Comparison of forecasting performance of nonlinear models of hydrological time series

Mean monthly flows of the Tatry alpine mountain region in Slovakia are predominantly fed by snowmelt in the spring and convective precipitation in the summer. Therefore their regime properties exhibit clear seasonal patterns. Positive deviations from these trends have substantially different features than the negative ones. This provides intuitive justification for the application of nonlinear two-regime models for modelling and forecasting of these time series. Nonlinear time series structures often have lead to good fitting performances, however these do not guarantee an equally good forecasting performance. In this paper therefore the forecasting performance of several nonlinear time series models is compared with respect to their capabilities of forecasting monthly and seasonal flows in the Tatry region. A new type of regime-switching models is also proposed and tested. The best predictive performance was achieved for a new model subclass involving aggregation operators.