Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling
Year of publication: |
2012
|
---|---|
Authors: | Dordonnat, Virginie ; Koopman, Siem Jan ; Ooms, Marius |
Published in: |
Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 56.2012, 11, p. 3134-3152
|
Publisher: |
Elsevier |
Subject: | Kalman filter | Electricity load forecasting | Forecasting | Periodic regression | Signal extraction | Time-varying parameter |
-
Nowcasting GDP with a pool of factor models and a fast estimation algorithm
Eraslan, Sercan, (2023)
-
Time-varying parameter four-equation DSGE model
Gupta, Rangan, (2022)
-
Forward Exchange Rates and Expected Future Spot Rates
Wolff, Christian C, (1987)
- More ...
-
Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices
Carnero, M. Angeles, (2003)
-
Time Series Modelling of Daily Tax Revenues
Koopman, Siem Jan, (2001)
-
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment
Koopman, Siem Jan, (2006)
- More ...