the air as a time series. The data used for model
building spans from January, 1980 to April, 2008 (data split in to 80% for model building, 20 % for
testing). We want to forecast the CO 2 concentrations after April, 2008 using the model that we build from
the previous data. We will be comparing these forecasted values to actual measured values for the same
time period.
DATA:
The data was obtained from the Earth System research Laboratory Website [1]. The sites that are
considered for this measurement have samples predominantly of Marine Boundary layer. These MLB
2
sites are usually located at remote marine sea level locations with prevailing onshore winds [2]. They
calculate the CO2 concentration by taking means of the values found from different MLB sites from all
over the world. The actual data is measured continuously at the sites and average values are taken over
the entire month. The link to the data is provided in the reference. As mentioned before, we have split the
data in to a model building data for modelling and a test data for comparing the forecasts.
INITIAL PLOT
We plotted the time series data for the test data in Figure 1. The plot shows an increasing trend which
looks linear and a seasonal cycle pattern. The season length seems to be, more or less 12 months which is
possible since the data is the monthly values of CO2 concentration.
390
380
370
360
350
340
330
Month Jan
Year 1980
Jan
Jan
Jan
Jan
Jan
Jan
Jan
1984
1988
1992
1996
2000
2004
2008
The very slow decaying of the ACF plot, near unit value of PACF at lag 1 and nonstable Variogram plot indicate that the data is non-stationary. This suggests that
differencing will be required on the original data to model it using ARIMA technique.
The spectral density analysis shown in Figure 3 confirms the presence of 12 period
seasonal pattern in the data.
4
Figure 3 Spectral Density graph for the data.
JMP results also suggest that this model has a non-invertible MA component in the
equivalent ARIMA model which is troubling. Thus, we decided to fix all the discount
factors at 0.2 as suggested in the text [3]. The output of this model and the
summary statistics is shown in Figure 5. This model has a much higher sum of
squared errors and higher AIC and SBC values. This is expected as this model has
more parameters in it and AIC and SBC punishes models with more parameters to
estimate.
The forecasted values for the next 12 months is shown in Table 1. We have also
forecasted the values for the remaining values for the data that we have in
AppTable II in the APPENDIX. The deterioration in the predictive capacity of the
model is very less as seen from the predicted and actual values for the latest data.
Date
2008-05
2008-06
2008-07
2008-08
2008-09
2008-10
2008-11
2008-12
2009-01
Upper CL
95%
386.7578
63
386.29
Forecast
ed
386.1996
7
385.35
385.3913
704
384.4451
006
383.82
383.8501
6
383.2256
437
382.50
382.6044
673
383.4559
582
382.29
382.8030
87
384.8787
61
383.43
384.1887
657
386.3367
259
384.92
385.6043
222
385.9654
144
387.3637
225
388.0895
898
Actual
Values
386.01
386.77
386.5838
487
387.2574
514
Err
or
0.0
9
0.0
4
0.0
3
0.1
0
0.5
1
0.7
6
0.6
8
0.5
7
0.4
Lower CL
95%
385.6414
769
384.8173
264
383.2552
194
381.9832
91
382.1502
158
383.4987
704
384.8719
184
385.8039
749
386.4253
13
2009-02
2009-03
2009-04
388.6497
004
387.21
387.7607
878
389.1599
587
387.43
388.2100
459
389.6241
52
387.73
388.6092
839
387.71
388.5939
278
389.7118
758
2009-05
9
0.5
5
0.7
8
0.8
8
0.8
8
386.8718
752
387.2601
332
387.5944
158
387.4759
798
From the forecast error values it seems that the model slightly overestimates the
value of CO2 concentration. We suggest using a constant term to offset this error to
improve the model. The residual plots for the model is shown in Figure 6 does not
imply any serious violation in the normality assumption, or the constant variance
assumption.
Versus Fits
99.9
90
Residual
Percent
99
50
10
0
-1
1
0.1
-2
-1
-2
340
350
360
370
Residual
Fitted Value
Histogram
Versus Order
380
80
Residual
Frequency
1
60
40
20
0
-1.80
0.00
Residual
0.45
0.90
1.35
0
-1
-2
50
100
150
200
250
Observation Order
300
It is very difficult to find the order of the AR and MA terms of the time series from
the ACF and PACF plots shown in Figure 2. Which is why the order was not fixed by
us beforehand.
The top models suggested by JMP is shown in Table 2. The best model suggested is
a seasonal ARIMA model ARIMA (0, 1, 1) X (0, 1, 1) 12. This model has very low AIC and SBC
values which shows the model is very parsimonious. The variance, MAPE and MAE values are very low
as well.
Error: Reference source not found shows the summary statistics for the ARIMA
model along with estimates for the seasonal and non-seasonal parameter for the
Moving average term.
Autocorrelation
0.6
0.4
0.2
0.0
-0.2
-0.4
-0.6
-0.8
-1.0
1
12
18
24
30
36
42
48
54
60
Lag
Partial Autocorrelation
0.8
0.6
0.4
0.2
0.0
-0.2
-0.4
-0.6
-0.8
-1.0
1
12
18
24
30
36
42
48
54
60
Lag
Figure 9 and Figure 10 show the sample ACF and PACF plot for the ARIMA model.
This model has successfully removed the non-stationarity of the data. The sample
PACF values is slightly high for some lags for the data, however, it is not very
serious. The values are very low at lags 12 and it is multiple which means that the
seasonality has been captured.
10
The residual plots for the ARIMA model in Figure 11 does not show any apparent
problems with the normality and constant variance assumption of the data. The
comparison of the forecasted values for the next 12 months after the last month of
the modelling data set is shown in Table 3.
Date
2008-05
2008-06
2008-07
2008-08
2008-09
2008-10
2008-11
2008-12
2009-01
Lower CL
Actual
Predicted
Forecast
Upper CL
(0.95)
Values
Value
Error
(0.95)
386.091686
4
386.29
386.3313299
-0.04 386.5709733
385.027223
8
385.35
385.5237459
-0.17
386.020268
383.313875
1
383.82
383.9739049
-0.15 384.6339348
381.893606
7
382.50
382.6840146
-0.18 383.4744225
381.893868
8
382.29
382.7960051
-0.51 383.6981413
383.105731
3
383.43
384.1072078
-0.68 385.1086842
384.366797
5
384.92
385.4586126
-0.54 386.5504277
385.199780
2
386.01
386.3750102
-0.37 387.5502401
385.754637
386.77
387.0077417
-0.24 388.2608462
11
2009-02
2009-03
2009-04
3
386.165922
9
386.550258
386.902281
9
387.21
387.43
387.4923376
387.946138
-0.28
-0.52
388.8187523
389.3420181
387.73
388.3643306
-0.63
389.8263793
All the actual values fall within the upper and lower 95 % prediction intervals for this
model which indicated that the model is a very good predictive model. The
predicted values for the remainder of the available data is shown in AppTable IV in
the APPENDIX. The forecast errors for the latest months shown in AppTable IV is very
low and the model has not deteriorated much with values so far ahead in the future.
12
APPENDIX
Date
2009-06
2009-07
2009-08
2009-09
2009-10
2009-11
2009-12
2010-01
2010-02
2010-03
2010-04
2010-05
2010-06
2010-07
2010-08
2010-09
2010-10
2010-11
2010-12
2011-01
2011-02
2011-03
2011-04
2011-05
2011-06
2011-07
2011-08
Upper CL
388.9736
387.5058
386.3368
386.6152
388.0836
389.5846
390.6522
391.4164
392.0128
392.5574
393.0542
393.1672
392.4596
391.0211
389.8802
390.1857
391.6802
393.2064
394.2985
395.0865
395.7060
396.2732
396.7920
396.9222
396.2360
394.8186
393.6983
Actual
386.74
384.87
383.50
383.71
385.24
386.77
387.70
388.45
389.14
389.47
389.76
389.72
388.81
387.21
386.09
386.53
388.09
389.50
390.22
390.74
391.19
391.50
391.88
391.90
390.97
389.04
387.74
Forecast
387.7856
386.2444
384.9987
385.1973
386.5830
387.9985
388.9781
389.6517
390.1550
390.6043
391.0035
390.9881
390.1798
388.6386
387.3929
387.5916
388.9772
390.3928
391.3723
392.0459
392.5493
392.9985
393.3977
393.3824
392.5741
391.0329
389.7872
Err
-
Lower CL 95%
386.5976339
384.9829509
383.6605511
383.7794026
385.0824078
386.4125257
387.3039739
387.8869714
388.2972771
388.6511703
388.9527917
388.8090868
387.9001611
386.2561915
384.9056706
384.9974518
386.2743355
387.5791904
388.4461546
389.0053771
389.3925551
389.7239135
390.003545
389.8426015
388.9121932
387.2472156
385.8761273
13
2011-09
2011-10
2011-11
2011-12
2012-01
2012-02
2012-03
2012-04
2012-05
2012-06
2012-07
2012-08
2012-09
2012-10
2012-11
2012-12
2013-01
2013-02
2013-03
2013-04
2013-05
2013-06
2013-07
2013-08
2013-09
2013-10
2013-11
2013-12
2014-01
2014-02
2014-03
2014-04
2014-05
2014-06
2014-07
2014-08
2014-09
2014-10
2014-11
2014-12
2015-01
2015-02
2015-03
2015-04
2015-05
2015-06
2015-07
394.0239
395.5382
397.0838
398.1950
399.0018
399.6397
400.2251
400.7618
400.9068
400.2383
398.8383
397.7352
398.0778
399.6087
401.1710
402.2985
403.1214
403.7753
404.3765
404.9289
405.0873
404.4342
403.0495
401.9616
402.3191
403.8650
405.4420
406.5841
407.4214
408.0897
408.7051
409.2716
409.4424
408.8033
407.4325
406.3583
406.7295
408.2889
409.8793
411.0348
411.8854
412.5668
413.1952
413.7747
413.9572
413.3309
411.9729
388.15
389.73
391.10
391.90
392.42
393.02
393.54
393.80
393.69
392.66
390.88
389.77
390.37
391.96
393.37
394.19
394.90
395.51
396.07
396.52
396.58
395.80
394.28
393.08
393.07
394.34
395.77
396.72
397.43
397.85
398.11
398.43
398.49
397.52
395.90
394.79
394.90
396.18
397.69
398.62
399.26
399.85
400.34
400.94
400.99
399.76
398.17
389.9858
391.3715
392.7870
393.7666
394.4402
394.9435
395.3928
395.7920
395.7767
394.9684
393.4271
392.1814
392.3801
393.7657
395.1813
396.1608
396.8344
397.3378
397.7870
398.1863
398.1709
397.3626
395.8214
394.5757
394.7743
396.1600
397.5756
398.5551
399.2287
399.7320
400.1813
400.5805
400.5652
399.7569
398.2157
396.9700
397.1686
398.5543
399.9698
400.9493
401.6229
402.1263
402.5755
402.9748
402.9594
402.1511
400.6099
385.9477512
387.2048606
388.4902996
389.3381842
389.8786432
390.2473559
390.5605307
390.8222453
390.6465213
389.6984442
388.0160457
386.6277721
386.6824351
387.9227979
389.1916947
390.0232331
390.5475336
390.9002677
391.197637
391.4437126
391.2545888
390.2910429
388.5933338
387.1899023
387.2295548
388.4550491
389.7092152
390.5261557
391.0359873
391.3743775
391.657524
391.8894944
391.6879603
390.7104415
388.9988728
387.5816913
387.6077007
388.8196559
390.060384
390.8639852
391.3605736
391.6858142
391.9559026
392.1749041
391.9617396
390.9713608
389.2470183
14
Date
200805
200806
200807
200808
200809
200810
200811
200812
200901
Lower CL
Actual
Predicted
Forecast
Upper CL
(0.95)
Values
Value
Error
(0.95)
386.091686
4
386.29
386.3313299
-0.04
386.5709733
385.027223
8
385.35
385.5237459
-0.17
386.020268
383.313875
1
383.82
383.9739049
-0.15
384.6339348
381.893606
7
382.50
382.6840146
-0.18
383.4744225
381.893868
8
382.29
382.7960051
-0.51
383.6981413
383.105731
3
383.43
384.1072078
-0.68
385.1086842
384.366797
5
384.92
385.4586126
-0.54
386.5504277
385.199780
2
386.01
386.3750102
-0.37
387.5502401
385.754637
386.77
387.0077417
-0.24
388.2608462
15
200902
200903
200904
200905
200906
200907
200908
200909
200910
200911
200912
201001
201002
201003
201004
201005
201006
201007
201008
201009
201010
201011
201012
201101
3
386.165922
9
387.21
387.4923376
-0.28
388.8187523
386.550258
386.902281
9
386.850718
4
385.972518
8
384.355209
4
383.000620
9
383.050376
2
384.301552
7
385.594926
9
386.455108
4
387.033283
3
387.464847
5
387.867024
3
388.234898
4
388.199295
4
387.336713
3
385.733339
6
384.391277
8
384.452365
8
385.713852
8
387.016654
8
387.885496
2
387.43
387.946138
-0.52
389.3420181
387.73
388.3643306
-0.63
389.8263793
387.71
388.3828992
-0.67
389.9150801
386.74
387.577322
-0.84
389.1821252
384.87
386.0294878
-1.16
387.7037662
383.50
384.7416043
-1.24
386.4825877
383.71
384.8556015
-1.15
386.6608267
385.24
386.1688109
-0.93
388.0360692
386.77
387.5222225
-0.75
389.4495181
387.70
388.4406268
-0.74
390.4261452
388.45
389.0753651
-0.63
391.117447
389.14
389.5619678
-0.42
391.659088
389.47
390.0177749
-0.55
392.1685256
389.76
390.4379743
-0.68
392.6410502
389.72
390.4585497
-0.74
392.717804
388.81
389.6549792
-0.84
391.9732451
387.21
388.1091517
-0.90
390.4849639
386.09
386.8232749
-0.73
389.2552721
386.53
386.9392789
-0.41
389.426192
388.09
388.2544951
-0.16
390.7951375
389.50
389.6099134
-0.11
392.203172
390.22
390.5303245
-0.31
393.1751529
388.471658
390.74
391.1670696
-0.43
393.8624812
16
201102
201103
201104
201105
201106
201107
201108
201109
201110
201111
201112
201201
201202
201203
201204
201205
201206
201207
201208
201209
201210
201211
201212
201301
201302
388.910616
1
389.319660
9
389.693934
8
391.19
391.655679
-0.47
394.4007419
391.50
392.1134929
-0.61
394.9073249
391.88
392.535699
-0.66
395.3774632
389.665081
388.809405
5
387.212448
8
385.876367
5
385.943045
1
387.209770
2
388.517493
1
391.90
392.5582811
-0.66
395.4514812
390.97
391.7567174
-0.79
394.7040292
389.04
390.2128967
-1.17
393.2133446
387.74
388.9290267
-1.19
391.9816858
388.15
389.0470373
-0.90
392.1510296
389.73
390.3642603
-0.63
393.5187505
391.10
391.7216854
-0.62
394.9258777
389.390968
389.981502
5
390.424595
4
390.837557
8
391.215550
4
391.190685
4
390.339164
3
388.746137
5
387.413780
7
387.483994
7
388.754083
3
390.065010
8
390.941543
6
391.535000
3
391.980889
391.90
392.6441032
-0.74
395.8972384
392.42
393.2828551
-0.86
396.5842077
393.02
393.7734712
-0.75
397.122347
393.54
394.2332919
-0.69
397.6290259
393.80
394.6575047
-0.86
398.0994591
393.69
394.6820936
-0.99
398.1735018
392.66
393.8825366
-1.22
397.4259089
390.88
392.3407227
-1.46
395.9353079
389.77
391.0588594
-1.29
394.7039381
390.37
391.1788768
-0.81
394.873759
391.96
392.4981066
-0.54
396.2421298
393.37
393.8575384
-0.49
397.650066
394.19
394.781963
-0.59
398.6223824
394.90
395.51
395.4227216
395.9153444
-0.52
-0.41
399.3104428
399.849799
17
201303
201304
201305
201306
201307
201308
201309
201310
201311
201312
201401
201402
201403
201404
201405
201406
201407
201408
201409
201410
201411
201412
201501
201502
9
392.396532
7
392.777097
4
392.755011
5
391.906409
9
390.316175
2
388.986492
9
389.059271
9
396.07
396.3771719
-0.31
400.357811
396.52
396.8033915
-0.28
400.8296855
396.58
396.8299871
-0.25
400.9049627
395.80
396.0324369
-0.23
400.1584639
394.28
394.4926297
-0.21
398.6690841
393.08
393.2127731
-0.13
397.4390534
393.07
393.3347973
-0.26
397.6103228
390.331824
391.645120
2
392.523933
5
393.119588
4
393.567599
3
393.985291
3
394.367837
7
394.347897
5
393.501558
4
394.34
394.6560338
-0.32
398.9802437
395.77
396.0174724
-0.25
400.3898246
396.72
396.9439037
-0.22
401.363874
397.43
397.5866691
-0.16
402.0537497
397.85
398.0812987
-0.23
402.5949982
398.11
398.5451329
-0.44
403.1049745
398.43
398.9733592
-0.54
403.5788808
398.49
399.0019616
-0.51
403.6560257
397.52
398.2064182
-0.69
402.9112779
391.913505
390.585927
7
390.660740
6
391.935259
9
393.250460
7
394.131119
9
394.728565
4
395.90
396.6686177
-0.77
401.4237305
394.79
395.3907679
-0.60
400.1956081
394.90
395.5147989
-0.61
400.3688571
396.18
396.8380421
-0.66
401.7408244
397.69
398.2014874
-0.51
403.1525142
398.62
399.1299255
-0.51
404.1287312
399.26
399.7746976
-0.51
404.8208298
395.178315
399.85
400.271334
-0.42
405.364353
18
201503
201504
201505
201506
201507
395.597696
9
395.981887
2
395.963725
395.119262
6
393.533029
3
400.34
400.7371749
-0.40
405.876653
400.94
401.167408
-0.23
406.3529289
400.99
401.1980172
-0.21
406.4323094
399.76
400.4044805
-0.64
405.6896983
398.17
398.8686868
-0.70
404.2043443
References
[1 "Global Mean Atmospheric CO2 Data," Earth System Research laboratory,
] [Online]. Available: ftp://aftp.cmdl.noaa.gov/products/trends/co2/co2_mm_gl.txt.
[2 "NOAA/ESRL calculation of global means," Earth System Research laboratory,
] [Online]. Available:
http://www.esrl.noaa.gov/gmd/ccgg/about/global_means.html.
[3 D. C. Montgomery, C. L. Jennings and M. Kulahci, Introduction to TIme Series
] Analysis and Forecasting, New Jersey: John Wiley & Sons, Inc., 2015.