Modelos de séries temporais aplicados a dados de umidade relativa do ar

• Ano de defesa: 2014
• Autor(a) principal: Tibulo, Cleiton
• Orientador(a): Zanini, Roselaine Ruviaro
• Banca de defesa: Souza, Adriano Mendonça , Jacobi, Luciane Flores
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal de Santa Maria
• Programa de Pós-Graduação: Programa de Pós-Graduação em Engenharia de Produção
• Departamento: Engenharia de Produção
• País: BR
• Palavras-chave em Português: Umidade relativa do ar; Modelos ARIMA; Modelos de alisamento exponencial; Modelos ARMAX; Modelos ARCH/GARCH
• Palavras-chave em Inglês: Air relative humidity; ARIMA models; Exponential smoothing models; ARMAX models; ARCH/GARCH models
• Área do conhecimento CNPq: CNPQ::ENGENHARIAS::ENGENHARIA DE PRODUCAO
• Link de acesso: http://repositorio.ufsm.br/handle/1/8334

Time series model have been used in many areas of knowledge and have become a current necessity for companies to survive in a globalized and competitive market, as well as climatic factors that have always been a concern because of the different ways they interfere in human life. In this context, this work aims to present a comparison among the performances by the following models of time series: ARIMA, ARMAX and Exponential Smoothing, adjusted to air relative humidity (UR) and also to verify the volatility present in the series through non-linear models ARCH/GARCH, adjusted to residues of the ARIMA and ARMAX models. The data were collected from INMET from October, 1st to January, 22nd, 2014. In the comparison of the results and the selection of the best model, the criteria MAPE, EQM, MAD and SSE were used. The results showed that the model ARMAX(3,0), with the inclusion of exogenous variables produced better forecast results, compared to the other models SARMA(3,0)(1,1)12 and the Holt-Winters multiplicative. In the volatility study of the series via non-linear ARCH(1), adjusted to the quadrants of SARMA(3,0)(1,1)12 and ARMAX(3,0) residues, it was observed that the volatility does not tend to influence the future long-term observations. It was then concluded that the classes of models used and compared in this study, for data of a climatologic variable, showed a good performance and adjustment. We highlight the broad usage possibility in the techniques of temporal series when it is necessary to make forecasts and also to describe a temporal process, being able to be used as an efficient support tool in decision making.