Gaussian and Non-Gaussian Autoregressive Time Series Models with Rainfall Data

Abstract

The Gaussian and nonGaussian autoregressive models are used in this paper for analyzing time series data. The autoregressive time series models with various distributions are considered here for analyzing the annual rainfall of Punjab, India. Three different types of autoregressive models are applied here for analyzing data namely autoregressive model with Gaussian, Gamma and Laplace distribution. For the goodness of fit the chi square test is applied and the best fitted distribution is obtained for the data. Next the stationarity of data is checked, after that models are applied on data for comparing three distributions of AR models and lastly the best fitted model is obtained. The residual checking of selected model is also discussed and forecast the best fitted model based on simulated response comparison.