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Time Series and Stochastic Differential Equations
River Flow
The measures of the annual minimum mean daily flows, in cubic meter per second, of the Mahanadi River in central India.
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X
data = ExampleData[{"Statistics", "MahanadiRiverFlow"}]
Out[1]=
Find the fractional integrating order to fit a
FARIMAProcess
to the data.
In[2]:=
X
d = d /. FindProcessParameters[data  Mean[data], FARIMAProcess[{}, d, {}, v]]
Out[2]=
Find the remaining process parameters given the integrating order.
In[3]:=
X
eproc = EstimatedProcess[data  Mean[data], FARIMAProcess[4, d, 1]]
Out[3]=
Compare correlation functions for the data and estimated process.
Forecast the annual minimum mean daily flows for 10 years ahead.
In[4]:=
X
fr = TimeSeriesForecast[eproc, data  Mean[data], {10}]; forecast = TemporalData[fr["PathStates"] + Mean[data], fr["Times"]]; forecast["Path"]
Out[4]=