Modeling Time Series with SARIMAX and Skew-Normal and Zero-Inflated Skew-Normal Errors
This study proposes an extension of Seasonal Autoregressive Integrated Moving Average models with exogenous regressors (SARIMAX) by incorporating skew-normal and zero-inflated skew-normal error structures to better accommodate asymmetry and excess zeros in time series data. The proposed framework de...
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2025-06-01
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| author | M. Alejandro Dinamarca Fernando Rojas Claudia Ibacache-Quiroga Karoll González-Pizarro |
| author_facet | M. Alejandro Dinamarca Fernando Rojas Claudia Ibacache-Quiroga Karoll González-Pizarro |
| author_sort | M. Alejandro Dinamarca |
| collection | DOAJ |
| description | This study proposes an extension of Seasonal Autoregressive Integrated Moving Average models with exogenous regressors (SARIMAX) by incorporating skew-normal and zero-inflated skew-normal error structures to better accommodate asymmetry and excess zeros in time series data. The proposed framework demonstrates improved flexibility and robustness compared to traditional Gaussian-based models. Simulation experiments reveal that the skewness parameter significantly affect forecasting accuracy, with reductions in mean absolute error (MAE) and root mean square error (RMSE) observed across both positively and negatively skewed scenarios. Notably, in negative-skew contexts, the model achieved an MAE of 0.40 and RMSE of 0.49, outperforming its symmetric-error counterparts. The inclusion of zero-inflation probabilities further enhances model performance in sparse datasets, yielding superior values in goodness-of-fit criteria such as the Akaike Information Criterion (AIC) and Bayesian Information Criterion (BIC). To illustrate the practical value of the methodology, a real-world case study is presented involving the modeling of optical density (OD<sub>600</sub>) data from <i>Escherichia coli</i> during stationary-phase growth. A SARIMAX(1,1,1) model with skew-normal errors was fitted to 200 time-stamped absorbance measurements, revealing significant positive skewness in the residuals. Bootstrap-derived confidence intervals confirmed the significance of the estimated skewness parameter (<inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><mrow><mi>α</mi><mo>=</mo><mn>14.033</mn></mrow></semantics></math></inline-formula> with 95% CI [12.07, 15.99]). The model outperformed the classical ARIMA benchmark in capturing the asymmetry of the stochastic structure, underscoring its relevance for biological, environmental, and industrial applications in which non-Gaussian features are prevalent. |
| format | Article |
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| institution | DOAJ |
| issn | 2227-7390 |
| language | English |
| publishDate | 2025-06-01 |
| publisher | MDPI AG |
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| series | Mathematics |
| spelling | doaj-art-5f4ce8d2e2ee4a7f870c8a1e7527fe7e2025-08-20T03:11:19ZengMDPI AGMathematics2227-73902025-06-011311189210.3390/math13111892Modeling Time Series with SARIMAX and Skew-Normal and Zero-Inflated Skew-Normal ErrorsM. Alejandro Dinamarca0Fernando Rojas1Claudia Ibacache-Quiroga2Karoll González-Pizarro3Centro de Micro-Bioinnovación, Escuela de Nutrición y Dietética, Facultad de Farmacia, Universidad de Valparaíso, Gran Bretaña 1093, Valparaíso 2340000, ChileCentro de Micro-Bioinnovación, Escuela de Nutrición y Dietética, Facultad de Farmacia, Universidad de Valparaíso, Gran Bretaña 1093, Valparaíso 2340000, ChileCentro de Micro-Bioinnovación, Escuela de Nutrición y Dietética, Facultad de Farmacia, Universidad de Valparaíso, Gran Bretaña 1093, Valparaíso 2340000, ChileCentro de Micro-Bioinnovación, Escuela de Nutrición y Dietética, Facultad de Farmacia, Universidad de Valparaíso, Gran Bretaña 1093, Valparaíso 2340000, ChileThis study proposes an extension of Seasonal Autoregressive Integrated Moving Average models with exogenous regressors (SARIMAX) by incorporating skew-normal and zero-inflated skew-normal error structures to better accommodate asymmetry and excess zeros in time series data. The proposed framework demonstrates improved flexibility and robustness compared to traditional Gaussian-based models. Simulation experiments reveal that the skewness parameter significantly affect forecasting accuracy, with reductions in mean absolute error (MAE) and root mean square error (RMSE) observed across both positively and negatively skewed scenarios. Notably, in negative-skew contexts, the model achieved an MAE of 0.40 and RMSE of 0.49, outperforming its symmetric-error counterparts. The inclusion of zero-inflation probabilities further enhances model performance in sparse datasets, yielding superior values in goodness-of-fit criteria such as the Akaike Information Criterion (AIC) and Bayesian Information Criterion (BIC). To illustrate the practical value of the methodology, a real-world case study is presented involving the modeling of optical density (OD<sub>600</sub>) data from <i>Escherichia coli</i> during stationary-phase growth. A SARIMAX(1,1,1) model with skew-normal errors was fitted to 200 time-stamped absorbance measurements, revealing significant positive skewness in the residuals. Bootstrap-derived confidence intervals confirmed the significance of the estimated skewness parameter (<inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><mrow><mi>α</mi><mo>=</mo><mn>14.033</mn></mrow></semantics></math></inline-formula> with 95% CI [12.07, 15.99]). The model outperformed the classical ARIMA benchmark in capturing the asymmetry of the stochastic structure, underscoring its relevance for biological, environmental, and industrial applications in which non-Gaussian features are prevalent.https://www.mdpi.com/2227-7390/13/11/1892seasonal autoregressive modelsskew-normal distributionzero-inflated errorsasymmetric residualsforecasting accuracytime series analysis |
| spellingShingle | M. Alejandro Dinamarca Fernando Rojas Claudia Ibacache-Quiroga Karoll González-Pizarro Modeling Time Series with SARIMAX and Skew-Normal and Zero-Inflated Skew-Normal Errors Mathematics seasonal autoregressive models skew-normal distribution zero-inflated errors asymmetric residuals forecasting accuracy time series analysis |
| title | Modeling Time Series with SARIMAX and Skew-Normal and Zero-Inflated Skew-Normal Errors |
| title_full | Modeling Time Series with SARIMAX and Skew-Normal and Zero-Inflated Skew-Normal Errors |
| title_fullStr | Modeling Time Series with SARIMAX and Skew-Normal and Zero-Inflated Skew-Normal Errors |
| title_full_unstemmed | Modeling Time Series with SARIMAX and Skew-Normal and Zero-Inflated Skew-Normal Errors |
| title_short | Modeling Time Series with SARIMAX and Skew-Normal and Zero-Inflated Skew-Normal Errors |
| title_sort | modeling time series with sarimax and skew normal and zero inflated skew normal errors |
| topic | seasonal autoregressive models skew-normal distribution zero-inflated errors asymmetric residuals forecasting accuracy time series analysis |
| url | https://www.mdpi.com/2227-7390/13/11/1892 |
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