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I have water temperature data consisting of monthly means for 20 years. As one would expect there is a definite seasonal/cyclical pattern. I wish to model the time series data by fitting an ARIMA model.

Two questions:

  1. Would this be an appropriate analysis for temperature data?

  2. How do I test if there is a significant trend (a p-value would be nice!) of increasing water temperature in this data which is clearly nonlinear?

      Year  Month   Temperature
      1953  March   21.88302419
      1953  April   21.22354167
      1953  May 19.98760753
      1953  June    18.39943056
      1953  July    16.94803763
      1953  August  16.71372312
      1953  September   17.46852778
      1953  October 18.12665323
      1953  November    19.29626389
      1953  December    19.9861828
      1954  January 20.86797043
      1954  February    21.91311012
      1954  March   22.3521371
      1954  April   20.94972222
      1954  May 20.34298387
      1954  June    18.39666667
      1954  July    17.18486559
      1954  August  17.13916667
      1954  September   17.35176389
      1954  October 18.30989247
      1954  November    19.14590278
      1954  December    20.25358871
      1955  January 21.8128629
      1955  February    22.73234195
      1955  March   21.60393817
      1955  April   20.92319444
      1955  May 20.09857527
      1955  June    18.16069444
      1955  July    17.24068641
      1955  August  17.14547043
      1955  September   16.676875
      1955  October 17.31141129
      1955  November    19.70297222
      1955  December    20.0072043
      1956  January 21.77598118
      1956  February    21.62849702
      1956  March   21.94706989
      1956  April   20.6965
      1956  May 19.05202957
      1956  June    17.81277778
      1956  July    17.3078629
      1956  August  17.35629032
      1956  September   17.84531944
      1956  October 18.0919086
      1956  November    19.68886111
      1956  December    20.42611559
      1957  January 21.82801075
      1957  February    22.76324405
      1957  March   22.8733109
      1957  April   21.89454167
      1957  May 20.41923387
      1957  June    18.85397222
      1957  July    18.36353495
      1957  August  17.7866218
      1957  September   18.141875
      1957  October 18.99646505
      1957  November    19.38388889
      1957  December    20.64235215
      1958  January 21.35995968
      1958  February    21.56925595
      1958  March   23.04430108
      1958  April   21.3755
      1958  May 20.06209677
      1958  June    18.8416968
      1958  July    17.77298387
      1958  August  17.71418011
      1958  September   17.39784722
      1958  October 17.88056452
      1958  November    19.88647222
      1958  December    21.30474462
      1959  January 22.51991925
      1959  February    23.35799107
      1959  March   22.5344086
      1959  April   22.08238889
      1959  May 20.04969086
      1959  June    19.00790278
      1959  July    18.27353495
      1959  August  17.55283984
      1959  September   17.22833333
      1959  October 18.01680108
      1959  November    18.6775
      1959  December    19.8469086
      1960  January 20.68198925
      1960  February    21.83154762
      1960  March   21.50378073
      1960  April   20.34733796
      1960  May 19.58559588
      1960  June    18.45406456
      1960  July    17.53125
      1960  August  16.96117944
      1960  September   16.98905903
      1960  October 17.73582997
      1960  November    18.65800694
      1960  December    19.32586694
      1961  January 19.71767473
      1961  February    21.04120651
      1961  March   21.35288306
      1961  April   20.30002431
      1961  May 18.6331754
      1961  June    18.62307639
      1961  July    18.2453629
      1961  August  16.99882056
      1961  September   17.33630194
      1961  October 16.92414798
      1961  November    18.00218056
      1961  December    18.73533154
      1962  January 19.35255376
      1962  February    20.21777565
      1962  March   21.21165323
      1962  April   20.21122222
      1962  May 19.51232527
      1962  June    18.25903472
      1962  July    17.53709677
      1962  August  16.88536713
      1962  September   16.02052778
      1962  October 17.28112903
      1962  November    18.13883333
      1962  December    19.95607527
      1963  January 21.23651882
      1963  February    19.9141523
      1963  March   21.89069892
      1963  April   21.20695833
      1963  May 19.74677419
      1963  June    18.01259722
      1963  July    17.27166667
      1963  August  16.63431452
      1963  September   16.78509722
      1963  October 18.14424731
      1963  November    19.29784722
      1963  December    18.66950269
      1964  January 22.3822043
      1964  February    21.98738095
      1964  March   22.06516129
      1964  April   20.77536364
      1964  May 19.60976277
      1964  June    17.69825347
      1964  July    17.47606586
      1964  August  16.81932997
      1964  September   17.18971597
      1964  October 17.78017742
      1964  November    19.022725
      1964  December    19.98706116
      1965  January 20.62890995
      1965  February    21.86117039
      1965  March   21.76144624
      1965  April   21.41317694
      1965  May 19.89478226
      1965  June    18.14042639
      1965  July    16.53863575
      1965  August  17.4485
      1965  September   17.38953973
      1965  October 17.79755645
      1965  November    19.54316042
      1965  December    20.5874375
      1966  January 21.33427016
      1966  February    22.30857515
      1966  March   21.52931855
      1966  April   21.37102778
      1966  May 20.02285954
      1966  June    18.68837361
      1966  July    18.03406653
      1966  August  17.54710551
      1966  September   18.25538665
      1966  October 18.1833172
      1966  November    19.20074583
      1966  December    20.33642742
      1967  January 21.07148185
      1967  February    22.28252799
      1967  March   21.35484005
      1967  April   20.18232083
      1967  May 18.87129435
      1967  June    18.12438472
      1967  July    17.34492215
      1967  August  17.27377688
      1967  September   16.92026389
      1967  October 17.54733871
      1967  November    18.37069444
      1967  December    19.83104839
      1968  January 21.33081989
      1968  February    21.68643155
      1968  March   21.64960081
      1968  April   20.69278889
      1968  May 18.98352957
      1968  June    18.3307
      1968  July    17.23593011
      1968  August  16.94599866
      1968  September   16.48676389
      1968  October 16.9316371
      1968  November    17.66956806
      1968  December    19.41569489
      1969  January 21.37015591
      1969  February    20.70526488
      1969  March   21.64435081
      1969  April   20.97368472
      1969  May 20.4197836
      1969  June    18.31870833
      1969  July    17.4229328
      1969  August  17.10003226
      1969  September   17.36448056
      1969  October 18.07489785
      1969  November    18.97591528
      1969  December    20.51862231
      1970  January 22.03919489
      1970  February    21.64364487
      1970  March   21.24479032
      1970  April   20.28298611
      1970  May 19.29274059
      1970  June    17.73382639
      1970  July    16.55055511
      1970  August  16.43872446
      1970  September   17.48788472
      1970  October 17.9552638
      1970  November    19.17982222
      1970  December    19.68649597
      1971  January 21.57199866
      1971  February    21.76181178
      1971  March   21.11755511
      1971  April   20.01336667
      1971  May 19.05388978
      1971  June    18.52273333
      1971  July    17.39878226
      1971  August  16.3497836
      1971  September   17.0700125
      1971  October 18.32019758
      1971  November    18.96098333
      1971  December    19.1836586
    
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  • 1
    $\begingroup$ Are you willing to assume a parametric form of the trend (e.g. linear, quadratic etc. with unknown coefficients) or would you rather allow the trend to take whatever weird shape? The former case is simpler: you would include relevant variables in the model (e.g. a linearly or quadratically increasing deterministic series; this would turn the model from ARIMA to ARIMAX), and get the estimates of their coefficients (and p-values, too). $\endgroup$ Commented Jun 17, 2015 at 7:35
  • $\begingroup$ Dear Richard, thank you, as the temperature data are of seawater in a natural setting, I think I would be okay assuming they follow some sort of parametric trend. How would I go about determining/including relevant variables in the model as you allude to? Is there perhaps an example on the web that spells out how to do this? $\endgroup$
    – Sean
    Commented Jun 17, 2015 at 10:22
  • 1
    $\begingroup$ See e.g. Rob J Hyndman's blog post. He also discusses R functions for this. Look at the documentation for these functions to see exactly how they work. The relevant trend variables could be $x_1=\{1,2,...,t\}$, $x_1=\{1^2,2^2,...,t^2\}$ for a linear and a quadratic term. $\endgroup$ Commented Jun 17, 2015 at 10:51
  • 1
    $\begingroup$ Proper transformations of the data including Generalized Least Squares (weighted regression) or properly segmenting the data due to parameter transiency while incorporating deterministic structure can be much more efficient. Post your data and we can have a comparative analysis highlighting the differences between different methods.. $\endgroup$
    – IrishStat
    Commented Jun 17, 2015 at 11:26
  • $\begingroup$ Thank you Richard and IrishStat! I will post the data immediately in the form of an edit at the end of my original post (due to character limitations of comments), as requested. It would be great to see a comparative analysis, preferably done in R. $\endgroup$
    – Sean
    Commented Jun 17, 2015 at 14:07

1 Answer 1

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I took your 226 values and analyzed them with AUTOBOX. A reasonable ARIMA model enter image description here was developed BUT a statistically significant change point was detected using the CHOW Test enter image description here . The most recent 79 values were then examined to identify a suitable model.enter image description here withe the following Actual/Fit and Forecast graph. enter image description here . The residuals from this model suggest randomness suggesting a sufficient model. enter image description here enter image description here . The forecast plot/table is presented here enter image description here enter image description here . Finally the Actual/Cleansed graph showing the two anomalous points is interesting and informative enter image description here . The statistical summary is here enter image description here and here enter image description here There is no suggestion in the data that would support a "trend" conclusion. Since there is no evidence of a transient error variance or a level shift in the model's errors , any number of simple/uncomplicated approaches should work with data if you ignore the change in parameters over time .

A question to the OP "Are you aware of anything that might have been responsible for the change in parameters ?"

EDIT: TO ANSWER @FORECASTER'S QUESTION REGARDING LIMITS.

I extended the forecast period to 200 periods and reported the multiplier (based upon the psi weights) of the error variance . In short the limits are diverging BUT slowly . Here is the results for the first 24 periods enter image description here and the periods 97 - 120 enter image description here and finally the last set (175-200) enter image description here

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  • $\begingroup$ why would the prediction interval in autobox be constant, I would assume that as we go farther out into to the future, the uncertainty increases therefore the prediction interval be more wider? Thank you $\endgroup$
    – forecaster
    Commented Jun 18, 2015 at 1:57
  • $\begingroup$ Thank you IrishStat, very impressive, especially to a biologist! To answer your question, I am unaware of anything specific that may have been responsible for the change in parameters..the water temperature is simply at the mercy of the ocean currents in the area and the global atmosphere. When you say that there is no "trend" since there is no transient error variance or level shift in the model's errors which particular summary statistic/statistics are you looking at? And does the significant p-value for Differencing 1Autoregressive-Factor#1 simply mean that the fitted model is accurate? $\endgroup$
    – Sean
    Commented Jun 18, 2015 at 7:15
  • $\begingroup$ @forecaster Confidence limits for a stationary process reach an asymptote.. sometimes quickly (e.g. white noise) sometimes slowly. $\endgroup$
    – IrishStat
    Commented Jun 18, 2015 at 11:43
  • $\begingroup$ @Sean The conclusion that there is no identifiable trend comes from the fact that there is no differencing involved in the model. If there was AND if a trend constant was included and significant then there would be a positive conclusion about the existence of trend. Alternatively if AUTOBOX identified the need for a deterministic variable as a result of it's Intervention Detection Procedure ala TSAY 1986 - like x1={1,2,...,t}, (BUT it didn't) then one could conclude about the need for a trend $\endgroup$
    – IrishStat
    Commented Jun 18, 2015 at 11:52
  • $\begingroup$ @forecaster I should have added that this model is non-stationary with psi weights of 1.0 .5763 .3321 .1914 .1103 .0636 .0366 .0211 .0122 .0070 .0040 .0023 1.00 .5771 .3326 .1916 .1104 .0636 .0367 .0211 .0122 .0070 .0040 .0023 etc.... $\endgroup$
    – IrishStat
    Commented Jun 18, 2015 at 13:12

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