TRANSPORTATION RESEARCH RECORD 1678
99-1213 179
Application of Subset Autoregressive
Integrated Moving Average Model for
Short-Term Freeway Traffic
Volume Forecasting
SANGSOO LEE AND DANIEL B. FAMBRO
Traffic volume is one of the fundamental types of data that have been used
for the traffic control and planning process. Forecasting needs and efforts
for various applications will be increased with the deployment of ad-
vanced traffic management systems. With the importance of the short-
term traffic forecasting task, numerous techniques have been utilized to
improve its accuracy. The use of the subset autoregressive integrated mov-
ing average (ARIMA) model for short-term traffic volume forecasting is
investigated. A typical time-series modeling procedure was employed for
this study. Model identification was carried out with Akaike’s informa-
tion criterion. The conditional maximum likelihood method was used for
the parameter estimation process. Two white noise tests were applied for
model verification. From the analysis results, four time-series models in
different categories were identified and used for the one-step-ahead fore-
casting task. The performance of each model was evaluated using two sta-
tistical error estimates. Results showed that all time-series models
performed well with reasonable accuracy. However, it was observed
that the subset ARIMA model gave more stable and accurate results
than other time-series models, especially a full ARIMA model. It is
believed that the use of a subset ARIMA model could increase the accu-
racy of the short-term forecasting task within time-series models.
Traffic volume is one of the fundamental types of data for traffic
control and the general planning process. Within the advanced traf-
fic management system context, the role of accurate and reliable
traffic volume data is important and crucial to satisfy the objectives
of intelligent transportation systems. As a general trend, transporta-
tion systems tend to become more responsive and sophisticated, and
forecasts of future status are in great demand. Historically, traffic
forecasting has been considered a useful tool to improve the sys-
tem’s functions and purposes. Short-term traffic forecasting has
been needed for several applications (1): tactical decisions and traf-
fic system operations, advanced warning in monitoring systems, and
implementation and control of long-range plans. Forecast results can
be utilized within demand-responsive ramp-metering control envi-
ronments. Furthermore, accurate forecasts are important for imple-
mentation and evaluation of real-time control strategies in a feedback
system.
Numerous techniques have been used in the area of traffic fore-
casting. Ross employed the exponential filtering technique for traf-
fic volume forecasting (2). The nonparametric forecasting method
was applied using the k-nearest-neighbor approach to forecast short-
term freeway traffic (3). The Kalman filtering method was used
for traffic volume forecasting (4,5). Traffic forecasting has been
studied by use of back-propagation neural network models (6,7 ).
Department of Civil Engineering, Room 301C, CE/TTI Tower, Texas A&M
University, College Station, TX 77843-3135.
Paper No.
The combined transformation and pattern matching technique was
also investigated for short-term traffic volume forecasting at cross
sections (8).
The time-series technique has been widely used in the area of traf-
fic forecasting. Ahmed and Cook used the Box and Jenkins method to
forecast freeway traffic volume (9). A comparison of two autoregres-
sive integrated moving average (ARIMA) models was conducted
to select a proper model for the use of freeway traffic volume fore-
casting (10). Several ARIMA and autoregressive moving average
(ARMA) models were investigated, and four models were suggested
for forecasting truck traffic volume (11). An application of the classi-
fication motive to the ARIMA model was conducted with Kohonen
self-organizing maps (12). A comparative study on the time-series
model and the neural network model with 5-min traffic volume data
was discussed (13). The performance of the time-series model and the
neural network model was also compared using 30-min traffic vol-
ume data (14). Each study concluded that one out of the two studies
was better than the other, indicating that the performance of the
models was subject to data and model structures. A seasonal ARIMA
model was employed in order to predict urban freeway flow (15).
In this study the performance of the subset ARIMA modeling
process for short-term freeway traffic forecasting was investigated. It
has the same model structure as a typical ARIMA model but there are
fewer parameters in the model. Thus, a general time-series modeling
process could be used for the study. Model identification was per-
formed on the basis of Akaike’s information criterion (AIC) instead
of the Box and Jenkins method. Two white noise tests were described
for the model verification process. Four types of time-series models
were identified in different categories and used for forecasting. The
exponential smoothing method was utilized to compare the forecast-
ing accuracy of the time-series models. One-step-ahead forecasting
was completed, and the performance of each model was analyzed and
discussed in terms of both error measures and error trends.
In the following sections, a brief review of the time-series model-
ing process is provided with the model definition. A description
of data collection follows. Next, study results are described, and
conclusions are presented.
BACKGROUND
ARIMA Model
A time series {Yt} is an ARIMA process of orders ( p, d, q) if Yt
satisfies
180 Paper No. 99-1213
(1 − L)d − Yt = Zt
where Zt is the stationary ARMA process satisfying
P q
∑ α j Zt − j = ∑ β k et − k
j =0 k =0
L is defined as a backward shift operator, and p and q are the orders
of autoregressive process and moving average process, respectively.
α = (α1 . . . , αp)T and β = (β1, . . . , βq)T are coefficients and et are
sequences of independent and identically distributed N (0, σ2) ran-
dom deviates. This model was proposed by Box and Jenkins (16 )
and has been widely used for forecasting and control purposes be-
cause it can handle both stationary and nonstationary time-series
data. The simplest version of the ARIMA model is the random walk
process when the orders are p = q = 0, and d = 1.
Subset ARIMA Model
Although the typical ARIMA model has the full elements of co-
efficient vectors for each order, p and q, the subset ARIMA model
is represented with only a few nonzero coefficients of the orders
P, Q. It is an extended version of the ARIMA model and Zt is
expressed as
P Q
∑ θk Zt − j = ∑ γ k et − k
k =0 m=0
where P and Q are the orders of the autoregressive process and
moving average process, and et are sequences of independent and
identically distributed N (0, σ2) random deviates. The coefficients
are θ = (θ1, . . . , θP)T and γ = (γ1, . . . , γQ)T, and {θi, γj : θi = 0, γj =
0, some i, j}.
Descriptive Methods
To describe the basic characteristics of the data, three graphical
techniques can be used in time series analysis: the correlogram, the
partial correlogram and the standardized residual variance. The
correlogram is defined as a plot of the sample autocorrelation
coefficient of lag v versus v for v = 0, 1, . . . , M for some maxi-
mum lag M (17 ). The sample autocorrelation coefficient of lag v
is defined as
R(v)
ρ(v) =
R(0)
where R(v) is the sample autocovariance function. It is useful to
identify the memory types of time series data and to find out the pos-
sible periodicity of the data. Similarly, the partial correlogram is the
plot of the sample partial autocorrelation coefficient of lag v, which
is a correlation between time series Yt and Yt+v after removing the
influence of Yt+ 1 and Yt + v−1. Standardized residual variance is defined
as the residual variances divided by the sample variance. Therefore,
this value will be between zero and one, and a small value represents
long memory time series-data.
TRANSPORTATION RESEARCH RECORD 1678
(1) Model Identification
The selection of a proper model that best fits a data set is an impor-
tant process in time-series analysis. Two popular methods that have
been used for this process are the Box and Jenkins method and the
(2) minimum AIC. The Box and Jenkins method uses characteristics of
the estimated autocorrelation and partial autocorrelation function of
the original or differenced series to decide the order p and q. Akaike
(18) suggested a statistical model identification method, and the AIC
for the ARMA (p, q) process is defined as
AIC(r ) = n log σˆ 2r + 2 r (5)
where σ$ 2r is the maximum likelihood estimate of the error variance,
and n and r are the number of realizations and parameters, respec-
tively. The first part measures how well the model fits to the data,
whereas the second part gives a penalty for having too many para-
meters. Most of the previous studies were conducted using the Box
and Jenkins approach. When the time-series data are either a pure
autoregressive or moving average process, the Box and Jenkins
approach will be sufficient to obtain proper orders for the data.
However, the simple inspection of graphs would not yield unique-
value p and q, so it is not very useful for identifying an ARMA
model when neither p nor q is 0 (19). Thus, the Box and Jenkins
method may not be efficient for the ARMA process. Ozaki con-
ducted a comparative study between the two methods (20). It was
found that the minimum AIC procedure produced almost identical
results to those of the elaborated Box and Jenkins method. A further
discussion on other methods, including Parzen’s method, the inno-
(3)
vation regression method, and the pattern identification method, is
also available (19).
Parameter Estimation
Several methods can be used to estimate the parameters for the
ARMA ( p, q) process. The method of moment is simple and uses
the estimates of the autocorrelations. It is always efficient for the
autoregressive process through the Yule-Walker equation with sam-
ple autocorrelation. However, it is not fully efficient for the moving
average or the ARMA process. The maximum likelihood estimators
are found through an iterative process that tries to maximize the
ARMA log likelihood function with regard to the combined p and q
variables. The maximum likelihood method is fully efficient, but it
is very difficult to calculate. Box and Jenkins indicated that condi-
tional likelihood can be used for the approximation of unconditional
likelihood when the number of realizations is large (16 ). When et
is a Gaussian error, the conditional log likelihood associated with
parameters (α, β, σ2) can be expressed as
( 4)
S ( α, β )
L(α, β, σ ) = − n ln σ + (6)
2σ 2
where α, β are parameter vectors and
n
S ( α, β ) = ∑ et2 (α, β Xt ) ( 7)
t =1
The sum of the square function is calculated recursively using
a conditional choice of p values of α and q values of β. Another
estimation procedure is use of regression modeling. This is because
Lee and Fambro Paper No. 99-1213 181

the ARMA process has a structure similar to that of the ordinary The s-step-ahead BLUP for the stationary ARMA process with et
regression model, and a realization Yt is regressed on the Yt −1, . . . , (0, σ2) is defined as (22)
Yt −p and et−1, . . . , et−q in order to obtain the parameters. A stepwise
regression method can be applied as an extended version of the p q

regression procedure. The stepwise regression performs deletion or ∑ α j Yn − j +1 + ∑ βi eˆn −i +1 s =1

addition of the contenders with the p-value criterion within the  j =1 i =1
 s −1
upper-bound range of the orders. 
Yˆn + s (Y1 , . . . , Yn ) = ∑ α j Yˆn − j + s (Y1 , . . . , Yn ) (12)
 j =1
 p
+ α Y
q

 ∑ j n− j + s + ∑ βi e s = 2, 3, . . .
Model Checking ˆn −i + s
 j =s i=s

The adequacy of the estimated model for the data will be deter-
mined by checking whether the residuals of the model are white where αj = 0 for j > p, and
noise. Unlike the regression analysis, the residuals are defined
as one-step-ahead prediction errors in time-series data. Two graph- 0 t = p, p − 1, . . .
ical methods for a white noise test are Bartlett’s test and the 
eˆt =  p q (13)
portmanteau test. Yt − ∑ α j Yt − j − ∑ βi eˆt −1 t = p + 1, p + 2, . . . , n
Bartlett’s test is based on the characteristics of the cumulative  j =1 i =1

periodogram in the frequency domain. It checks whether a cumula-

tive periodogram has a maximum deviation from the expected q

straight line too extreme to be reasonable under the hypothesis of ∑ βi eˆn − i + s = 0 s = q + 1, q + 2, . . .

i=s
white noise (17 ).
p

B = maximum ( n 2 ) F (ω k ) − ( k q ) (8)
∑ α j Yn − j + s = 0 s = p + 1, p + 2, . . . (14)
j=s

where F(ωk) is the cumulative periodogram, and f (ωk) is the

sample spectral density function. DATA COLLECTION

k
Study Location
∑ f (ω j )
j =1
F (ω k ) = q k = 1, . . . , q = (n 2) + 1 ( 9) Freeway traffic volume data were obtained from the TransGuide
∑ f (ω j ) system of San Antonio. TransGuide is the “smart highway” proj-
j =1 ect of the Texas Department of Transportation, which aims to
increase safety and to reduce congestion and emissions from vehi-
The portmanteau test is based on the fact that a white noise process cles. The system was designed to monitor traffic conditions, to
has zero autocorrelation coefficients for the nonzero lags. Ljung and control traffic signals, and to respond to accidents rapidly. In the
Box suggested the modified portmanteau test statistic, which showed first phase of the TransGuide project, a loop detector system was
more improved approximation to the χ 2m−p−q (21). Therefore, the installed on 42 km (26 mi) of highway. Traffic volume, speed, and
hypothesis of white noise is rejected if Q is greater than χ 2m−p−q. Usu- occupancy data were gathered at 20-s intervals from the detector
ally, an m-value between 20 and 30 will be selected for the test. Ljung system and fed into a computer network for analysis. The sub-
has shown that the properties of the Q-statistic can be improved by urban area of the central business district of San Antonio was the
selecting a smaller value of m (19). major area of interest for investment in the first phase. The Trans-
Guide network and study sites are shown in Figure 1. Two sites
m were randomly selected for the study: 10E-576.846 (Site 1) and
1 ˆ2
Q = n(n + 2)∑ ρ ( j) (10) 10E-574.623 (Site 2). Site 1 had a loop detector in the middle of
j =1 n −j
the lane on I-10 and collected the westbound traffic volume. Site 2
had four lanes in one direction, and a loop detector was installed
Forecasting on I-10 detecting eastbound volume.

Once the model has been determined for the given stationary time-
series Y1 , . . . , Yt, forecasting for h horizons will be done using the best
linear unbiased predictor (BLUP). The BLUP is a linear function of
Y1, . . . , Yt that has the smallest mean square error of any other func-
tion of Y1, . . . , Yt and has the same expected value as h horizons. The
one-step-ahead BLUP for the stationary pth-order autoregressive
process is
p
Yˆn +1 (Y1 , . . . , Yn ) = ∑ α j Yn +1− j (11)
j =1
Data Description
The traffic volume data were collected at 5-min intervals from the
two sites. Study sites showed both morning and evening peak flow
patterns. For each site, 15-day data with 7-h periods were collected,
which resulted in 2,520 data points. The first part of the 6-day data
was used for the model identification process, and the later part of
the data was used for the model evaluation process. Data for Site 1
were collected during the time period from 7:00 a.m. to 2:00 p.m.
in February–March 1996. Site 2 data were collected from 12:00 to
182 Paper No. 99-1213
FIGURE 1 TransGuide network and study sites.
7:00 p.m. in June–July 1996. Since the traffic flow patterns were
different between weekday and weekend, data collection was lim-
ited to weekdays only. Some erroneous daily data that showed con-
stant volume over multiple time periods were eliminated throughout
a preliminary analysis.
A summary of data statistics collected is given in Table 1. The
average traffic volume was higher in the evening period for Site 2
than in the morning period for Site 1. The standard deviation showed
that averaged fluctuations within a day were also wide during the
evening time period for Site 2. The first-quartile value for Site 2 was
higher than the value of the third quartile for Site 1. The narrow
interquartile range for Site 1 might indicate that the traffic volume
level was relatively constant, and most of the fluctuations resulted
from the short morning peak period.
STUDY RESULTS
The whole data analysis process described in an earlier section, such
as model identification and relevant evaluations, was conducted for
each site. Each analysis entails a great deal of data, which are used
for descriptive purposes. Because of space considerations, only the
results from the Site 1 analysis are described here. However, analysis
results from both sites will be discussed.
TABLE 1 Averaged Statistics of Data
TRANSPORTATION RESEARCH RECORD 1678
Data Analysis
Throughout the data analysis process, the TIMESLAB program was
used (17). It is a special program designed to be used only for time-
series analysis, and it can handle both univariate and bivariate analy-
ses. Raw data for the modeling process consisted of 504 data points
for Site 1, plotted in Figure 2. The traffic volume was intense and
doubled in size during the morning peak period from 7:00 a.m. to
8:00 a.m. as compared with the rest of the day, but daily fluctuations
were not significant.
Figure 3 illustrates the correlogram, partial correlogram, and stan-
dardized residual variance (SRV) of the raw data with lag 40. The
correlogram and partial correlogram clearly show that the data are
strongly and linearly correlated with the adjacent data. The SRV was
calculated to be close to 0.1, indicating that the data are a long mem-
ory series. As a rule of thumb, the data are a long memory series if
their SRV sequence becomes less than 8/n for some lags (17 ). On
the basis of these results, differencing was first applied to the raw
data. Then the same descriptive statistics were calculated for the dif-
ferenced data and are plotted in Figure 4. As shown in Figure 4, the
correlogram and partial correlogram of the differenced data appear
to be a white noise process. Further, the SRV was also larger than
0.8 for lag 40, which obviously exceeds the rule-of-thumb criterion
0.016. Additional investigation with 250 lags was completed and the
FIGURE 2 Plot of 5-min-interval traffic volume data (Site 1).

FIGURE 3 Description plots of raw data (Site 1).

184 Paper No. 99-1213 TRANSPORTATION RESEARCH RECORD 1678

FIGURE 4 Description plots of differenced data (Site 1).

stationary nature of the differenced data was confirmed. Therefore,
cycle differencing was not applied to the raw data for this study.
Model Identification with AIC
For each data set, four time-series models were identified on the
basis of the minimum AIC criterion: the full autoregressive (FAR),
subset autoregressive (SAR), full ARIMA, and subset ARIMA
models. A maximum order of 30 was assigned to the autoregres-
sive model evaluation process. Within each model classification, the
best-fitting model was selected as well as its parameters. Table 2
shows the evaluation results for Site 1. In the case of the FAR model,
the best order was identified as 9 with an AIC of 3037.98. The AIC
was reduced to 3033.68 with the SAR model, and the best full

TABLE 2 Best Models for Site 1

Lee and Fambro
ARIMA model gave an AIC value of 3039.60. The subset ARIMA
model with the orders (9, 1, 2) showed the smallest AIC value. It
should be noted that only the ninth autoregressive order was used in
the subset ARIMA model. As a natural consequence, parameter esti-
mates were different in the magnitude and sign found between two
models of the same classification.
Two White Noise Tests
The adequacy of the models selected was tested using two white
noise tests. The portmanteau test was completed with an m-value
FIGURE 5 Two white noise test results from subset ARIMA model (Site 1).
Paper No. 99-1213 185
of 30. The test results of the subset ARIMA model are illustrated
graphically in Figure 5. The correlogram calculated is listed within
the 95 percent simultaneous confidence interval, which indicates
that the subset ARIMA model selected is appropriate for the
data. A Bartlett’s test was also conducted using a cumulative peri-
odogram. No outliers deviating from the 95 percent confidence
interval can be seen in Figure 5. The results also confirm that the
residuals are white noise. The identical procedures were applied
to the remaining three models with the same criteria. Test results
showed that the other models selected were appropriate for future
evaluation.
186 Paper No. 99-1213
TABLE 3 Best Models for Site 2
Site 2 Results
Model identification and parameter estimation were also completed
for Site 2. As with Site 1, four models were identified under the
same criteria and conditions. The models are given in Table 3. The
best full ARIMA model was selected with the order (6, 1, 2) and
the AIC value of 2919.11. The lowest AIC value of 2915.27 was
also found from the subset ARIMA model with four nonzero para-
meters. It was observed that the SAR model also gave a better AIC
value than the FAR model with a small number of parameters. The
validity of the models was checked for all models using two white
noise tests. Test results confirmed that all models had a good fit for
the data.
Forecasting Results
The models selected can be applied for forecasting future traffic
volumes. In this paper one-step-ahead traffic volume forecasting
was completed using the four time-series models identified. Fore-
cast results from an exponential smoothing method (ESM) are also
included for comparison. In the ESM, the smoothing coefficient was
determined through a calibration process of the modeling data set
and then used in forecasting. Two statistical error measures were
used to estimate forecasting accuracy: mean absolute error (MAE)
and root mean squared error (RMSE). Both measures are defined as
follows:
TABLE 4 Summary of Forecasting Error Measures
TRANSPORTATION RESEARCH RECORD 1678
n n
∑ xi − x f ∑ ( xi − x f ) 2
MAE = i =1
RMSE = i =1
(15)
n n
where xi is the observed traffic volume for time i, and xf is the fore-
cast traffic volume for time i. The error estimates were calculated
for the nine-day evaluation data, with 756 data points for each site,
and the results are given in Table 4.
In both error measures, minimum values can be found from the
subset ARIMA model in Site 1. The full ARIMA model gave the
worst results in terms of both MAE and RMSE, with 21.95 and
32.73, respectively. Although there were daily fluctuations of the
performance between FAR and SAR models, both models indicated
almost identical error measures in average values. The ESM pro-
duced better results than the full ARIMA model. In Site 2, maxi-
mum values of both MAE and RMSE were observed from the FAR
model. The performance of the full ARIMA model was improved
with better model identification results. The ESM gave good results
in terms of both MAE and RMSE criteria, with 19.74 and 26.58,
respectively. The subset ARIMA model produced the best results
among the models. As with Site 1, very close results were observed
between the SAR and FAR models. As mentioned earlier, more
fluctuations were observed for Site 2. The performance of both the
FAR and the SAR models was reduced in this environment. In gen-
eral, random fluctuations cannot be well explained from the auto-
regressive model because it gives the forecasting values only from
Lee and Fambro
TABLE 5 Comparison of Absolute Percent Error Distributions
previous observations and random errors. Further, an inconsistent
property of the AIC for an autoregressive model might be one
of the possible explanations of the results. It is interesting to note
that the subset ARIMA model shows stable results with low error
estimates for both sites.
The overall average values are also given in Table 4. The ESM
model gave the second best overall results. Although the full
ARIMA model gave the worst results in the overall averages, the
differences were not significant as compared with both FAR and
SAR models. A maximum difference of 0.79 can be found in the
RMSE measure between the full ARIMA model and the SAR
model. Forecasting errors, however, were obviously reduced when
the subset ARIMA model was employed.
Compared with the average traffic volume shown in Table 1, the
average percent errors of the MAE values of both FAR and SAR
models for Site 1 were calculated to be 8.7 percent. The maximum
percent error of MAE was found to be 9.8 percent from the full
ARIMA model in Site 1, and all time-series models produced the
values within a range from 6 to 10 percent overall.
The absolute percent error distribution was also analyzed to
identify the forecasting error patterns. For each data point, the ab-
solute percent error was classified into two groups and the counts
were accumulated. The results are shown in Table 5. The ESM
model forecast 88.1 percent of the total values within the 15 per-
cent error range, which was the second-best performance in the
overall average. Whereas the full ARIMA model gave 84.5 per-
cent of total counts, the subset ARIMA model showed the best
results with 92.7 percent. It was observed from the analysis results
that the subset ARIMA model outperformed the other models
overall.
CONCLUSIONS
Time-series modeling was attempted for short-term freeway traffic
volume forecasting. Data analysis results were discussed with each
modeling procedure. Four time-series models were identified for the
forecasting task, including the subset ARIMA model introduced.
From the analysis results, several conclusions are summarized.
Time-series models were effective for the use of short-term fore-
casting tasks overall. All models identified showed reasonable error
ranges, indicating that time-series modeling is an effective tool for
forecasting purposes.
Paper No. 99-1213 187
Although fewer parameters were included within the subset
ARIMA model, it outperformed other time-series models, espe-
cially the conventional full ARIMA model. It was observed that
the subset ARIMA model produced stable error measures as to
different levels of traffic fluctuations. The full ARIMA model
gave the worst results overall and slightly worse results than either
the full autoregressive model or the subset autoregressive model
identified.
Although the four identified time-series models were the best
models under either the autoregressive or ARMA classification,
the performance of the models showed different forecasting error
levels. This finding might indicate that model identification is an
important process to command the efficiency of the models. The
Box and Jenkins approach requires much skill and experience
in the ARMA process. When the data have an ARMA structure,
proper model identification will not be guaranteed and the perfor-
mance of the time-series model will be reduced. Therefore, the use
of other criteria will be considered in the case of the ARMA
process.
On average, the ESM gave slightly better results than the time-
series models in both error measures and patterns, except for the
subset ARIMA model. From a practical point of view, the ESM
might be considered for a short-term forecasting task because it is
relatively easy to implement. However, the accuracy of the forecast
can be increased with a subset ARIMA model identified properly.
The performance of the autoregressive and full ARIMA models
might be improved with nonoptimal models, which have pseudo-
minimum AIC values and fewer parameters than the minimum
AIC model. The possibility of overfitting might be reduced from
the models in a nonoptimal class.
In general, the best model identified with the lowest AIC should
not be confused as the best predictor for future horizons. However,
it was found that the model with a low AIC produced better results
for the short-term forecasting task. This is because the forecast val-
ues are directly and significantly influenced by the selected model
structure in a short time interval.
ACKNOWLEDGMENT
The authors would like to thank H. J. Newton of the Statistics
Department at Texas A&M University for his discussion on the
content of this paper.
188 Paper No. 99-1213 TRANSPORTATION RESEARCH RECORD 1678

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