Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling

DOI10.1016/j.csda.2011.04.002zbMath1254.91652OpenAlexW2041094435MaRDI QIDQ1927099

Virginie Dordonnat, Marius Ooms, Siem Jan Koopman

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2011.04.002

zbMATH Keywords

Kalman filterforecastingsignal extractiontime-varying parameterperiodic regressionelectricity load forecasting

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Filtering in stochastic control theory (93E11) Economic time series analysis (91B84) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Statistical methods; economic indices and measures (91B82)

Related Items (5)

Parametric estimation of long memory in factor models ⋮ Short-run electricity load forecasting with combinations of stationary wavelet transforms ⋮ Periodic dynamic factor models: estimation approaches and applications ⋮ Modeling and Forecasting Daily Electricity Load Curves: A Hybrid Approach ⋮ Vector-on-function quantile regression for stationary ergodic processes

Uses Software

• Ox
• SsfPack
• astsa

Cites Work

• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• VARs, common factors and the empirical validation of equilibrium business cycle models
• Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
• Electric load forecasting methods: tools for decision making
• Forecasting with nonstationary dynamic factor models
• Bayesian skew selection for multivariate models
• Exact maximum likelihood estimation for non-stationary periodic time series models
• Forecasting electricity demand in Japan: a Bayesian spatial autoregressive ARMA approach
• Nonstationary dynamic factor analysis
• Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model
• Parsimonious Covariance Matrix Estimation for Longitudinal Data
• Statistical algorithms for models in state space using SsfPack 2.2
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