Seasonal Dynamic Factor Analysis and Bootstrap Inference: Application to Electricity Market Forecasting - Alonso, Andrés M.; García-Martos, Carolina; Rodríguez, Julio; Jesús Sánchez, María (Technometrics, 2011)
Keywords: Analytical forecasting; Applied sciences; Bootstrap method; Computer science; control theory; systems; Data processing. List processing. Character string processing; Dimensionality reduction; Discriminant analysis; Economic forecasting models; Electrical engineering. Electrical power engineering; Electrical power engineering; Electricity prices; Energy prices; Exact sciences and technology; Factor analysis; Forecasting; Forecasting models; Inference from stochastic processes; time series analysis; Linear inference, regression; Mathematics; Memory organisation. Data processing; Modeling; Nonstationary; Parameter estimation; Power marketers; Power networks and lines; Probability and statistics; Sciences and techniques of general use; Seasonality; Software; Statistical forecasts; Statistics; Time series; Time series forecasting; Time series models; Uncertainty; Unobserved components; VARIMA models; Parameter estimation; Dynamic analysis; Seasonality; Non stationary process; Unobserved components; Modeling; Autoregressive integrated moving average model; Uncertain system; Seasonal variation; Bootstrap; Reduced order systems; System identification; Dimensionality reduction; Data analysis; Factor analysis; Time series; Non stationary condition; Inference; Coverage; Market survey; Energy prices; Vector method; Statistical forecasting; Long term; Stationary condition; Bootstrapping; Dimension reduction; VARIMA models; Electrical network; Remolded sample; Nonstationary; Factorial design