Cosine with drift in time series.

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Martin Gullaksen
Martin Gullaksen 2011-4-1
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
the cyclist 2011-4-1
I suggest you peruse this site:
http://www.spatial-econometrics.com/
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Martin Gullaksen
Martin Gullaksen 2011-4-1
Ok, I have started reading LeSage's book. Hope I find something.
Thanks for the tip anyway. Its a great toolbox.
BTW: what happens when you accept an answer in this forum?
Walter Roberson
Walter Roberson 2011-4-1
When you accept an answer, it gets visually marked as accepted, and the person who posted the answer is given 4 reputation points and the number of "accepted" answers is increased by 1 for them.

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hans
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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