Testing the residuals of an ARIMA model on the Çekerek Stream watershed in Turkey

Yüreki K., Kurunç A., Öztürk F.

Turkish Journal of Engineering and Environmental Sciences, cilt.29, sa.2, ss.61-74, 2005 (Scopus) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 29 Sayı: 2
  • Basım Tarihi: 2005
  • Dergi Adı: Turkish Journal of Engineering and Environmental Sciences
  • Derginin Tarandığı İndeksler: Scopus, TR DİZİN (ULAKBİM)
  • Sayfa Sayıları: ss.61-74
  • Anahtar Kelimeler: ARIMA model, Çekerek stream, Diagnostic checks, Monthly streamflow
  • Akdeniz Üniversitesi Adresli: Hayır

Özet

In ARIMA modeling studies, the selection of a best model fit to historical data is directly related to whether residual analysis is performed well. Therefore, diagnostic checks including the independence, normality and homoscedasticity of residuals is the most important stage of ARIMA model building. This study is concerned with testing residuals from ARIMA models for monthly streamflow data from the Çekerek Stream watershed. Alternative tests including the Ljung-Box Q statistic, runs test and turning point test for independence analysis of the residuals; Kolmogorov-Smirnov and Anderson-Darling tests for normality of residuals; and Goldfeld-Quandt, Breusch and Pagan and Spearman's rho approaches for the homoscedasticity of residuals were used. The selected parsimony model for each data set among the ARIMA models fulfilled the diagnostic checks, considering the Schwarz Bayesian criterion. © Tübi̇tak.