Hybrid Model for Time Series of Complex Structure with ARIMA Components

Oksana Mandrikova, Nadezhda Fetisova and Yuriy Polozov
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Oksana Mandrikova: Institute of Cosmophysical Research and Radio Wave Propagation, Far Eastern Branch of the Russian Academy of Sciences, Mirnaya st, 7, Paratunka, 684034 Kamchatskiy Kray, Russia
Nadezhda Fetisova: Institute of Cosmophysical Research and Radio Wave Propagation, Far Eastern Branch of the Russian Academy of Sciences, Mirnaya st, 7, Paratunka, 684034 Kamchatskiy Kray, Russia
Yuriy Polozov: Institute of Cosmophysical Research and Radio Wave Propagation, Far Eastern Branch of the Russian Academy of Sciences, Mirnaya st, 7, Paratunka, 684034 Kamchatskiy Kray, Russia

Mathematics, 2021, vol. 9, issue 10, 1-18

Abstract: A hybrid model for the time series of complex structure (HMTS) was proposed. It is based on the combination of function expansions in a wavelet series with ARIMA models. HMTS has regular and anomalous components. The time series components, obtained after expansion, have a simpler structure that makes it possible to identify the ARIMA model if the components are stationary. This allows us to obtain a more accurate ARIMA model for a time series of complicated structure and to extend the area for application. To identify the HMTS anomalous component, threshold functions are applied. This paper describes a technique to identify HMTS and proposes operations to detect anomalies. With the example of an ionospheric parameter time series, we show the HMTS efficiency, describe the results and their application in detecting ionospheric anomalies. The HMTS was compared with the nonlinear autoregression neural network NARX, which confirmed HMTS efficiency.

Keywords: time series model; wavelet transform; ARIMA model; neural network NARX; ionospheric parameters (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2021
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