Parallel genetic algorithms for optimizing the SARIMA model for better forecasting of the NCDC weather data

Autoregressive Integrated Moving Average (ARIMA) and seasonal ARIMA (SARIMA) models are common techniques that are widely used in analysing and forecasting stationary and seasonal time series data. The three essential steps involved to construct ARIMA are identification, estimation, and checking the validity of the model. The most critical step followed in constructing the ARIMA model is model identification. However, overcoming the difficult local optima problem for both ARIMA and SARIMA is still challenging as there is no appropriate method to solve it. In this paper, the proposed parallel GA-SARIMA model is used to solve the problem of local optima, where the genetic algorithm (GA) is used at the initial stage to identify the order and estimation of the parameters for SARIMA. The National Climate Data Centre (NCDC) time series dataset is used for testing the efficiency of the final parallel GA-SARIMA model to forecast the mean temperature of India from 2000 to 2017. The GA algorithm is successfully implemented to solve the optimization problems by introducing better solutions suitable for SARIMA models. The results of the study showed that the implementation of the combined approach of parallel GA and SARIMA enhances the prediction accuracy of the model. The parallel GA-SARIMA method is particularly robust, faster and performs better than sequential SARIMA models in terms of running time and cost function values. (C) 2020 The Authors. Published by Elsevier B.V. on behalf of Faculty of Engineering, Alexandria University.

Automated summary

ARIMA and SARIMA models are commonly used in analyzing and forecasting time series data, with model identification being a critical step. However, overcoming the challenging local optima problem remains difficult in both ARIMA and SARIMA.