Cosine with drift in time series.

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Martin Gullaksen 2011-4-1

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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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Answer 1

the cyclist 2011-4-1

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I suggest you peruse this site:

http://www.spatial-econometrics.com/

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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 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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Answer 2

hans 2011-4-1

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在 MATLAB Online 中打开

'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