Paulo, I have run into similar problems when wanting to work with multiple seasonality. You are probably already familiar with the work by James Taylor in this area. I contacted him and he was kind enough to share some of his (Gauss) code, and I have tried to implement it in R, but due to my lack of programming skill I don't really trust the results and it is very slow. I will try to get it to the point where it could be useful for others.
best, Spencer On 6/14/07, Paulo Tanimoto <[EMAIL PROTECTED]> wrote: > > Dear R community, > > I have a project with electricity load forecasting, and I got hourly > data for system load. If you haven't worked with electricity before, > seasonality comes in many flavors: a daily pattern, with a peak at > around 7pm; a weekly pattern, in which we use more electricity on > weekdays in comparison to weekends; a winter-summer pattern, with air > conditioning and heaters playing an important role, etc. > > In SAS, I could specify an ARIMA with multiple seasonality terms, say > (1,0,1) with period=24, and (1,0,1) with period=168 (I don't remember > the orders I was using). This is how many studies I found on IEEE > were modeling electricity load and it worked pretty well with the data > I have. > > However, I can't seem to find how to do that in R. I've read the help > files a few times, but to no avail. Is it possible? I hope I'm > missing something straightforward. > > Thank you, > > Paulo Tanimoto > University of Arizona > > ______________________________________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > [[alternative HTML version deleted]] ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
