Murray, Fiona T., Ringwood, John and Austin, Paul C. (2000) Integration of multi-time-scale models in time series forecasting. International Journal of Systems Science, 31 (10). pp. 1249-1260. ISSN 0020-7721
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Abstract
A solution to the problem of producing long-range forecasts on a short sampling interval
is proposed. It involves the incorporation of information from a long sampling
interval series, which could come from an independent source, into forecasts produced
by a state-space model based on a short sampling interval. The solution is motivated by
the desire to incorporate yearly electricity consumption information into weekly electricity
consumption forecasts. The weekly electricity consumption forecasts are produced
by a state-space structural time series model. It is shown that the forecasts
produced by the forecasting model based on weekly data can be improved by the
incorporation of longer-tim e-scale information, particularly when the forecast horizon
is increased from 1 year to 3 years. A further example is used to demonstrate the
approach, where yearly UK primary fuel consumption information is incorporated
into quarterly fuel consumption forecasts.
Item Type: | Article |
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Keywords: | multi-time-scale models; time series forecasting; long range forecasts; electricity consumption forecasts; |
Academic Unit: | Faculty of Science and Engineering > Electronic Engineering |
Item ID: | 9511 |
Identification Number: | doi.org/10.1080/00207720050165753 |
Depositing User: | Professor John Ringwood |
Date Deposited: | 06 Jun 2018 13:58 |
Journal or Publication Title: | International Journal of Systems Science |
Publisher: | Taylor & Francis |
Refereed: | Yes |
Related URLs: | |
URI: | https://mural.maynoothuniversity.ie/id/eprint/9511 |
Use Licence: | This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here |
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