Water Resources Management (2020) 34:5009–5029

https://doi.org/10.1007/s11269-020-02710-5

Ability Assessment of the Stationary

and Cyclostationary Time Series Models to Predict
Drought Indices

Abdol Rassoul Zarei 1 & Mohammad Reza Mahmoudi 2,3

Received: 22 July 2019 / Accepted: 2 November 2020 /
Published online: 8 November 2020
# Springer Nature B.V. 2020

Abstract
Drought forecasting and monitoring play a significant role in reducing the negative
effects of global meteorological droughts caused by different intensities at different
temporal and spatial scales in different regions, especially in regions with high depen-
dency on rainwater. The present study tries to compare the accuracy of stationary time
series (ST) models including autoregressive moving average (ARMA), moving average
(MA) and autoregressive (AR) and cyclostationary time series (CT) models including
periodic autoregressive moving average (PARMA), periodic moving average (PMA) and
periodic autoregressive (PAR) to predict drought index (i.e. monthly reconnaissance
drought index (RDI)) in periodic data series considering that CT models are more
powerful and efficient than ST models by using data series of 8 synoptic stations with
different climate conditions in Iran from 1967 to 2017. According to the results the
monthly RDI was significantly periodic in all selected stations. The PAR (25) model was
the best fitted CT model in data series at all stations and on the other hand, the following
models were the best-fitted ST models in data series: the AR models at Babolsar and
Rasht AR (25) and at Gorgan AR (24) and ARMA models at Tehran ARMA (2, 3), at
Zahedan and Shiraz ARMA (2, 4) and at Esfahan and Shahre Kord ARMA (2, 5). Based
on the best fitted CT and ST models, the results showed that the correlation coefficients
(R) between observed and simulated RDI vary from 0.882 to 0.946 and from 0.693 to
0.874, respectively from January 1967 to December 2017. According to the best fitted CT
and ST models, the validation test of the best fitted models indicated that the R between

* Abdol Rassoul Zarei

Ar_Zareiee@Fasau.ac.ir; Ar_Zareiee@Yahoo.com

Mohammad Reza Mahmoudi

Mahmoudi.m.r@Fasau.ac.ir; Mohammadrezamahmoudi@duytan.edu.vn

1
Department of Range and Watershed Management (Nature Engineering), College of Agricultural
Science, Fasa University, Fasa, Iran
2
Department of Statistics, Faculty of Science, Fasa University, Fasa, Iran
3
Institute of Research and Development, Duy Tan University, Da Nang 550000, Vietnam
5010 Zarei A.R., Mahmoudi M.R.

observed and simulated RDI vary from 0.634 to 0.883 and 0.585 to 0.847, respectively
from January 2012 to December 2017. In total, it can be concluded that that the accuracy
and capability of CT models in predicting the RDI were more than those of the ST models
at all stations and the hypothesis of the study was confirmed.

Keywords ST models . CT models . RDI . ARMA . PARMA

1 Introduction

Meteorological drought, under the influence of rainfall shortage, is a natural disaster and can
occur in all regions with different climatic conditions. Drought can affect various sections such
as surface water resources, agricultural sectors, especially rain-fed agricultural sectors, envi-
ronmental sectors, rangelands, etc., (Arnone et al. 2020; Murphy and Ellis 2019; Hadian et al.
2019; Zarei and Moghimi 2019). In recent decades, human activities such as deforestation,
increasing greenhouse gas and carbon dioxide emissions, industrialization, etc., have highly
resulted in the global changes of the climatic conditions, precipitation regimes, and intensity
and frequency of drought occurrences (Ashraf et al. 2019; Aronson et al. 2019; Tran et al.
2019). The negative impacts of drought have intensified due to population growth, inappro-
priate management of available water resources, low water productivity in the agricultural
sector, especially in less developed countries, and increased demand for food and drinking
water, Therefore, drought monitoring and forecasting can be effective and useful to control the
potential impacts of drought (Dilling et al. 2019; Kogan et al. 2019; Zarei et al. 2019).
Various indices have been introduced based on different climatic variables to assess
drought worldwide. In this study, the reconnaissance drought index (RDI) was used to evaluate
drought conditions at selected stations (Tsakiris et al. 2007). Marini et al. (2019) used SPI and
RDI indices to examine drought in the Apulia region, Italy. The results showed the number of
drought occurrences has decreased but the duration of drought occurrences has increased as the
time scale of SPI and RDI increases. Yue et al. (2018) evaluated the trend and variability of
droughts in Northeast China by using RDI. The results showed that the trend of drought has
decreased in the study area. There are also other studies which have used RDI, the following is
the list of the studies used RDI: Mohanta et al. 2020; Tigkas et al. 2020; Ullah et al. 2020; Baik
et al. 2019; Payab and Türker 2019; Surendran et al. 2019 and Wable et al. 2019.
It is noteworthy to indicate that many researchers tried to predict drought through different
methods such as the ST models, the Fuzzy equations, the Neural network models, etc., (Dehghan
et al. 2020; Khan et al. 2020; Abdourahamane and Acar 2019; Adede et al. 2019; Adarsh and
Janga Reddy 2019; Omidvar and Tahroodi 2019; Uddameri et al. 2019; Rafiei-Sardooi et al.
2018). Moghimi et al. (2020) used ST models to forecast the RDI in the south of Iran and the
results showed, the MA (Innovations method) models were the best fitted time series model in
data series at most stations. Zarei (2018) used the RDI, ST models, first-order Markov Chain, and
three statistical methods to examine drought conditions in the south of Iran and the results
indicated that the MA (5 and 10) and the AR (12 and 15) were the best fitted ST models in the
data series of all stations. Zhang et al. (2019) used SPI, ARMA, and ARMA-GARCH model to
simulate and predict drought in the North China plain and then mentioned the accuracy of the
ARMA-GARCH model was more than that of the ARMA model in predicting SPI-9.
The literature review showed that few studies has been carried out on data series with a
periodic or non-periodic rhythm continuity in forecasting drought using different prediction
Ability Assessment of the Stationary and Cyclostationary Time Series... 5011

methods. In most previous studies, the time series analysis showed the stationarity is an important
and essential assumption; however, it cannot be fulfilled in many practical situations such as
hydrologic and climatic data series, which are period dependent such as seasonal and monthly
data series. Cyclostationary or periodically correlated processes (CT) can explain the periodic
rhythms of these processes. Here, it is hypothesized, the capability and accuracy of CT models are
more than those of ST models in forecasting drought indices in periodic data series; therefore, the
present studies has fully tried to fulfill the following objectives: 1) Making a comparison between
the accuracy of ST models including the ARMA, MA and AR and that of CT models including
the PARMA, PMA, and PAR to predict drought indices based on monthly RDI at 8 stations in
Iran and 2) making a suggestion for substitution of the CT models for the ST models to predict the
periodic data series on condition that the research hypothesis is confirmed.

2 Material and Methods

2.1 Data Collection and Selection of Synoptic Stations

In this study, 8 meteorological stations were selected by Iran Meteorological Organization (IMO))
in Iran with, suitable spatial distribution, appropriate climatic variation ranged from hyper-arid
climatic conditions in Zahedan to humid climatic conditions in Rasht and Babolsar and adequate
time duration from 1967 to 2017 to calculate monthly RDI. Selected stations were in Babolsar,
Esfahan, Gorgan, Rasht, Shahre Kord, Shiraz, Tehran, and Zahedan. Geographical and meteoro-
logical properties of selected stations showed that the elevation of stations vary from −21.43 m in
Babolsar to 2048.21 m in Shahre Kord) from sea level. The average of potential evapotranspiration
(PET) varies from 853.15 mm. year−1 at Rasht station to 2128.84 mm. year−1 at Zahedan station
and the average of annual precipitation varies from 79.81 mm. year−1 at Zahedan station to 1352.36
mm. year−1 at Rasht station. The monthly average temperature at the selected stations changed from
12.01 to 18.64 C at Shahre Kord and Zahedan stations, respectively. Before using meteorological
data series at each station, the missing data values were restored by using the multiple imputation
(Rezazadeh and Sattari 2016) and the adequacy of time duration and homogeneity of data series
were examined by Mockus and Runs tests at each station (Mahdavi 2010; Zarei et al. 2019).
Table 1 illustrates some of the meteorological and geographic properties of used the stations.

2.2 The Calculation of RDI

The RDI was calculated various time scales such as 1-month, 3-month, 6-month, 12-month, etc. time
scales based on the following equations (Tsakiris 2004; Tsakiris et al. 2007; Tsakiris et al. 2008):

yik −yk
RDI ist ¼ ð1Þ
σ
byk
k
∑ Rij
j¼1
αik ¼ k
; i ¼ 1 : N ; j ¼ 12 ð2Þ
∑ Pij
j¼1
5012 Zarei A.R., Mahmoudi M.R.

Table 1 Spatial position and climatic properties of tations

Stations Latitude Longitude Height PET* Rainfall Temperature UNEP Climate

(N) (E) (m a.s.l) mm. mm. °C. month−1 AI** Situation***
year−1 year−1

Babolsar 36.717 52.650 −21.43 939.12 915.11 17.48 0.974 HU

Esfahan 32.617 51.667 1551.16 1605.21 128.03 16.34 0.080 AR
Gorgan 36.850 54.267 13.21 1047.15 567.12 18.01 0.542 SU-HU
Rasht 37.250 49.500 −6.3 853.15 1352.36 15.89 1.585 HU
Shahre Kord 32.283 50.850 2048.21 1316.95 327.11 12.01 0.248 SE-AR
Shiraz 29.533 52.600 1483.7 1782.44 319.89 18.21 0.179 AR
Tehran 35.683 51.317 1190.39 1786.16 236.14 17.93 0.132 AR
Zahedan 60.883 29.467 1370.21 2128.84 79.81 18.64 0.037 HY-AR

Note. *. Potential evapotranspiration (PET) calculated using FAO-56 method. **. UNEP AI is UNEP aridity
index (Zarei et al. 2019). ***. HU is Humid, SU-HU is Sub-Humid, SE-AR is Semi-Arid, AR is Arid and HY-
AR is Hyper Arid climate Situations

Where, yk and σ byk are the arithmetic mean and the standard deviation of yk, respectively and yk
equals to ln (αik ), Rijand Pijare the amount of rainfall and potential evapotranspiration,
respectively in jth month of the ith year during the whole N year of study, it should mention
that hydrological year starts in Iran from October. For further study on RDI, refer to Alwan
et al. 2019; Faiz et al. 2019; Parente et al. 2019 and Wable et al. 2019. Table 2 illustrates the
classification of drought based on RDI.

2.3 Periodicity Detection in Calculated Monthly RDI

In this study, three various methods of the periodogram, the squared coherence statistic plots
and Box-plot were used at each station to detect periodicity in calculated monthly RDI from
1967 to 2017.

2.4 Stationary and Cyclostationary Time Series Models

Stationarity is an essential classical assumption in time series analysis. A stochastic process is a

strictly stationary process if the changes in time or sometime in place do not change the
available probabilistic laws.
A time series Xt, is called strictly stationary if for any positive integer k and any
integer points t1, …, tk and h, the joint distribution of X t1 ; …; X tk is the same as the

Table 2 Categorize of drought severity using the RDI index (Zarei et al. 2019; Tsakiris et al. 2008)

Class RDI values

1-Extreme Wet RDI ≥2

2-Very Wet 1.5 ≤ RDI ≤ 1.99
3-Moderate Wet 1 ≤ RDI ≤1.49
4-Normal −0.99 ≤ RDI ≤ 0.99
5-Moderate Dry −1.49 ≤ RDI ≤ −1
6-Severe Dry −1.99 ≤ RDI ≤ −1.5
7-Extreme Dry RDI ≤ −2
Ability Assessment of the Stationary and Cyclostationary Time Series... 5013

joint distribution of X t1þh ; …; X tkþh : A strictly stationary process is defined completely

in a probabilistic sense if one knows the cumulative distribution of any finite set of
random variables X t1 ; …; X tn : However, the form of the cumulative distribution
function remains unknown in most applications. A great deal can be accomplished
by dealing only with the first two moments of these stochastic processes. Following
this approach, the weakly stationary processes have also been defined: it is said that a
time series of Xt is weakly stationary if the following equations are observed for all
integers s, t, and h:
mðt Þ≔E ðX t Þ ¼ mðt þ hÞ ð3Þ
and
h i
Rðs; tÞ≔CovðX s ; X t Þ ¼ E ðX s −mðsÞÞðX t −mðtÞÞ ¼ CovðX sþh ; X tþh Þ ð4Þ

The Autoregressive Moving Average (ARMA) is a large class of weakly stationary processes.
A Time series Xt is an ARMA process of orders p and q (ARMA (p, q)) if Xt can be obtained
from:
p q
X t − ∑ ϕi X t−i ¼ Z t − ∑ θ j Z t− j ð5Þ
i¼1 j¼1

provided that ϕi, i = 1, …, p, and θj, j = 1, …, q, are the model’s parameters or coefficients, and
Zt is white noise process (uncorrelated random variables with zero mean and variance of σ2.
Remark 1: The cases of p = 0 and q = 0 are called moving average (MA) and autoregressive
(AR) models, respectively.
However, the stationary processes are often restrictive in many practical conditions such as
climatological and hydrological conditions due to their periodic nature. One way to relax
stationary processes is to consider Cyclostationary or periodically correlated processes (CT).
The Cyclostationary processes have periodic rhythm in their structure making these processes
more complicated than periodicity in the mean function. The Cyclostationary time series is a
general class of time series with periodic autocovariance or autocorrelation functions that
contained stationary processes. Gladyshev (1961) introduced the Cyclostationary time series.
This general non-stationary class was nicely used in many branches of science and technology,
such as climatology, hydrology, engineering, signal processing, and many others, see
Mahmoudi and Maleki 2017.
A time series Xt, is weakly Cyclostationary, if m(t) ≔ E(Xt) = m(t + T),and
h i
Rðs; tÞ≔CovðX s ; X t Þ ¼ E ðX s −mðsÞÞðX t −mðtÞÞ ¼ CovðX sþT ; X tþT Þ ð6Þ

for all integers s and t. The smallest such T is called the period of the process. If T = 1, the
process is called weakly stationary.
Periodic Autoregressive Moving Average (PARMA) models are one subclass of
Cyclostationary processes. A process Xt is called a PARMA model of orders p and q
(PARMA(p,q)) with period T, if Xt has the following representation:
p q
X t − ∑ ϕi ðtÞX t−iT ¼ Zt − ∑ θ j ðtÞZ t−jT ð7Þ
i¼1 j¼1
5014 Zarei A.R., Mahmoudi M.R.

where ϕi(t), i = 1, …, p, and θj(t), j = 1, …, q, are periodic functions with period T, with respect
to t, i.e.,
ϕi ðtÞ ¼ ϕi ðt þ T Þ; i ¼ 1; …; p; θ j ðtÞ ¼ θ j ðt þ T Þ; j ¼ 1; …; q ð8Þ

and Zt are the periodic whit noise processes.

Remark 2: The cases of p = 0 and q = 0 are called periodic moving average (PMA) and
periodic autoregressive (PAR), respectively.

2.5 The Goodness-of-Fit Test for ST and CT Time Series Models

To assess the goodness of selected ST and CT models, firstly, the residual ACF, residual
PACF periodic residual ACF and periodic residual PACF plots were used. Based on the
mentioned plots, if at most 5% of lags were out of 95% confidence interval, the fitted model
can nicely predict the RDI data series. Then, the Ljung–Box test was performed to test the
randomness of the residuals.

2.6 The Comparison of Time Series Models

In this study, to compare the accuracy and capability of ST and CT time series models for
predicting RDI, two correlation coefficients were used: 1) the R between observed monthly
RDI indices at each station and simulated RDI indices was calculated using the best selected
and fitted ST and CT models from 1967 to 2017 and 2) the R was calculated between observed
monthly RDI at each station from 2012 to 2017 and predicted monthly RDI based on the fitted
ST and CT time series models at each station within the determined time (in this method to
select the best ST and CT models for predicting RDI, data series of monthly RDI from 1967 to
2011 were used.

3 Results and Discussion

3.1 Calculated RDI

Calculated monthly RDI showed that normal class of drought severity had the most
frequency of occurrence at all stations. The following list had the least frequency of
occurrence with frequency of occurrence of zero: extreme wet (EW) and very wet (VW)
drought classes at Babolsar, Gorgan and Rasht stations, EW, severe dry (SD) and extreme
dry (ED) drought classes at Esfahan, Shahr-e Kord and Tehran stations, EW, SD, ED and
moderate dry (MD) classes of drought at Shiraz station and MD, SD, and ED drought
classes at Zahedan station (Table 3 and Fig. 1). Further studies on calculated RDI at all
stations indicated by performing Pearson and Spearman Rho statistical tests it can be
concluded that observed RDI data series had a decreasing trend (drier) from 1967 to 2017.
However, only the trend of changes was significant at 0.01% level at Gorgan station. It
seems that the drying trend in RDI in selected stations has recently been under the
influence of some factors such as reduced rainfall, and the increasing average temperature
was affected by natural and human factors such as deforestation, industrialization, global
warming, and so on.
Ability Assessment of the Stationary and Cyclostationary Time Series... 5015

Table 3 Occurrence frequency (%) of different classes of drought at each station from 1967 to 2017

Stations Drought classes

Extreme Wet Very Wet Moderate Wet Normal Moderate Dry Severe Dry Extreme Dry

Babolsar 0.000 0.000 6.209 76.307 8.497 4.248 4.739

Esfahan 0.000 7.190 17.320 42.483 33.007 0.000 0.000
Gorgan 0.000 0.000 0.490 84.477 4.902 4.902 5.229
Rasht 0.000 0.000 6.046 78.431 6.863 3.758 4.902
Shahre Kord 0.000 1.797 23.529 42.975 31.699 0.000 0.000
Shiraz 0.000 11.438 12.255 76.307 0.000 0.000 0.000
Tehran 0.000 0.000 21.895 53.268 24.837 0.000 0.000
Zahedan 1.797 9.967 11.111 77.125 0.000 0.000 0.000

Note. The total number of months was 612 months

3.2 Periodicity Detection in Calculated Monthly RDI Data Series

The periodograms created for all stations indicated the detected period at all stations was equal
to 612/51 = 12 (Fig. 2). The results of periodograms showed that detected periods were
significant at 0.05% level at all stations (Table 4). On the other hand, the created coherence
statistic plot indicated that the data series of monthly RDI at all stations were happening at 12
regular times (Fig. 3). Prepared Box- Plots at all stations indicated that the monthly RDI data
series can be classified at 12 periods with different statistical properties from other periods
(Fig. 4). The Box- Plots showed that the RDI regimes in each month are different before and

2.5
Monthly RDI index

1.5 Babolsar
Station
0.5 Shiraz
station
-0.5

-1.5

-2.5

-3.5
1 101 201 301 401 501 601
Months (During Jan 1967- Dec 2017)

1 Gorgan
Monthly RDI index

Station
0 Tehran
station
-1

-2

-3

-4
1 101 201 301 401 501 601
Months (During Jan 1967- Dec 2017)
Fig. 1 Calculated (Observed) monthly RDI index at Babolsar, Gorgan, Shiraz and Tehran stations
5016 Zarei A.R., Mahmoudi M.R.

Fig. 2 Periodogram of observed monthly RDI index during 1967–2017 (612 months) at Shiraz (A) and Esfahan
(B) Stations

after the months while the RDI regimes in each month of different years do not change a lot. It
is due to the periodical rhythm of effective climatic parameters in the calculation of RDI. Thus,
it becomes clear that periodicity detection proved that RDI data series are periodical at all
stations.

3.3 The Best Fitted ST and CT Time Series Models

The results of the time series model selection process showed, the periodic autoregressive
model with order 25 (PAR (25)) with minimum Akaike information criterion (AIC), minimum
Ability Assessment of the Stationary and Cyclostationary Time Series... 5017

Table 4 Results of period detection in monthly RDI data series (from 1967 to 2017) at each station based on
periodogram

Stations Length of data series* Bin Detected period P Value

Babolsar 612 51 12 3.45E-12*

Esfahan 612 51 12 1.64E-12*
Gorgan 612 51 12 2.66E-10*
Rasht 612 51 12 2.89E-11*
Shahre Kord 612 51 12 3.33E-16*
Shiraz 612 51 12 8.66E-15*
Tehran 612 51 12 2.66E-15*
Zahedan 612 51 12 2.54E-10*

Note: *. Detected period is significant at 0.05 level

corrected Akaike information criterion (AICC) and minimum Bayesian information criterion
(BIC) were the best CT model that best fitted in RDI data series at all stations. Based on the
results, the AIC varies from 37.713 to 87.511, the AICC varies from 38.024 to 87.840 and the
BIC varies from 41.473 to 91.275 in the fitted CT models of selected stations (Table 5). On the

Fig. 3 Squared coherence statistic plots at Shiraz (A) and Esfahan (B) Stations
5018 Zarei A.R., Mahmoudi M.R.

Fig. 4 Box- plots of observed RDI index from 1967 to 2017 at Shiraz (A) and Esfahan (B) Stations

other hand, the AR models with method Burg at Babolsar and Rasht AR (25) and at Gorgan
AR (24)) and ARMA models with method Maximum Likelihood at Tehran ARMA (2, 3), at
Zahedan and Shiraz ARMA (2, 4) and at Esfahan and Shahre Kord ARMA (2, 5)) with

Table 5 The best fitted Cyclostationary time series model (CT) on monthly RDI data series at each station

Stations CT model AIC AICC BIC

Babolsar PAR with order 25 68.622 68.978 72.529

Esfahan PAR with order 25 65.430 65.740 69.193
Gorgan PAR with order 25 65.430 65.740 69.193
Rasht PAR with order 25 78.588 78.924 82.499
Shahre Kord PAR with order 25 44.199 44.578 48.262
Shiraz PAR with order 25 37.713 38.024 41.473
Tehran PAR with order 25 65.049 65.319 68.512
Zahedan PAR with order 25 87.511 87.840 91.275

Note: AIC is Akaike information criterion. AICC is Corrected Akaikes information criterion. BIC is Bayesian
information criterion
Ability Assessment of the Stationary and Cyclostationary Time Series... 5019

minimum AICC were the best-fitted models in data series. The AICC in the fitted ST models
in selected stations varies from 879.807 to 1379.09 (Table 6).

3.4 The Goodness of Fitted ST and CT Time Series Models

The goodness test of selected CT and ST time series models based on the plots of residuals
ACF, residuals PACF (in ST models), and residuals periodic ACF, and residuals periodic
PACF (in CT models) showed that fitted ST and CT models have a nice capability of
predicting the RDI data series at all stations. On the other hand, less than 5% of lags in
ACF, PACF, PEACF, and PEPACF were out of 95% confidence interval at all stations
(Figs. 5, 6, and 7). The results of the test of randomness of the residuals based on the
Ljung–Box test revealed that the residuals were significantly at 5% level of randomness at
all stations. Based on the calculated P Values of Ljung-box index, it is shown that the P Values
of CT models was higher than the those of ST models at all station, therefore, the P Values of
CT models varies from 0.558 to 0.952 and the P Values of ST models varies from 0.065 to
0.184 (Table 7) and this is due to the better fitness of CT time series models on periodic data
series in comparison to the ST time series models.

3.5 The Comparison of ST and CT Time Series Models

The comparison of ST and CT time series models to predict periodic data series (monthly RDI)
based on the R between observed RDI and simulated RDI using fitted ST and CT time series
models from 1967 to 2017 indicated R between observed and simulated RDI using CT time series
models were more than R between observed and simulated RDI using ST time series models at all
stations. According to the results, R between observed and simulated RDI using CT models varies
from 0.882 to 0.946 but it varies from 0.693 to 0.874 based on ST models (Table 8 and Figs. 8 and
9). Based on the above-mentioned test R coefficients between observed and simulated RDI using
the mentioned two-time series models were significant at 0.01 level at all stations (Table 8). The
comparison of ST and CT time series models based on the R between observed RDI and predicted
RDI using fitted ST and CT time series models from 2012 to 2017 showed the correlation
coefficients between observed and predicted RDI using CT time series models were more than R
between observed and predicted RDI using ST time series models at all stations.
The results showed that the R between observed and simulated RDI using CT models varies
from 0.634 to 0.883 but it varies from 0.585 to 0.847 based on ST models; in other words, on
average, the correlation coefficients based on the CT models were about 11% higher than the

Table 6 The best fitted stationary time series (ST) model on monthly RDI data series at each station with
minimum AICC

Stations Model Method Order (p or p, q orders) AICC

Babolsar AR Burg 25 1329.16

Esfahan ARMA Maximum Likelihood 2,5 1212.12
Gorgan AR Burg 24 1379.09
Rasht AR Burg 25 1348.1
Shahre Kord ARMA Maximum Likelihood 2,5 879.807
Shiraz ARMA Maximum Likelihood 2,4 1034.27
Tehran ARMA Maximum Likelihood 2,3 978.657
Zahedan ARMA Maximum Likelihood 2,4 1361.87
5020 Zarei A.R., Mahmoudi M.R.

Fig. 5 Periodic residual ACF plots of Shiraz (A) and Esfahan (B) stations based on PAR (25) model

correlation coefficients based on the ST models (Table 9 and Figs. 10 and 11). Based on the
above-mentioned comparison, R coefficients between observed and predicted RDI using ST
and CT models were significant at 0.01 level at all stations (Table 9). It seems the nature of the
data series and the CT models are the main reason for the higher accuracy of the CT model, so
that the CT time series model is a class of time series with periodic mean, auto-covariance, and
auto-correlation functions. Unlike the ST models and homogeneous non-stationary processes,
the periodicity in mean, auto-covariance, and auto-correlation functions of PC time series
cannot be removed by transforming the data such as differencing the operators.

4 Conclusion

Considering the effective role of drought accurate prediction in management and the
reduction of its negative impacts, it is absolutely essential to select the appropriate
Ability Assessment of the Stationary and Cyclostationary Time Series... 5021

Fig. 6 Periodic residual PACF plots of Shiraz (A) and Esfahan (B) stations based on PAR (25) model

statistical method for predicting the drought. This can play a key role in managing the
drought impacts in the short and long term. Therefore, the capability of models using
data series of 8 stations with different climatic conditions were compared based on the
hypothesis of this research indicating that the capability of the CT models to predict
drought index are more than ST models in the periodic data series such as monthly or
seasonal data series. It is shown that the accuracy and capability of CT models were
more than ST models based on the R between observed RDI and simulated RDI using
fitted ST and CT time series models from 1967 to 2017 and based on the R between
observed RDI and predicted RDI using fitted ST and CT time series models from
2012 to 2017 at all stations. It is shown that the average calculated R based on the
fitted CT models from 1967 to 2017 and from 2012 to 2017 were about 19% and
11% higher than the ST models.
5022 Zarei A.R., Mahmoudi M.R.

Fig. 7 Residual ACF and Residual PACF plots of Shiraz (A) and Esfahan (B) Stations based on ARMA (2, 4)
and ARMA (2, 5) model respectively

Table 7 Estimated P Value of Ljung-box index for the best fitted CT model and the best fitted ST model at each
station

Stations P-Value of Ljung-box index

The CT time series model The ST time series model

Babolsar 0.952 0.082

Esfahan 0.777 0.184
Gorgan 0.862 0.083
Rasht 0.558 0.117
Shahre Kord 0.705 0.079
Shiraz 0.733 0.156
Tehran 0.697 0.080
Zahedan 0.589 0.065
Ability Assessment of the Stationary and Cyclostationary Time Series... 5023

Table 8 The correlation coefficient (R)between observed and simulated RDI index from Jan 1967 to Dec 2017
based on the best fitted CT model and the best fitted ST model at each station

Stations The correlation coefficient (R)

The CT time series model The ST time series model

Babolsar 0.897* 0.709*

Esfahan 0.915* 0.769*
Gorgan 0.884* 0.702*
Rasht 0.882* 0.720*
Shahre Kord 0.946* 0.874*
Shiraz 0.930* 0.834*
Tehran 0.938* 0.848*
Zahedan 0.883* 0.693*

*. The correlation coefficient is significant at 0.01 level

Observed RDI
Shiraz station
Simulated RDI
2.5 using PAR(25)
2
1.5
RDI index

1
0.5
0
-0.5
-1
-1.5

Months (from Jan 1967 to Dec 2017)

Observed RDI
Esfahan station
Simulated RDI
2 using PAR(25)
1.5
1
RDI index

0.5
0
-0.5
-1
-1.5
-2

Months (from Jan 1967 to Dec 2017)

Fig. 8 Calculated (observed) and simulated (based on CT model) monthly RDI index from 1967 to 2017 at
Shiraz and Esfahan stations
5024 Zarei A.R., Mahmoudi M.R.

Shiraz station Observed RDI

Simulated RDI
2.5 using ARMA(2,5)
2
1.5
1
RDI index

0.5
0
-0.5
-1
-1.5
-2

Months (From Jan 1967 to Dec 2017)

Esfahan station Observed RDI

Simulated RDI using

2.5 ARMA(2,5)
2

1.5
RDI index

0.5

-0.5

-1

-1.5

Months (Frim Jan 1967 to Dec 2017)

Fig. 9 Calculated (observed) and simulated (based on ST model) monthly RDI index from 1967 to 2017 at
Shiraz and Esfahan stations

Table 9 The correlation coefficient (R) between observed and predicted RDI index from Jan 2012 to Dec 2017
based on the best fitted CT model and the best fitted ST model at each station for validate fitted models

Stations The correlation coefficient (R)

The CT time series model The ST time series model

Babolsar 0.748* 0.608*

Esfahan 0.634* 0.619*
Gorgan 0.694* 0.585*
Rasht 0.755* 0.589*
Shahre Kord 0.824* 0.795*
Shiraz 0.798* 0.790*
Tehran 0.883* 0.847*
Zahedan 0.724* 0.670*

*. The correlation coefficient is significant at 0.01 level

Ability Assessment of the Stationary and Cyclostationary Time Series... 5025

Shiraz station Observed RDI

Forecasted RDI
2 using PAR(25)
1.5

1
RDI index

0.5

-0.5

-1

-1.5

Months (started from Jan 2012)

Observed RDI
Esfahan station
Forecasted RDI
2 using PAR(25)
1.5

1
RDI index

0.5

-0.5

-1

-1.5

Months (started from Jan 2012)

Fig. 10 Calculated (observed) and forecasted (based on CT model) monthly RDI index from 2012 to 2017 for
validation of fitted CT models at Shiraz and Esfahan stations

Results showed the difference between observed and simulated and observed and
predicted RDI based on two mentioned models at stations with hyper-arid climatic
conditions such as Zahedan station was less than stations with humid climate condi-
tions such as Rasht and Ramsar stations. It seems that the capability of CT models to
predict monthly RDI at stations with humid climatic conditions was more than
stations with arid climate conditions, and this can be due to the decrease in the
number of months with zero precipitation in wetter stations and the decrease in
changes in climatic parameters in wet stations compared to arid stations. Finally, it
is believed that the results of this research can be used worldwide due to the climate
variety of the selected stations and it is suggested using CT models to assess and
predict the periodic data series such as meteorological parameters, especially in
monthly and seasonal time scales due to the greater accuracy of CT time series
models compared to ST models.
5026 Zarei A.R., Mahmoudi M.R.

Observed RDI
Shiraz station
Forecasted RDI
2 using ARMA(2,4)
1.5

1
RDI index

0.5

-0.5

-1

-1.5

Months (started from Jan 2012)

Observed RDI
Esfahan station
Forecasted RDI
2 using ARMA(2,5)
1.5

1
RDI index

0.5

-0.5

-1

-1.5

Months (started from Jan 2012)

Fig. 11 Calculated (observed) and forecasted (based on ST model) monthly RDI index from 2012 to 2017 for
validation of fitted ST models at Shiraz and Esfahan stations

Acknowledgments The authors of the article would like to thank the meteorological organization of Iran for
supplying the necessary meteorological information.

Author’s Contribution The participation of Abdol Rassoul Zarei in the article includes data collection, data
evaluation, assistance in analyzing the results and writing the article, and the participation of Mohammad Reza
Mahmoudi includes Programming and implementation of statistical models and assistance in analyzing the
results.

Funding The authors confirm that this article has no Funding.

Data Availability The was used data in this research will be available (by the corresponding author), upon
reasonable request.

Compliance with Ethical Standards

Declaration The authors confirm that this article is original research and has not been published or presented
previously in any journal or conference in any language (in whole or in part).
Ability Assessment of the Stationary and Cyclostationary Time Series... 5027

Conflict of Interest The authors have no conflict of interest and are completely satisfied with the publication of
their article in water resources management journal.

Nomenclature
ST, Stationary time series models.;
ARMA, Autoregressive Moving Average.;
MA, Moving Average.;
AR, Autoregressive.;
CT, Cyclostationary time series models.;
PARMA, Periodic Autoregressive Moving
Average.;
PMA, Periodic Moving Average.;
PAR, Periodic Autoregressive.;
RDI, Reconnaissance Drought Index.;
SPI, Standardized Precipitation Index.;
IMO, Iran Meteorological Organization.;
PET, Potential Evapotranspiration.;
ACF, Autocorrelation Function.;
PACF, Partial autocorrelation function;
PEACF, Periodic Autocorrelation Function.;
PEPACF, Periodic Partial autocorrelation function

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