Cosine with drift in time series.
2 views (last 30 days)
Show older comments
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
0 Comments
Accepted Answer
the cyclist
on 1 Apr 2011
I suggest you peruse this site:
4 Comments
Walter Roberson
on 1 Apr 2011
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.
More Answers (1)
hans
on 1 Apr 2011
'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
0 Comments
See Also
Categories
Find more on Signal Generation, Manipulation, and Analysis in Help Center and File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!