Comparison between SARIMA and Holt–Winters models for forecasting monthly streamflow in the western region of Cuba

Abstract

Abstract The present study aims to compare SARIMA and Holt–Winters model forecasts of mean monthly flow at the V Aniversario basin, western Cuba. Model selection and model assessment are carried out with a rolling cross-validation scheme using mean monthly flow observations from the period 1971–1990. Model performance is analyzed in one- and two-year forecast lead times, and comparisons are made based on mean squared error, root mean squared error, mean absolute error and the Nash–Sutcliffe efficiency; all these statistics are computed from observed and simulated time series at the outlet of the basin. The major findings show that Holt–Winters models had better performance in reproducing the mean series seasonality when the training observations were insufficient, while for longer training subsets, both models were equally competitive in forecasting one year ahead. SARIMA models were found to be more reliable for longer lead-time forecasts, and their limitations after being trained on short observation periods are due to overfitting problems. Article Highlights Comparison based on rolling cross-validation revealed the models forecasts sensibility to available observations amount. HW and SARIMA models perform better when limited observations or long-view forecasting, respectively, otherwise they do similar. HW models were superior modeling less variable monthly flows while SARIMA models better forecast the highly variable periods.

Keywords

• Monthly flow
• Forecasting
• SARIMA
• Holt–Winters
• Cross-validation