Dordonnat, Virginie; Koopman, Siem Jan; Ooms, Marius - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3134-3152
A dynamic multivariate periodic regression model for hourly data is considered. The dependent hourly univariate time series is represented as a daily multivariate time series model with 24 regression equations. The regression coefficients differ across equations (or hours) and vary...
