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Akintug & Rasmussen 2005
Akintug, B. and Rasmussen, P.F. (2005). A Markov switching model for annual hydrologic time series. Water Resources Research 41. doi: 10.1029/2004WR003605. issn: 0043-1397.

This paper investigates the properties of Markov switching (MS) models (also known as hidden Markov models) for generating annual time series. This type of model has been used in a number of recent studies in the water resources literature. The model considered here assumes that climate is switching between M states and that the state sequence can be described by a Markov chain. Observations are assumed to be drawn from a normal distribution whose parameters depend on the state variable. We present the stochastic properties of this class of models along with procedures for model identification and parameter estimation. Although, at a first glance, MS models appear to be quite different from ARMA models, we show that it is possible to find an ARMA model that has the same autocorrelation function and the same marginal distribution as any given MS model. Hence, despite the difference in model structure, there are strong similarities between MS and ARMA models. MS and ARMA models are applied to the time series of mean annual discharge of the Niagara River. Although it is difficult to draw any general conclusion from a single case study, it appears that MS models (and ARMA models derived from MS models) generally have stronger autocorrelation at higher lags than ARMA models estimated by conventional maximum likelihood. This may be an important property if the purpose of the study is the analysis of multiyear droughts.

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Abstract

Keywords
Hydrology, Stochastic hydrology, Hydrology, Hydroclimatology, Hydrology, Drought, autocorrelation, drought, hidden Markov model, Markov-switching, time series analysis
Journal
Water Resources Research
http://www.agu.org/wrr/
Publisher
American Geophysical Union
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