Cosine with drift in time series.
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Hi!
I am currently working with some electricity system price data.
The data exhibits quite a bit of seasonality and drift. I need to capture this to build my model. I want to use a cosine for the seasonality and a linear function to capture the drift.
Does anybody have any tips for how i can implement this? For most I need some articles or books that explain how to implement this. But if anybody has some tips for code, this would also be very useful.
I have seen that the business cycle literature speaks of the decomposition of trend and cycle, so if anybody has some tips that include liner drift and a cosine, that would be great. Tried the HP filter, but its too rough.
Hope you got any tips!
Best Martin
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the cyclist
2011-4-1
0 个投票
I suggest you peruse this site:
4 个评论
Martin Gullaksen
2011-4-1
the cyclist
2011-4-1
Well, not really. I used that toolbox years ago, when I was working with some economists, and I recall it handled issues you are talking about. However, I don't remember the specifics. I thought maybe you could poke around the site and/or do some keyword searching there.
Sorry I can't be more helpful than that.
Martin Gullaksen
2011-4-1
Walter Roberson
2011-4-1
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hans
2011-4-1
'fminsearch' might be a handy tool.
With it You can choose a type of function that You would like extract and calculate the coefficients.
function
...
AStart = [1 2]
ABest = fminsearch(@(AStart) QualFun(AStart,x,P),AStart);
...
end
function [LSqr]=QualFun(A,x,P)
fit = A(1)*x+A(2);
Diff = fit-P;
LSqr = sum(Diff.^2);
end
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2011-4-1
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