Application of Linear Stochastic Models

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Int. J. Hydrology Science and Technology, Vol. 7, No.

2, 2017 197

Application of linear stochastic models to monthly


streamflow data of Rahad River, Sudan

Tariq Mahgoub Mohamed*


Department of Civil Engineering,
Jazan University,
Jazan, KSA
Email: tariqcivil73@yahoo.com
*Corresponding author

Ette Harrison Etuk


Department of Mathematics,
Rivers State University of Science and Technology, Nigeria
Email: ettetuk@yahoo.com
Email: ettehetuk@gmail.com
Email: etuk.ette@ust.edu.ng

Abstract: Time series analysis and forecasting has become a major tool in
different applications in hydrology and environmental management fields.
Linear stochastic models known as multiplicative seasonal autoregressive
integrated moving average (SARIMA) model were used to simulate and
forecast monthly streamflow of Rahad River, Sudan. For the analysis, monthly
streamflow data for the years 1972 to 2009 were used. A visual inspection of
the time plot gives the expected impression of a generally horizontal trend and
12-month seasonal periodicity. The seasonality observed in auto correlation
function (ACF) and partial auto correlation function (PACF) plots of monthly
streamflow data was removed using first order seasonal differencing prior to
the development of the SARIMA model. Interestingly, the SARIMA (2, 0, 0) ×
(0, 1, 1)12 model developed was found to be most suitable for simulating
monthly streamflow for Rahad River. The model was found appropriate to
forecast three years of monthly streamflow and assist decision makers to
establish priorities for water demand.

Keywords: streamflow; Rahad River; Sudan; SARIMA models.

Reference to this paper should be made as follows: Mohamed, T.M. and


Etuk, E.H. (2017) ‘Application of linear stochastic models to monthly
streamflow data of Rahad River, Sudan’, Int. J. Hydrology Science and
Technology, Vol. 7, No. 2, pp.197–212.

Biographical notes: Tariq Mahgoub Mohamed is an Assistant Professor of


Hydrology in the Department of Civil Engineering, Jazan University, Jazan,
KSA. He lectures hydrology, water resources engineering, and fluid mechanics
at the university. He has published extensively in reputable academic journals
all over the world. His research interests are in the areas of statistical
hydrology, droughts in arid and semi-arid regions and time series analysis.

Copyright © 2017 Inderscience Enterprises Ltd.


198 T.M. Mohamed and E.H. Etuk

Ette Harrison Etuk is a Professor of Statistics in the Department of


Mathematics, Rivers State University of Science and Technology, Port
Harcourt, Nigeria. His research interests are in the areas of time series analysis,
operations research and design of experiment. He has long experience of
university teaching and administration and in the process produced many
graduates of various programmes and levels into the world market. He has
published more than a hundred papers in reputable academic journals the world
over.

1 Introduction

The Rahad River, which catchment is in the Ethiopian uplands, is entirely seasonal. It
rises to the west of Lake Tana, Ethiopia, and flows westwards across the Sudanese border
joining the Blue Nile below Wad Madani, Sudan. The basin is characterised by highly
rugged topography and considerable variation of altitude ranging from about 410 metres
above sea level (masl) at Wad Madani to over 4,250 (masl) in the Ethiopian highlands
(Melesse, 2011). The flow in the river starts in July; the flood reaches its peak in the last
week of September and dries out by the end of November. Rahad River has been
measured at Abu Haraz, Sudan, near its mouth from 1908 to 1951, with a record at
El Hawata from 1972. The gap in the record between 1951 and 1972 was filled by means
of a statistical model. The average annual flow for the Rahad River is 1.076 km3 (1972 to
2009). The range of annual flows is great; the maximum recorded in the early years was
1.96 km3 in 1909 for the river, compared with low flows in 1941 of 0.53 km3. This low
flow has been cancelled in 1984 by flows of 0.29 km3 (Sutcliffe et al., 1999).
The Rahad agricultural project, which is semi-arid region, lies along the east bank of
the Rahad River about 160 km southeast of Khartoum in the central part of the Sudan.
ELFau town is the headquarters of the project which is about 280 km from Khartoum
along Khartoum – Port Sudan highway. The project area of the scheme is about 25 km
wide and 160 km long. It is situated in a vast clay plain at an elevation of
400 to 430 metres above sea level (Benedict et al., 1982). The annual rainfall ranges from
350 mm in the northern part of the project to about 600 mm in the south. The length of
rainy season fluctuates around five months, i.e., from June to October and the peak of
rainfall is in August. Temperatures are highest in April and May, and lowest in January.
The water supply resources for the Rahad project are the Blue Nile River and the Rahad
seasonal river. During a normal year, the Rahad could supply the full requirements of the
project during August and September, but not during the peak month of October
(Document of International Bank for Reconstruction and Development – International
Development Association, 1973). Therefore, the monthly flow forecasting for
Rahad River plays an important role in the planning and management of Rahad
agricultural scheme.
During the last decades, several studies have developed methods of analysing
stochastic characteristics of streamflow time series (Yurekli et al., 2005; Modarres, 2007;
Can and Selim, 2009). The most widely used model is the ARIMA model. For instance,
Can and Selim (2009) fitted an ARIMA (0, 1, 1) model to mean monthly streamflows at
Asagıkagdaric gauging station on Karasu River, Turkey. Yurekli et al. (2005) examined
monthly streamflow data in Cekerek stream watershed, Turkey, and fitted a SARIMA
Application of linear stochastic models to monthly streamflow data 199

(1, 0, 0) × (0, 1, 1)12 to it. Abudu et al. (2010) observed that ARIMA and SARIMA can
be used in the one-month-ahead streamflow forecasting of Kizil River, China. The work
of Papamichail and Georgiou (2001) was also a demonstration of the ability of SARIMA
models to forecast monthly inflows of the Almopeos River in Northern Greece with
19-year long monthly inflow series. Bazrafshan et al. (2015) found that the application of
SARIMA modelling was suitable for the forecasting of hydrological drought in the
Karkheh Basin. Another application of SARIMA modelling for short-term forecasting of
hydrological data is that of Karavitis et al. (2015) and Soltani et al. (2007) applied
multiplicative SARIMA modelling on Iranian rainfall data. These are just to mention a
few.
In this study, linear stochastic models known as multiplicative seasonal
autoregressive integrated moving average (SARIMA) models were used to model
monthly flow for Rahad River, Sudan. That is the objective of this work.

2 Materials and methods

2.1 Data
In this study, streamflow data for the Rahad River at El Hawata gauging station were
obtained from the Ministry of Water Resources and Electricity, covering the period
1972–2009. It includes a length of 38-years. That is, 456 monthly observations.

2.2 Modelling by SARIMA methods


A stationary time series can be modelled in different ways: an autoregressive (AR)
process, a moving average (MA) process, or an autoregressive and moving average
(ARMA) process. However, an ARMA model can be used when the data are stationary,
ARMA models can be extended to non-stationary series by allowing differencing of data
series. These models are called autoregressive integrated moving average (ARIMA)
models. A time series is said to be stationary if it has constant mean and variance.
The general non-seasonal ARIMA model is AR to order p and MA to order q and
operates on dth difference of the time series Xt; thus, a model of the ARIMA family is
classified by three parameters (p, d, q) that can have zero or positive integral values. The
general non-seasonal ARIMA model may be written as
φ ( B)∇ d X t = θ ( B)εt (1)

where
φ(B) and θ(B) polynomials of order p and q, respectively.
φ ( B) = (1 − φ1 B − φ2 B 2 −"φp B p ) (2)

and

θ ( B ) = (1 − θ1 B − θ2 B 2 −" θq B q ) (3)
200 T.M. Mohamed and E.H. Etuk

Often time series possess a seasonal component that repeats every s observations. For
monthly observations s = 12 (12 in 1 year), for quarterly observations s = 4 (4 in 1 year).
Box et al. (1994) have generalised the ARIMA model to deal with seasonality, and define
a general multiplicative seasonal ARIMA model, which are commonly known as
SARIMA models. In short notation, the SARIMA model described as ARIMA (p, d, q) ×
(P, D, Q) s, which is mentioned below:

φp ( B )Φ p ( B s ) ∇ d ∇ sD ( X t ) = θq ( B )ΘQ ( B s ) εt (4)

where p is the order of non-seasonal autoregression, d the number of regular differencing,


q the order of non-seasonal MA, P the order of seasonal autoregression, D the number of
seasonal differencing, Q the order of seasonal MA, s is the length of season, Φp and ΘQ
are the seasonal polynomials of order P and Q, respectively.

2.3 Statistical software


The econometric and statistical software Eviews-6 was used for all the analytical work. It
is based on the least squares optimisation criterion.

2.4 Performance evaluation


The following measures were used to evaluate the performance of the models:
1 Mean absolute error:
n
1
MAE =
n ∑Y −F
i =1
i i (5)

2 Root mean squared error:


n
1
∑ (Y − F )
2
RMSE = i i (6)
2 i =1

3 Theil inequality coefficient:

1

n
(Yi − Fi )
TIC = n i =1
(7)
1 1
∑ i =1 (Yi ) + ∑ i =1 ( Fi )
n 2 n 2

n n
4 Coefficient of determination:
2

∑ i =1 (Yi − Y )( Fi − F ) ⎤
n

R2 = ⎢ ⎥ (8)
⎢ 2 ⎥
∑ (Yi − Y ) ∑ ( Fi − F )
n n 2
⎢ ⎥
⎣ i =1 i =1 ⎦
Application of linear stochastic models to monthly streamflow data 201

5 Coefficient of efficiency:


n
i =1
(Yi − Fi )2
E = 1− (9)
∑ (Yi − Y )2
n
i =1

where Yi are the n observed flows, Fi are the n modelled flows, Y is the mean of the
observed flows, F is the mean of the modelled flows.
Coefficient of efficiency, E, introduced by Nash and Sutcliffe (1970) is still one of the
most widely used criteria for the assessment of model performance. Model efficiency of
90% and above indicates very satisfactory performance. A value in the range of 80% to
90% indicates fairly good performance. A value below 80% is considered unsatisfactory
(Shamseldin et al., 1997).

3 Results and discussion

The time series model development consists of three stages: identification, estimation and
diagnostic check (Box et al., 1994). In the identification stage, data transformation is
often needed to make the time series stationary. During the estimation stage, the model
parameters are calculated. Finally, diagnostic test of the model is performed to reveal
possible model inadequacies to assist in the best model selection.

3.1 Model identification


Model computation was made with streamflow monthly data from between January 1972
and December 2006. The dataset from January 2007 to December 2009 was considered in
forecasting estimations of the model.
The time series plot was conducted using the monthly streamflow data for
Rahad River at El Hawata gauge station to assess the stability of the data, and Figure 1
was obtained. The plot shows that there is a seasonal cycle of the series and the series is
non-stationary. The seasonal fluctuations occur every 12 months, resulting in period of
time series s =12. The time-plot shows no noticeable trend.
Non-stationarity is also confirmed by the augmented Dickey-Fuller (ADF) unit root
test on the monthly streamflow data in Table 1. The ADF test was done on the entire
streamflow data. The table displays results of the test: statistic value –1.04065 greater
than critical vales –2.57019, –1.94154, –1.61621 all at 1%, 5% and 10%, respectively.
This indicates that the series is non-stationary and also confirm that the data needs
differencing in order to be stationary. Chen and Rao (2002) also observed monthly
steamflow as non-stationary. This non-stationarity stems from the seasonal nature of the
series. This seasonality in turn due to climate change from wet and dry season; in the wet
or rainy season, the water level is bound to rise and it falls with the setting in if the dry
season. Seasonality of the time series is also evident from an inspection of the series
arranged in a yearly/monthly basis as in Table 6.
202 T.M. Mohamed and E.H. Etuk

Figure 1 Time plot of monthly streamflow of Rahad River (1970–2009) in (Mm3)


RAHAD
600

500

400

300

200

100

0
1975 1980 1985 1990 1995 2000 2005

Table 1 ADF-unit root test for Rahad River monthly flow

Level of Critical
Station Variable ADF test Probability Result
confidence value
El Hawata Monthly –1.04065 1% –2.57019 0.2687 Non-stationary
flow 5% –1.94154
10% –1.61621

From the plot of the auto correlation function (ACF) and partial auto correlation function
(PACF) of the monthly data, Figure 2, it has been found that the data is seasonal of
period 12 months and must therefore be differenced by one seasonal degree of
differencing to achieve stationary (D = 1, s = 12). Differencing for non-seasonal ARIMA
was not done due to absence of trends in the datasets. Figure 3 confirms that the ACF and
PACF plots for the differenced and de-seasonalised data were stable and the SARIMA
model (p, 0, q)(P, 1, Q)12 could be identified for further analysis.
Once the time series was adjusted for stationarity, the order of ARMA was estimated
using the autocorrelation and partial autocorrelation function plots, Figure 3. The
autocorrelation structure suggests many multiplicative SARIMA models.
The optional models, the Akaike information criterion (AIC) and the Schwarz
criterion (SC) values are shown in Table 2. The model that gives the minimum AIC and
SC is selected as best fit model. Obviously, model SARIMA (2, 0, 0) (0, 1, 1)12 has the
smallest values of AIC and SC, then one would temporarily have a model SARIMA
(2, 0, 0) × (0, 1, 1)12.
Application of linear stochastic models to monthly streamflow data 203

Figure 2 ACF and PACF plots for Rahad River monthly flow (see online version for colours)

Table 2 Comparison of AIC and SC for the selected models

Variable Station Model AIC SC


Monthly flow El Hawata SARIMA(2, 0, 0) × (0,1, 1)12 10.4142 10.4438
SARIMA(2, 0, 0) × (1, 1, 1)12 10.4306 10.4710
SARIMA(1, 0, 0) × (0, 1, 1)12 10.4290 10.4487
SARIMA(2, 0, 0) × (0, 1, 0)12 10.9879 11.0076
204 T.M. Mohamed and E.H. Etuk

Figure 3 ACF and PACF plots after one seasonal difference (see online version for colours)

3.2 Parameter estimation


After the identification of model using the AIC and SC criteria, estimation of parameters
is done. The value of the parameters, associated standard errors, t-ratios and p-values
(< 5%) are listed in Table 3. The result indicated that the parameters are significant since
its p-values are smaller than alpha level (0.05) and should be retained in the model.

3.3 Diagnostic check


Once an appropriate model is selected and its parameters are estimated, the Box-Jenkins
methodology requires examining the residuals of the model to verify that the model is an
adequate one for the series. An adequate model should have uncorrelated residuals. This
is the minimal condition. For a good forecasting model, the residuals must satisfy the
Application of linear stochastic models to monthly streamflow data 205

requirements of a white noise process. Several tests were carried out on the residual
series. The tests are summarised briefly in the following paragraphs.
Table 3 Estimation of the SARIMA (2, 0, 0) × (0, 1, 1)12 model

Dependent variable: D(RAHAD, 0, 12)


Method: Least squares
Sample (adjusted): 1973M03 2006M12
Included observations: 406 after adjustments
Convergence achieved after 14 iterations
MA Backcast: 1972M03 1973M02
Variable Coefficient Std. error t-statistic Prob.
AR(1) 0.631616 0.049298 12.81226 0.0000
AR(2) –0.148952 0.049431 –3.013314 0.0027
MA(12) –0.966407 0.008976 –107.6645 0.0000
R-squared 0.624067 Mean dependent var. 1.522149
Adjusted R-squared 0.622202 S.D. dependent var. 71.60754
S.E. of regression 44.01379 Akaike info criterion 10.41424
Sum squared resid. 780,697.1 Schwarz criterion 10.44385
Log likelihood –2,111.092 Hannan-Quinn criter. 10.42596
Durbin-Watson stat 1.993533
Inverted AR roots 0.32–0.22i 0.32+0.22i
Inverted MA roots 0.99 0.86+0.50i 0.86–0.50i 0.50+0.86i
0.50–0.86i 0.00+1.00i –0.00–1.00i –0.50+0.86i
–0.50–0.86i –0.86–0.50i –0.86+0.50i –0.99

3.3.1 ACF and PACF of residuals

The ACF and PACF of residuals of the model SARIMA (2, 0, 0) × (0, 1, 1)12 are shown
in Figure 4. Most of the values of the RACF and RPACF lies within confidence limits
except very few individual correlations appear large compared with the confidence limits.
The figure indicates no significant correlation between the residuals.

3.3.2 Portmanteau lack-of-fit test (the Ljung-Box test)

The goodness-of-fit of the selected model was tested using the Ljung-Box statistic test.
The test is employed for checking independence of residual. From Figure 4, the goodness
of fit values for the autocorrelations of residuals from the model up to lag 24 was ≥ 0.05.
The result proves the acceptance of the null hypothesis of model adequacy at the 5%
significance level and the set of autocorrelations of residuals was considered white noise
206 T.M. Mohamed and E.H. Etuk

Figure 4 ACF and PACF plots for SARIMA (2, 0, 0) × (0, 1, 1)12 residuals (see online version
for colours)

3.3.3 The Breusch-Godfrey serial correlation LM test


The Breusch-Godfrey serial correlation LM test accepts the hypothesis of no serial
correlation in the residuals, as shown in Table 4.
Table 4 The Breusch-Godfrey serial correlation LM test

Breusch-Godfrey serial correlation LM test:


F-statistic 0.210056 Prob. F(2,401) 0.8106
Obs*R-squared 0.424327 Prob. chi-square(2) 0.8088
Breusch-Godfrey serial correlation LM test:
F-statistic 0.840840 Prob. F(12,391) 0.6082
Obs*R-squared 10.21304 Prob. chi-square(12) 0.5973
Application of linear stochastic models to monthly streamflow data 207

The graph showing the observed and fitted values is presented in Figure 5. The figure
shows a very close agreement between the fitted model and the actual data. Since the
model diagnostic tests show that all the parameter estimates are significant and the
residual series is white noise, the estimation and diagnostic checking stages of the
modelling process are complete.

Figure 5 Comparison of observed data and SARIMA model flow (1972–2006) (see online
version for colours)

Figure 6 Forecasting of monthly streamflow using developed SARIMA model


(2, 0, 0) × (0, 1, 1)12, (2007–2009) (see online version for colours)
208 T.M. Mohamed and E.H. Etuk

4 Forecasting of monthly streamflow

SARIMA model can also be used for forecasting future values based on the historical
data. The SARIMA (2, 0, 0) × (0, 1, 1)12 model was tested for its validity to forecast
36 observations obtained for the years 2007 to 2009 for Rahad River. The observed
streamflow was found to be closely aligned to the forecasted values, Figure 6.

4.1 Forecasting accuracy


If the fitted SARIMA (2, 0, 0) × (0, 1, 1)12 model has to perform well in forecasting, the
forecast error will be relatively small. To check goodness of the prediction, mean
absolute error (MAE), root mean square error (RMSE), Theil inequality coefficient,
coefficient of determination (R2) and Nash-Sutcliffe efficiency criteria (E) were used.
Table 5 illustrates all of the statistic measures. From the statistics measurement, Table 5,
it is observed that the model has lower values of RMSE and MAE. Theil inequality
coefficient turns out to be 0.149, which is relatively close to zero. The Theil inequality
coefficient always lies between zero and one, where zero indicates a perfect fit. The
coefficient of determination (R2) value of 0.91, Figure 7, and Nash-Sutcliffe efficiency
criteria (E) value of 89.3% showed the very good performance of the model.
Table 5 Forecasting accuracy statistic

Statistic measures Value


MAE 30.25
RMSE 52.87
Theil inequality coefficient 0.149
R2 0.91
E 89.3%

Figure 7 Calibration results of SARIMA model (2, 0, 0) × (0, 1, 1)12


Table 6

Year January February March April May June July August September October November December
1972 0 0 0 0 0 0 67.54746 263.0977 269.9125 76.388 0 0
1973 0 0 0 0 0 0 76.2796 232.2014 321.1126 149.6875 0 0
1974 0 0 0 0 0 0 286.5569 390.352 443.3076 289.7372 12.96796 0
The original data

1975 0 0 0 0 0 0 148.343 369.8217 453.9965 319.7088 0 0


1976 0 0 0 0 0 0 142.7714 378.7746 361.9099 87.26816 0 0
1977 0 0 0 0 0 0 145.8914 330.0919 327.3165 183.7046 13.90824 0
1978 0 0 0 0 0 0 184.9924 462.4673 431.0888 193.6852 20.34301 0
1979 0 0 0 0 0 0 122.5218 348.4652 283.1428 92.18612 8.145428 0
1980 0 0 0 0 0 0 240.097 446.5901 362.1086 136.9856 9.392372 0
1981 0 0 0 0 0 0 235.4415 427.5593 508.1053 207.8246 8.98803 0
1982 0 0 0 0 0 0 0 174.8516 287.7371 160.3624 8.416266 0
1983 0 0 0 0 0 0 0 242.7164 338.0188 95.74681 2.893793 0
1984 0 0 0 0 0 0 44.812 110.0132 113.5234 22.18035 0 0
1985 0 0 0 0 0 0 143.2169 407.9466 422.1836 166.5089 14.34939 0
1986 0 0 0 0 0 0 89.90822 276.6217 343.3714 91.18536 7.819967 0
1987 0 0 0 0 0 29.6556 130.6264 343.1158 174.9702 92.39403 0 0
1988 0 0 0 0 0 0 233.7638 461.2625 438.3377 403.5057 71.8246 0
1989 0 0 0 0 0 0 148.1919 298.0385 340.985 192.4633 0 0
1990 0 0 0 0 0 0 100.9693 248.4127 230.8722 80.82985 0 0
Application of linear stochastic models to monthly streamflow data

1991 0 0 0 0 0 0 218.891 361.8564 347.6531 93.78154 0 0


209
210

Table 6

Year January February March April May June July August September October November December
1992 0 0 0 0 0 0 166.1332 408.5929 449.9915 283.7271 44.40112 2.344
1993 0 0 0 0 0 0 90.7908 361.5201 384.7963 221.7296 22.55335 0
1994 0 0 0 0 0 40.9293 262.935 431.7561 479.954 160.7236 43.39751 13.23
1995 0 0 0 0 0 0 162.8153 385.5757 383.6273 102.3799 2.277783 0
1996 0 0 0 0 0 38.7007 77.23345 296.566 331.6576 137.514 11.98973 1.229
1997 0 0 0 0 0 0 216.7059 352.115 330.0443 158.9165 76.26846 2.105
The original data (continued)
T.M. Mohamed and E.H. Etuk

1998 0 0 0 0 0 0 132.8743 395.4645 434.9468 335.8049 61.22621 15.90


1999 0 0 0 0 0 0 0 107.9028 450.4541 452.0994 98.40699 36.8
2000 0 0 0 0 0 0 146.6057 351.5669 370.7024 233.002 72.76796 7.713
2001 0 0 0 0 0 0 177.3623 467.1145 442.8936 187.9318 36.54091 0
2002 0 0 0 0 0 0 85.64687 298.5676 238.5156 0 0 0
2003 0 0 0 0 0 0 302.3235 420.5758 442.2417 194.0054 23.18372 0
2004 0 0 0 0 0 0 250.6612 437.8674 335.4172 192.6683 12.38468 0
2005 0 0 0 0 0 0 243.7959 332.0078 428.1164 195.596 0 0
2006 0 0 0 0 0 30.4194 169.6039 386.6243 418.0394 200.8267 79.76329 9.661
2007 0 0 0 0 0 14.3905 278.2998 467.4777 466.7887 250.2799 57.76391 4.009
2008 0 0 0 0 0 0 241.4279 483.3254 431.756 140.2876 37.66525 0
2009 0 0 0 0 0 0 160.117 377.2522 266.6511 66.60757 0 0
Application of linear stochastic models to monthly streamflow data 211

5 Conclusions

In this paper, linear stochastic model known as multiplicative SARIMA model was used
to simulate and forecast monthly streamflow for Rahad River, Sudan. The tentative
model that best fits the criteria and meets the requirement is model SARIMA (2, 0, 0) ×
(0, 1, 1)12. By analysing the forecasted values, it was found that use of SARIMA model
for forecasting monthly streamflow is admirably good. The fitting of stochastic ARIMA
models to streamflow time series could result in a better tool which can be used for water
resource planning. SARIMA model has the ability to predict accurately the future
monthly streamflow for all streamflow gauge stations in Sudan. Further research is
however necessary to find out whether better models could be found. For instance,
Hadizadeh et al. (2013) have shown that for streamflow data of Polkohne and
Heydarabad hydrometric stations of Gamasiab River at Kermanshah daily series exhibit
long-memory tendencies calling for application of seasonal autoregressive fractionally
integrated moving average (SARFIMA) modelling. This tendency became less for
monthly series.

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