Handling Seasonal Autoregressive Integrated Moving Average Model with Correlated Residuals

摘要

This work proposed a method of handling a seasonal autoregressive integrated moving average (SARIMA) model with correlated residuals. SARIMA model was fitted to a rainfall data and the residuals obtained were found to be correlated. This indicated the inadequacy of the model. The correlated residual series were modelled separately using Box and Jenkins autoregressive moving average (ARMA) methods. The resulting residual model was added to the SARIMA component to obtain a new model. The new model was re-fitted to the data and the residuals obtained were found to be uncorrelated; confirming the adequacy of the new model.