Amiri, K., Shabanipour, N., Eagderi, S. (2018). Forecasting the catch of kilka species (Clupeonella spp.) using Time Series SARIMA models in the Southern Caspian Sea. Caspian Journal of Environmental Sciences, 16(4), 349-358. doi: 10.22124/cjes.2018.3203

K Amiri; N Shabanipour; S Eagderi. "Forecasting the catch of kilka species (Clupeonella spp.) using Time Series SARIMA models in the Southern Caspian Sea". Caspian Journal of Environmental Sciences, 16, 4, 2018, 349-358. doi: 10.22124/cjes.2018.3203

Amiri, K., Shabanipour, N., Eagderi, S. (2018). 'Forecasting the catch of kilka species (Clupeonella spp.) using Time Series SARIMA models in the Southern Caspian Sea', Caspian Journal of Environmental Sciences, 16(4), pp. 349-358. doi: 10.22124/cjes.2018.3203

Amiri, K., Shabanipour, N., Eagderi, S. Forecasting the catch of kilka species (Clupeonella spp.) using Time Series SARIMA models in the Southern Caspian Sea. Caspian Journal of Environmental Sciences, 2018; 16(4): 349-358. doi: 10.22124/cjes.2018.3203

Forecasting the catch of kilka species (Clupeonella spp.) using Time Series SARIMA models in the Southern Caspian Sea

^{1}Department of Biology, Faculty of Science, University of Guilan, Rasht, Iran

^{2}Department of Marine Sciences, The Caspian Sea Basin Research Centre, University of Guilan, Rasht, Iran

^{3}Department of Fisheries, Faculty of Natural Resources, University of Tehran, Karaj, Iran

Abstract

Fisheries management receives assistance by prediction of events to evaluate fluctuating values for a target species to formulate proper policies and actions particularly for threatened and endangered species. This study aimed to predict 7 years Catch Per Unit Effort (CPUE) of kilka fishes as at-risk population in southern regions of the Caspian Sea. The former catch data from the Fisheries Organization of Iran (IFO) archives (1997 to 2014) were analyzed using ARIMA and SARIMA models. The data were divided into four parts (quarters) addressing one-fourth of a year to represent time and expressed as “Q”. According to periodic changes of ACF and PACF indices, seasonal ARIMA (SARIMA) models were used. The appropriate SARIMA models were examined using BIC, RMSE, R2, MSE and Ljung-Box indices. SARIMA (0, 1, 1) × (0, 1, 1) 4 process was the selected final model which met the criterion of model parsimony according to BIC of 31.91, RMSE of 7195193 , MAE of 4372178 , R2 of 0.82 and Ljung-Box index < 0.05. Based on selected SARIMA model, the forecasts indicated that if the fishing fleet and efforts remain at the present level, the performance of kilka fishing will likely have gentle rise by 2021.

Fisheries management receives assistance by prediction of events to evaluate fluctuating values for a target species to formulate proper policies and actions particularly for threatened and endangered species. This study aimed to predict 7 years Catch Per Unit Effort (CPUE) of kilka fishes as at-risk population in southern regions of the Caspian Sea. The former catch data from the Fisheries Organization of Iran (IFO) archives (1997 to 2014) were analyzed using ARIMA and SARIMA models. The data were divided into four parts (quarters) addressing one-fourth of a year to represent time and expressed as “Q”. According to periodic changes of ACF and PACF indices, seasonal ARIMA (SARIMA) models were used. The appropriate SARIMA models were examined using BIC, RMSE, R2, MSE and Ljung-Box indices. SARIMA (0, 1, 1) × (0, 1, 1) 4 process was the selected final model which met the criterion of model parsimony according to BIC of 31.91, RMSE of 7195193 , MAE of 4372178 , R2 of 0.82 and Ljung-Box index < 0.05. Based on selected SARIMA model, the forecasts indicated that if the fishing fleet and efforts remain at the present level, the performance of kilka fishing will likely have gentle rise by 2021.

Key words: SARIMA model, Kilka, Time series forecasting, Fishing effort, South Caspian Sea.

INTRODUCTION

The Caspian Sea (36° to 47° N and 46° to 54° E) is a landlocked body of water on the Euro-Asian continent. Modern autochthonous Caspian fauna evolved from limited number of marine species since 1.8 million years ago as an isolated brackish water body without competition enforcement by marine species (Karpinsky 2002).

The Caspian Sea kilka group (Clupeonella spp.) are small pelagic fishes belonging to the family Clupeidae including common kilka (Clupeonella cultriventriscaspia Bordin, 1904), big eye kilka (C. grimmi Kessler, 1877) and anchovy kilka (C. engrauliformis Svetovidov, 1941). The three mentioned species also constitute the main catch of the sea comprising 80% of total catches. They are crucial high protein part of the food web in the Caspian Sea. The Iranian kilka related firms impose important economic effects on various feed producers for poultry, livestock and aquaculture industries. However, the sustainable management of kilka stocks and catches is not only vital to the Iranians but also to the countries benefited by the Caspian Sea such as Azerbaijan, Russia and Turkmenistan (Strukovaet al. 2015).

Over the past two decades, the species composition on one part and density of the Caspian Kilka on the other part have been negatively changed (Karimzadeh et al. 2010). According to Iranian Fisheries Organization (IFO) reports, the total catch of kilka decreased by almost 50% ranging from 45000 ton in 2001 to 22000 ton in 2014 relating mainly to anthropogenic pressures. Pollution, domestic and industrial run-off, development of vast oil and gas fields, uncontrolled fishing and inefficient management has escalated the deterioration of the Caspian Sea ecosystem and trophic chains (Ivanov 2000).

Forecasting based on historical time series data, has become an efficient tool for future fisheries planning. Efficient models can provide accurate operational forecasts of annual commercial landings in coastal waters (Stergiou & Christou 1996). Planners can predict commercial landings for the next year and season using time series approaches where the data are updated periodically (Czerwinski et al. 2007). Such estimations help to predict fluctuations of target species biomass and make realistic policies for effective fisheries management (Stergiou & Christou 1996). Time series analyses, such as Box–Jenkins Autoregressive Integrated Moving Average (ARIMA) model, has been used for numerous scientific fields including fishery science such as short-term forecasting of landings and also to evaluate forecast efficiencies (Georgakarakos et al. 2006; Czerwinski et al. 2007). Where periodic components are included in this model, it is called Seasonal Autoregressive Integrated Moving Average (SARIMA). The SARIMA model deals with seasonality in a more implicit manner, while ARIMA model is deficient in dealing with seasonal data. SARIMA model acts better than ARIMA when the seasonal pattern is both strong and stable over time. Several studies have employed SARIMA model to forecast fish catch amounts around the world (Christou 1996; Prista et al. 2011; Bako et al. 2013; Lazaro & Lazaro Jere 2013; Kim et al. 2015). The total catch of the Caspian Sea kilka has declined to a critical point in recent years. To recover the stock and achieve sustainable yield, fishery policies need a reform and sufficient information about future situation of kilka catches.

Therefore, the present study tried to forecast the monthly and also seasonal CPUE (Catch Per Unit Effort) of the kilka fishes in the southern part of the Caspian Sea employing SARIMA model. The efficiency of the forecasting techniques applicable to the Caspian fisheries was discussed.

MATERIALS AND METHODS

Data collection and analysis

The analyses were based on the daily CPUE data obtained from fishing vessels during 1997 to 2014 at two main Kilka fishing areas in the southern part of the Caspian Sea i.e. Anzali (37°28'N,49°25'E) and Babolsar (36°42′N, 52°39′ E) ports (Fig. 1). CPUE is calculated as the catch divided by the effort. The CPUE data collected by the Iranian Fisheries Organization (IFO) were divided by four quarters. A quarter refers to one-fourth of a year and is typically expressed as "Q”. The four quarters that made the year were: March to June (Q1); June to September (Q2); September to December (Q3); December to March (Q4) representing four seasons in Iran. CPUE of kilka ranged between 93802 kg to 14239979 kg, reaching its highest value of 30993544 kg in winter (Q4) of 1998 and falling to 93802 kg in spring (Q1) of 2014.

Modeling

Box and Jenkins (1976) presented Seasonal Autoregressive Integrated Moving Average (SARIMA) of a time series model as (1):

[1]

Where X_{t} is the value of a stationary time series {X_{t}} at time t. Clearly p and q are integers and {_{t}} is a white noise process. The ’s and ’s are constants such that model (1) is both stationary and invertible.

If q = 0 then (1) is an autoregressive model of order p, denoted by AR (p). If p = 0 the model is a moving average model of order q, denoted by MA (q). Model (2) may be put as:

A(L) X_t=B(L)ε_t [2]

where A(L) = 1 - α 1`L - α 2L2 - … - αp Lp and B(L) = 1 + β 1L + β 2L2 + … + β qLq and LkXt = Xt-k. A (L) and B (L) are the autoregressive (AR) operator and the moving average (MA) operator respectively.

Fig 1. Approximate kilka fishing areas (red ovals) in the South Caspian Sea (Amiri et al. 2017).

If the time series {X_{t}} is non-stationary, Box and Jenkins proposed that differencing of the series to an appropriate degree might make it stationary. Suppose d is the least positive integer such that the d^{th} difference of {X_{t}} denoted by {^{d}X_{t}} is stationary where =1-L. {X_{t}} is said to be I(d), and replacement of X_{t} by its d^{th} difference in (1) yields an autoregressive integrated moving average of order p, d, q, denoted by ARIMA(p,d,q), in the original series. If {X_{t}} is in addition seasonal, Box and Jenkins further proposed that, in order to capture the seasonality, it might be modeled by (3):

[3]

where s is the seasonality period, (L) = 1+ _{1}L+ _{2}L^{2}+ ...+ _{P}L^{P} and (L) = 1+ _{1}L+ _{2}L^{2}+...+ _{Q}L^{Q} are the seasonal AR and MA operators respectively, the ’s and ’s being constants such that the entire model is

stationary and invertible. represents the D^{th} seasonal difference operator. Model (2) is called a seasonal autoregressive integratedmoving average model of order p, d, q, P, D, Q, sdenoted by SARIMA(p, d, q) × (P,D,Q)^{s}. Box-Jenkins modeling involves first of all the determination of the orders in (1) and (2). The AR orders p and P are determined by the non-seasonal and the seasonal cut-off lags of the autocorrelation function (ACF). Their counterparts, q and Q may be estimated by the non-seasonal and the seasonal cut off lags of the partial autocorrelation function (PACF). It is sufficient to choose the differencing orders d and D such that their sum is at most for stationary to be attained. The seasonality period often suggestive naturally or by an inspection of the series. Stationary and the best alternative models compared according to ADF, smallest BIC, RMSE & MSE maximum R-square and the p-values above 0.05 of Ljung-Box Test.

Stationary test

A test of stationary (or non – stationary) that has become widely popular over the past several years is the unit root test. This is the test that is used to carry out or to know the order of integration. It is important to know the order of integration of non-stationary variables, so they may be different before being included in a regression equation. The most common unit root tests are ADF test (Dicky & Fuller 1979).

Ljung-Box Test

Ljung and Box (1978) proposed a Q-Test called Ljung–Box test which is commonly used in linear models following Box-Jenkins methodology. This test is applied to the residuals of a fitted model, not the original series, and in such applications the hypothesis to be tested is that the residuals from the model have no autocorrelation. Perhaps it performs a lack-of-fit hypothesis test for model misspecification based on the Q-statistic given in (4):

[4]

Where N = sample size, L = number of autocorrelation lags included in the statistic, and p^{2}_{j} is the squared sample autocorrelation at lag j. Under the null hypothesis of no serial correlation, the Q-test statistic is asymptotically Chi-Square distributed. The p-values above 0.05 indicate the acceptance of the null hypothesis of model accuracy under 95% significant levels (Fadhilah & Ibrahim 2012).

Choice of best model

First, the stationary and seasonality have been addressed, and then the order (the p and q) of the autoregressive and moving average terms were found. The primary tools for doing so are the autocorrelation plot and the partial autocorrelation plot. However, according to Box & Jenkins (1976) the model should be parsimonious, having as few parameters as possible and fulfill all the diagnostic checks. The BIC, RMSE, MAE, R-square, and Ljung-Box test suggested that the parsimony criteria of the model building as information criteria for the purpose of selecting an optional model fits to a given data. Also the model adequacy by examining the sample autocorrelation as function of the residual (ACF) and the sample partial autocorrelation as function of the residual (PACF) was checked. We can conclude that the model is adequate if there are no spikes in the ACF and PACF.

RESULTS

The first step in developing a Box-Jenkins model is to determine if the series are stationary. So that, Root test of stationary ADF was carried out. The P-value of ADF test was 0.03 and smaller than 0.05. As the result, original time series was not stationary (Fig. 2 a,b and c) and quarterlydifferencing was necessary (Fig. 3 a,b and c).

The ACF had spikes of multiple of 4, 8, 12, 16, 20 and 24 (Fig. 3 a, b and c)), indicating that seasonal differencing was necessary. The seasonal difference on the stationed quarterly series (ADF test P-value>0.05) was used to compute various SARIMA models (Fig. 3 & 4 a, b and c).

Model selection

Nine candidate models were selected (Table 1). The best model was found as SARIMA (0, 1, 1) × (0, 1, 1) ^{4 }accordingto BIC, RMSE, MAE and R^{2} indices.

The Ljung-Box statistic indicated that there was no significant departure from white noise for the residuals as the P-values of the test statistic clearly exceeds the 5% significant level for all lag orders (Table 2; Fig. 5). The estimation of the model as summarized in Table 3 yields (5). Seasonal prediction was done according to the selected model for 2015 to 2021 (Table 4; Fig. 6). The actual and fitted data are indicated by solid and dash lines respectively. The forecasted CPUE (in kg) are shown by the thicker line in yellow shaded area.

The bounded dash line shows 80% (lower line) and 95% (upper line) prediction intervals respectively.

Fig 2. Time series of CPUE (a) and correlograms (ACF and PACF) (b,c) for original data set.

Fig. 3. Kilka CPUE (ton) after 1^{st }difference (a) and related correlograms (ACF and partial ACF) (b,c).

Fig.4. Kilka CPUE (ton) after 1^{st }Seasonal (Q) difference (a) and related correlograms (ACF and partial ACF) (b,c).

Table 1. Results of several models for model identification.

R^{2}

MAE

RMSE

BIC

Model - Type

82

4520576

7339396

32.017

SARIMA (1,1,1) (1,1,1)4

80

4905617

7708253

32.04

SARIMA (1,1,1)(1,1,0)4

82

4372178

7195193

31.91

*SARIMA (0,1,1) (0,1,1)4

68

6633747

9651076

32.84

SARIMA (1,1,0) (1,1,0)4

74

5562030

8738546

32.23

SARIMA (1,1,0) (0,1,1)4

74

5363459

8748802

30.73

SARIMA (1,1,0)(1,1,1)4

70

5678808

9390823

32.37

SARIMA (0,1,1)(1,1,0)4

74

4705856

8598984

32.20

SARIMA (1,1,1)(0,1,1)4

74

4871968

8701065

32.29

SARIMA (0,1,1)(1,1,1)4

* = Best model

Fig. 5. Noise residual ACF and PACF.

Table 2. Estimates of parameters for SARIMA (0, 1, 1) × (0, 1, 1)^{4}.

Model parameters

Estimate

SE

T-Ratio

Sig.

MA 1

0.532

0.112

4.740

0.0000

Non-seasonal Diff.

1

SMA 1

0.623

0.110

5.682

0.000

Seasonal Diff.

1

Liung-Box Q test

0.369

Table 3. Estimation of the SARIMA (0, 1, 1) × (0, 1, 1)^{4} model.

Model parameters

Estimate

SE

Sig.

MA 1

-0.553

0.119

0.0000

MA 4

-0.456

0.116

0.0000

MA 5

0.425

0.116

0.0000

[5]

Fig. 6. The actual and predicted amounts of seasonal kilka CPUE by SARIMA (0, 1, 1) × (0, 1, 1)^{4} in southern part of the Caspian Sea.

Table 4. Actual and forecasted seasonal CPUE (kg) for 2014 to 2021.

Season Year

Spring

Summer

Autumn

Winter

2014 (actual)

1126211

7188542

7012349

6546864

2015 (forecasted)

1042650

7707830

7244714

4137857

2016 (forecasted)

805873

8005441

7282515

3671137

2017 (forecasted)

866468

8247064

7350819

3213749

2018 (forecasted)

941577

8501932

7432679

2769841

2019 (forecasted)

1030186

8770295

7528036

2339429

2021 (forecasted)

1132290

9052153

7636887

1922513

2021 (forecasted)

1247889

9347507

7759234

1519091

CONCLUTION

This study aimed to identify a time series model to forecast the kilka CPUE in the southern part of the Caspian Sea from 1997 to 2014 employing of Box-Jenkins fundamental approach. The model was developed in three stages. In the first stage, the model was identified, where the series was not non stationary at level form based on the result provided by ADF test, correlogram and time plot. It was found out that the series was stationary at the 1^{st} difference. More so,

seasonal difference was made due to significant spikes at certain lags of the quarterly stationary series. Based on simultaneous criteria selection for BIC and RMSE, SARIMA (0, 1, 1) × (0, 1, 1) ^{4} was the best model to fit the data.

Then, CPUE was forecasted indicating that the kilka CPUE will have gentle rise by 2021 (Table. 3; Fig. 6).

The forecast indicated that in current fishing effort, the CPUE of southern part of the Caspian Sea kilka will be almost stable for few coming years ahead and the present seasonal condition will be retained. In addition, the first difference ACF correlogram showed that Q4 fishing season in Iran established the key role in kilka CPUE fluctuations.

ACKNOWLEDGEMENTS

We would like to thank Fisheries Statistics and Economy Group of Iran Fisheries Organization especial Sabah Khorshidi for providing the data, which has been used in this study.

The authors wish to thank Ette Etuk (Rivers state University, Nigeria) and Hadi Poorbagher (University of Tehran) for their review and scientific guidance.

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