  This study reports a statistical analysis of monthly sunspot number time
series and observes non homogeneity and asymmetry within it. Using Mann-Kendall
test a linear trend is revealed. After identifying stationarity within the time
series we generate autoregressive AR(p) and autoregressive moving average
(ARMA(p,q)). Based on minimization of AIC we find 3 and 1 as the best values of
p and q respectively. In the next phase, autoregressive neural network
(AR-NN(3)) is generated by training a generalized feedforward neural network
(GFNN). Assessing the model performances by means of Willmott's index of second
order and coefficient of determination, the performance of AR-NN(3) is
identified to be better than AR(3) and ARMA(3,1).
