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A Comparison of Nonlinear Stochastic Self-Exciting Threshold Autoregressive and Chaotic k-Nearest Neighbour Models in Daily Streamflow Forecasting

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  • Hakan Tongal
  • Martijn Booij

Abstract

A nonlinear stochastic self-exciting threshold autoregressive (SETAR) model and a chaotic k-nearest neighbour (k-nn) model, for the first time, were compared in one and multi-step ahead daily flow forecasting for nine rivers with low, medium, and high flows in the western United States. The embedding dimension and the number of nearest neighbours of the k-nn model and the parameters of the SETAR model were identified by a trial-and-error process and a least mean square error estimation method, respectively. Employing the recursive forecasting strategy for the first time in multi-step forecasting of SETAR and k-nn, the results indicated that SETAR is superior to k-nn by means of performance indices. SETAR models were found to be more efficient in forecasting flows in one and multi-step forecasting. SETAR is less sensitive to the propagated error variances than the k-nn model, particularly for larger lead times (i.e., 5 days). The k-nn model should carefully be used in multi-step ahead forecasting where peak flow forecasting is important by considering the risk of error propagation. Copyright Springer Science+Business Media Dordrecht 2016

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  • Hakan Tongal & Martijn Booij, 2016. "A Comparison of Nonlinear Stochastic Self-Exciting Threshold Autoregressive and Chaotic k-Nearest Neighbour Models in Daily Streamflow Forecasting," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 30(4), pages 1515-1531, March.
    • Handle: RePEc:spr:waterr:v:30:y:2016:i:4:p:1515-1531
    DOI: 10.1007/s11269-016-1237-6
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