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Sizar Dosky
University of Duhok
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ISSN: 1991-8941
Abstract:This research include the application of some statistical technique for studying the time series of the
average monthly humidity as an output series with one of the variables which affect on it, which is the series of the
average monthly relative rainfall as an input which is measured at the meteorological station of Duhok the techniques
used are the modeling by an(ARIMA) model as well as the dynamic regression model. So that the perfect dynamic
regression model selected was suitable for determining the future forecasting values.
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Where Yt : is the output Nt: is the stochastic disturbance which may be auto
Xt: is the input correlated
C: is the constant term. Nt is assumed to be independent of Xt
f(Xt): is the transfer function input Nt output
Xt→[ transfer function]→Yt
1-2 IMPULSE RESPONSE FUNCTION [5],[6] between change in Xt andchanges in Yt .The
We can write a linearly distributed lag transfer individual vk weights in v(B), (v0 , v1, v2, v3,
function in back shift form by defining v(B) …)
as are called the impulse response weights we
v(B)=v0+v1B+v2B2+v3B3+… (3) canestimate that the Vk-bweights as follows
where B is the backshift operator defined such that ^ ^
BkXt= Xt-k Vk= (k ) (6)
We can write the transfer function f(Xt) as a liner ^
combination of current and past Xt value:
Where (k ) estimates
^
the cross correlation
Yt= f(Xt) = v0Xt+v1Xt-1+v2Xt-2+v3Xt-3+…
between ,
(4)
Using equation (5),(4) may be rewritten as ^ : standard deviation of
Yt= v(B) Xt…. (5) ^ : standard deviation of
Equation (5) is a compact way of saying that there is
a linearly distributed lag relationship 1-3 DEAD TIME[5],[6]
Yt might not react immediately to a change in Xt, with v0, there is one v weight equal to zero (v0 = 0), so
some initial v weights may be zero. The b=1.Alternatively if
number of v weight sequal to zero (starting with v0 )
is called dead time denoted as b, starting
v0 =v1 =v2 = 0 and v3 0 then b=3.
1-4 THE RATIONAL DISTRIBUTED LAG
FAMILY[5],[6]
The Koyck impulse response function is just one models. This family is a set of impulse response
member of the family of rational polynomial functions v(B) given by
distributed lag
b
v(B) = w (B )B where (7) 1-5 BUILDING DYNAMIC REGRESSION
(B ) MODELS(DR) [3],[5], [6].
w(B) = w0 + w1B + w2B2 + …+whBh (8) A dynamic regression (DR) model with one input
consists of a transfer function plus a
(B ) 1 1B 2 B ... r B r
2
(9) disturbance. This may bewritten as
Where h: represents the order of (w) Yt= c + v(B) + Nt
r: represents the order of ( ) Where
Extending this frame work to m inputs, i=1,2,…,m, is (B s ) (B )
straight forward. The result may be written Nt= a
compactly as
(B s ) (B )sD d t
m and
Yt= v
i 1
i (B )X i ,t at : is zero mean and normally distributed white noise
m
w i (B )B bi 1-6 PREPARATION AND PREWHITENING
=
i 1 i (B )
X i ,t (10) OF THE INPUTS AND OUTPUTS
SERIES [1],[2],[5]
Rewriting this process, we may think of AR and MA The series t (in practice t^ ) is called the pre
operators as a filter that, when applied to Xt,
produces an uncorrelated residual series whitened Xtseries now suppose we apply the
same
t x1 (B )x (B )X t filter to Yt: this will produce another residual series
t x1 (B )x (B )Y t
1-7 IDENTIFICTION a) ESTIMATION OF THE IMPULSE
RESPONSE WEIGHTS [5]
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Equation (7) shows that if we prewhiten the procedures. in practice we don’t know the parameters
input, and apply the same filter to the output, on the right side of equation (7).Instead
then we substitute estimates of these parameters obtained
the v weights are proportion to the cross correlations from the data to arrive at the following
of the residuals from these two filtering estimated v weights
r (k ) ^
v k^
^
b) IDENTIFICATION OF (r,s,b) FOR THE v j 1v j 1 2v j 2 ... rv j r + w0 ;
TRANSFER FUNCTION[6]
We obtain the identity j=b
v j 0; j<b v j 1v j 1 2v j 2 ... rv j r - wj-b;
j = b +1, b+2, …,b+s
v j 1v j 1 2v j 2 ... rv j r ; j> b + s
c)DISTURBANCE SERIES [5]
We generate an estimate of the Nt series denoted by This disturbance series ( Nt ) in a dynamic regression
N^t, the estimate disturbance series and it is computed will often be autocorrelated.
as: N (B )N t N (B )at where
̂𝑡 = Yt−𝑣1 (𝐵)𝑋𝑡
𝑁
𝑤𝑠 (𝐵) at : is zero mean and normally distributed white noise
= Yt- 𝐵𝑏 𝑋𝑡 1-8 ESTIMATION [2],[3],[4]
𝛿𝑟 (𝐵)
At the identification stage we tentatively specify a and a disturbance series ARIMA model of orders
rational from transfer function model of orders (b,r,s), (p,d,q) We identified the following DR model
𝑤(𝐵)𝐵𝑏 𝜃𝑁 (𝐵) model using the available data. To estimate (11) we
Yt= 𝑋𝑡 + 𝑎𝑡
𝛿(𝐵) 𝜑𝑁 (𝐵) will use initial values to refer to coefficient
values can often be found from identification stage
(11) information to estimate the coefficients in
At the second stage of our modeling strategy we w(B) and (B ) the next step in estimation is to
estimate the parameters of the identified DR
compute the SSR(sum of squared residua
n
SSR = a
i 1
i
2
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en(I) = Yn+I - 𝑌̂n(I) The forecast error variance for lead I from origin n is
thus, subtracting (26) from (25) gives the forecast the mathematical expectation
error V(I) = E[en(I)]2
en(I)=𝜂0 𝛼𝑛+1 + 𝜂𝐼 𝛼𝑛+𝐼−1 + ⋯ + 𝜂𝐼−1 𝛼𝑛+𝐼 + 𝛼𝑛+𝐼 + 2-1 Wherethe expected value of the forecast error is
𝜓𝐼 𝑎𝑛+𝐼−1 + ⋯ + 𝜓𝐼−1 𝑎𝑛+1 (27) zero. Therefore squaring (27) and taking
expected values gives preparation and
prewhitening of the inputs and outputs series
1)cross-correlation between output RH(Yt) 2) APPLICATION
and input rainfall (Xt). we plot the time series This section contains applying section two. The first
of it by using software of Minitab (13.2) as in method is testing of cross-correlation function
figures(1),(2) respectively we show that the between prewhitening of the input denoted by rainfall
series is stationary in mean and variance and of the output denoted by humidity (RH). We take
the monthly average of the meteorological station of
V(I) = 𝜎𝛼2 ∑𝐼−1 2 2 𝐼−1 2
𝑗=0 𝜂𝑗 + 𝜎𝑎 ∑𝑗=0 𝜂𝑗 Duhok for the period (1992) to (2006), all data are
(28) shown in the tables(1) in the appendix (A). The
In finding this result we use the fact that at and 𝛼𝑡 are second method is it used to test 𝜒 2 between two series
mutually independent and not auto correlated. of input and output by using equation
80
200
70 ranfall x1
60
RH Yt
100
50
40
0
30
20 40 60 80 100
Index 20 40 60 80 100
Figure(1):the time series plot of(RH) Figure(2):the time series plot of rainfall
We plot (Autocorrelation function) ACF for the RH and rainfall series in figures (3),(4) we show that the seasonality
period (8) months.
Autocorrelation Function for RH Yt
1.0
Autocorrelation
0.8
0.6
0.4
0.2
0.0
-0.2
-0.4
-0.6
-0.8
-1.0
5 15 25
LBQ
Lag Corr T LBQ Lag Corr T LBQ Lag Corr T Lag Corr T LBQ
1 0.53 5.77 34.15 10 -0.05 -0.28 191.84 19 -0.41 -1.81 362.49 28 -0.42 -1.57 552.67
2 0.05 0.47 34.50 11 -0.40 -2.16 212.95 20 -0.54 -2.32 405.18 29 -0.32 -1.15 568.79
3 -0.33 -2.90 48.26 12 -0.49 -2.57 245.45 21 -0.44 -1.78 432.99
4 -0.51 -4.14 80.45 13 -0.37 -1.81 263.59 22 -0.07 -0.28 433.72
5 -0.32 -2.33 93.72 14 -0.10 -0.46 264.84 23 0.32 1.26 448.77
6 0.00 0.01 93.72 15 0.33 1.58 279.74 24 0.52 2.06 490.27
7 0.44 3.02 118.40 16 0.55 2.60 321.90 25 0.34 1.28 507.66
8 0.66 4.21 174.27 17 0.32 1.43 336.26 26 -0.04 -0.16 507.94
9 0.36 2.04 191.49 18 -0.11 -0.48 337.97 27 -0.32 -1.21 524.34
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Autocorrelation
0.8
0.6
0.4
0.2
0.0
- 0.2
- 0.4
- 0.6
- 0.8
- 1.0
5 15 25
Lag Corr T LBQ Lag Corr T LBQ Lag Corr T LBQ Lag Corr T LBQ
200
20
10 100
D.ranfall
D.RH
0
0
-10
-100
-20
-30 -200
20 40 60 80 100 20 40 60 80 100
1.0
Autocorrelation
0.8
0.6
0.4
0.2
0.0
-0.2
-0.4
-0.6
-0.8
-1.0
5 15 25
Lag Corr T LBQ Lag Corr T LBQ Lag Corr T LBQ Lag Corr T LBQ
1 -0.12 -1.28 1.67 10 -0.06 -0.46 46.43 19 -0.04 -0.31 58.20 28 0.03 0.21 68.49
2 0.03 0.30 1.77 11 0.14 1.08 48.76 20 0.03 0.20 58.30
3 -0.18 -1.88 5.58 12 -0.01 -0.05 48.77 21 0.03 0.26 58.46
4 -0.02 -0.24 5.65 13 0.05 0.39 49.09 22 0.01 0.08 58.48
5 0.05 0.49 5.94 14 -0.05 -0.37 49.37 23 0.08 0.57 59.29
6 0.07 0.75 6.60 15 -0.14 -1.11 51.99 24 -0.14 -1.08 62.26
7 0.25 2.50 14.12 16 0.15 1.19 55.10 25 0.20 1.48 67.96
8 -0.51 -4.84 45.90 17 -0.15 -1.12 57.97 26 0.05 0.37 68.35
9 0.03 0.25 46.01 18 0.00 0.02 57.97 27 0.01 0.06 68.36
Figure (7): (Autocorrelation function) ACF for differenced time series of( rainfall)
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Partial Autocorrelation
1.0
0.8
0.6
0.4
0.2
0.0
-0.2
-0.4
-0.6
-0.8
-1.0
5 15 25
The figures (7) and (8) suggest that the tentative 1 X 1 where X0 = 0
model for the differenced series is ARMA(1,1) as
shown in the equation below: The researcher writes the program through the use of
(1 B )X (1 B )t
macro within Minitab just as program (1) in the
appendix (B).we can find the results of series( t )
t
^
X t X t 1 t t 1
t X t X t 1 t 1 are the same as in the table (1).
Table(1) :the values of ( ) variable input (rainfall) with ( =0.7955)and ( =0.9142)
^
t
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t T t T
r r r r
0 0.378 6 -0.004 12 0.025 18 -0.214
1 0.147 7 0.110 13 -0.011 19 -0.135
2 0.068 8 -0.090 14 -0.078 20 -0.062
3 0.122 9 0.038 15 -0.071 21
4 0.118 10 0.148 16 -0.019 22
5 0.171 11 0.048 17 -0.128 23
Figure(9):correlation coefficient between ( t ) and ( t ) determines the dead time for input(RH).It is clear from
^ ^
the figure (9) that the dead time is (b=0) close to zero 2) identification
which explains (0) 0 significant and all of 2.1- estimation of the impulse response weights
values near to zero, we can say that there is feedback We estimate of the impulse response weights
between output series (Yt) and input (Xt). We find between input (Xt ) and output series (Yt ) in the
table (4) below
ACF between residual series and series ( t ).we can
^
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Table (4): the values of the impulse response of input variable (rainfall X t)
t V T v t V t v
0 0.0499 6 -0.0005 12 0.0033 18 -0.0282
1 0.0194 7 0.0145 13 -0.0014 19 -0.0178
2 0.0089 8 -0.01188 14 -0.0103 20 -0.00819
3 0.0161 9 0.0050 15 -0.0093 21
4 0.01558 10 0.0195 16 -0.0025 22
5 0.0225 11 0.00634 17 -0.0169 23
2)identification of (r,s,b) for the transfer function 3) disturbance series
It is clear from the figure (9) taking one change We find disturbance series by using the equation
point will continue toward itself for a few
N t Y t v 0 X t v 1X t 1 ... v 20X t 20
periods(s=5). It transfer to the other side thus
than (r=1) .the pattern can be written as: (30)
By using equation (30) we can obtain the number of
(w w 1B w 2 B 2 w 3B 3 w 4B 4 w 5B 5 ) disturbance series which their values less than the
Yt 0 X t Nt input and output series values(t=21) so, we can apply
(1 1B ) them in program (3) in appendix(B) the values in the
table (5)
(29)
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2 12 22
Lag Corr T LBQ Lag Corr T LBQ Lag Corr T LBQ Lag Corr T LBQ
1 -0.02 -0.15 0.02 8 -0.32 -2.94 15.13 15 0.03 0.23 21.15 22 0.15 1.16 26.62
2 -0.13 -1.23 1.60 9 0.17 1.42 18.12 16 0.03 0.25 21.27
3 0.05 0.51 1.88 10 0.01 0.11 18.14 17 -0.12 -0.98 22.97
4 -0.00 -0.00 1.88 11 0.02 0.15 18.18 18 -0.01 -0.08 22.98
5 0.02 0.21 1.93 12 0.11 0.89 19.45 19 -0.05 -0.43 23.32
6 0.13 1.22 3.63 13 0.00 0.01 19.45 20 -0.06 -0.48 23.76
7 -0.10 -0.88 4.55 14 -0.12 -0.98 21.06 21 -0.04 -0.32 23.97
1.0
0.8
0.6
0.4
0.2
0.0
- 0.2
- 0.4
- 0.6
- 0.8
- 1.0
2 12 22
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n
SSR = a
t 1
t
2
By using Ljung and Box(1978) below The test statistic proposed by Ljung and
𝑠 = 𝑛 2 ∑𝐾𝑘=0(𝑛 − 𝑘)
−1
(𝑟𝑘 )2 = 8.1 Box(1978) is
This value is less than the 𝜒 2 critical value
(11.07) for K+1-m=10+1-6=5 degrees of 𝑄 ∗ = n (n+2)∑𝐾
𝑘=1(𝑛 − 𝑘)
−1 2
𝑟𝑘 (𝑎̂) = 11.9
freedom at the 5% level. Therefore we do not
reject the stated H0. this value is less than the 𝜒 2 critical value
b) Autocorrelation Check (37.65) for K - m=26-1= 25 degrees of
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[3] Liu, L. –M. (2006).Time Series Analysis [6] Macaffee K (1991). Forecasting with
and Forecasting. 2nd edit, Dynamic Regression Model, John Wiley &
Scientific computing Associates U. S. A. sons INC. , New York.
[4] Makridakis, S, Wheelwright, S. C. and [7] Wei, W.W.S. (1990). “Time Series
Hyndman, R. (1998). Forecasting methods and Analysis- Univariate and Multivariate
Applications, Wiley, New York. Method”.,Addison –Wesley publishing
[5] Pankratz, A. (1983). Forecasting company,Inc., The Advanced book program,
withUnivariate Box- Jenkins California,USA
Model.Concepts and cases, John Wiley &
sons INC. New York.
.
Appendix (A)
monthly average of the humidity and rainfall of the meteorological station of Dohuk for the period (1992) to (2006)
Year Month humidity rainfall year month RH rainfall year month RH rainfall
1992 Jan. 72 164.0 1997 Jan. 67 53.0 2002 Jan. 69 103.8
Feb. 69 234.7 Feb. 60 133.7 Feb. 54 48.0
Mar. 60 32.8 Mar. 64 82.0 Mar. 52 186.8
Apr. 63 18.2 Apr. 61 74.5 Apr. 59 72.1
May. 47 19.8 May. 55 0.5 May. 33 4.3
Oct. 42 0.0 Oct. 56 39.1 Oct. 40 16.1
Nov. 52 159.9 Nov. 60 33.0 Nov. 50 23.7
Des. 66 198.4 Des. 75 108.8 Des. 75 204.9
1993 Jan. 71 76.0 1998 Jan. 74 86.6 2003 Jan. 69 96.8
Feb. 73 78.2 Feb. 68 83.5 Feb. 78 211.3
Mar. 70 54.8 Mar. 62 140.2 Mar. 69 139.6
Apr. 59 109.9 Apr. 57 36.0 Apr. 60 30.5
May. 53 206.8 May. 45 20.9 May. 37 3.7
Oct. 45 51.0 Oct. 38 4.0 Oct. 42 21.9
Nov. 60 113.0 Nov. 46 3.0 Nov. 61 71.2
Des. 68 29.5 Des. 49 9.2 Des. 72 112.0
1994 Jan. 69 113.2 1999 Jan. 62 38.0 2004 Jan. 72 126.8
Feb. 77 76.4 Feb. 60 71.8 Feb. 71 89.5
Mar. 50 163.6 Mar. 56 77.3 Mar. 49 30.3
Apr. 55 150.8 Apr. 51 12.6 Apr. 60 91.1
May. 36 13.7 May. 32 0.0 May. 42 16.9
Oct. 47 16.0 Oct. 39 14.8 Oct. 34 8.3
Nov. 66 194.1 Nov. 47 11.2 Nov. 68 136.2
Des. 66 181.9 Des. 55 58.6 Des. 58 11.9
1995 Jan. 66 50.0 2000 Jan. 68 209.7 2005 Jan. 63 183.2
Feb. 57 110.9 Feb. 58 26.3 Feb. 64 100.9
Mar. 54 152.2 Mar. 52 83.6 Mar. 61 57.2
Apr. 61 78.7 Apr. 48 33.3 Apr. 52 16.1
May. 40 0.0 May. 33 0.0 May. 39 41.5
Oct. 33 0.0 Oct. 38 12.8 Oct. 31 1.7
Nov. 49 21.2 Nov. 49 66.8 Nov. 44 29.7
Des. 56 7.8 Des. 73 174.1 Des. 50 72.9
1996 Jan. 68 208.5 2001 Jan. 67 36.6 2006 Jan. 66 209.3
Feb. 62 71.7 Feb. 66 100.5 Feb. 60 188.6
Mar. 70 163.1 Mar. 64 84.3 Mar. 47 35.9
Apr. 59 55.1 Apr. 59 47.3 Apr. 56 142.6
May. 44 4.9 May. 41 0.0 May. 40 8.2
Oct. 41 5.5 Oct. 44 8.0 Oct. 44 100.4
Nov. 48 17.7 Nov. 56 25.0 Nov. 55 48.9
Des. 72 207.5 Des. 69 91.9 Des.
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Appendix (B)
The software Minitab(13.2) is used in the following macro programs.
Program (1): the values of ( t ) variable input (rainfall)
^
gmacro
aa.macro
let c4(1)=-88
do k3=2:111
let c4(k3)=c2(k3)- 0.7955*c2(k3-1)+ 0.9142*c4(k3-1)
enddo
endmacro
Program (2): values ( t ) for output (RH)
^
gmacro
aa.macro
let c5(1)=-1
do k3=2:111
let c5(k3)=c1(k3)- 0.7955*c1(k3-1)+ 0.9142*c5(k3-1)
enddo
endmacro
Program (3): estimate values of disturbance series Nt by using matlab program
For i=1:111
For k=1:21
Z(I,k)= v(k)*ul(i+21)-k);
end;
end
for i=1:111
s(i)=0;
for j=1:21
s(i)=s(i)-z(i,j);
end
end
for i=22:111
n(i)=y(i)+s(i-20)
end
^
program (4): the values of series ( at )
gmacro
aa.macro
let c3(5)=0
do k1=6:111
let c3(k1)=c1(k1)+ 0.222*c1(k1-1)- 0.0499*c2(k1)-0.0304778*c2(k1-1)-0.0132066*c2(k1-2)-
0.01808*c2(k1-3)-0.01915*c2(k1-4)- 0.025958*c2(k1-5)-0.222*c3(k1-1)
enddo
let k4=sum(c3(k1)**2)
print k4
endmacro
الخالصة
يتضمن هذا البحث تطبيقات على بعض التقنيات االحصائية لدراسة السلسلة الزمنيةة لمعةدالت الرطةبةة الية رية لسلسةلة م رعةات مةل احةد المت يةرات التة
ARIMA تةةر ر علي ةةا ةهةةة سلسةةة معةةدالت االمطةةار الي ة رية الت ة تةةك لياس ة ا و ة محطةةة دهةةةي لسن ةةاه العةيةةة ةالتقنيةةات الت ة اسةةت دمت ه ة نمةةةذ
. ةبذلي يلةن نمةذ االنحدار الحرل التاك الم تار مسئماَ اليعاد القيك التنبةئية للقيك المستقبلية. ةالنمذعة باالنحدار الحرل
165