Uncertainty analysis of hydrological processes based on ARMA-GARCH model

Uncertainty analysis and risk analysis are two important areas of modern water resource management,in which accurate variance estimation is required.The traditional runoff model is established under the assumption that the variance is a constant or it changes with the seasons.However,hydrological pr...

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Bibliographic Details
Published in:Science China. Technological sciences 2012-08, Vol.55 (8), p.2321-2331
Main Authors: Wang, HongRui, Gao, Xiong, Qian, LongXia, Yu, Song
Format: Article
Language:English
Subjects:
ARMA模型
Confidence intervals
Engineering
GARCH模型
Hydrology
Mathematical models
Resource management
Runoff
Stations
Uncertainty
Variance
不确定性分析
季节因素
拉格朗日乘数
方差估计
水文过程
水资源管理
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Summary:Uncertainty analysis and risk analysis are two important areas of modern water resource management,in which accurate variance estimation is required.The traditional runoff model is established under the assumption that the variance is a constant or it changes with the seasons.However,hydrological processes in the real world are often heteroscedastic,which can be tested by McLeod-Li test and Engle Lagrange multiplier test.In such cases,the GARCH model of hydrological processes is established in this article.First,the seasonal factors in the sequence are removed.Second,the traditional ARMA model is established.Then,the GARCH model is used to correct the residual.At last,the daily runoff data in 1949-2001 of Yichang Hydrological Station is taken to be an example.The result shows that compared to the traditional ARMA model,the GARCH model has the ability to predict more accurate confidence intervals under the same confidence level.
ISSN:1674-7321
1869-1900
DOI:10.1007/s11431-012-4909-3