Forecasting time series with outliers

Article Abstract:

The effect of outliers on time-series forecasting accuracy is investigated. Results indicate that the distance of thje outliers from the forecast origin is inversely related to forecast accuracy. To measure the effects of outliers on forecasts, a model is proposed that will facilitate the adjustment for errors. Outlier adjustment improves forecast accuracy if the effect of the outlier is one standard deviation from the innovation series, even if there is a misidentification of the outlier type.

Models, Evaluation, Forecasting, Outliers (Statistics)

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A semi-parametric time-series approach in modeling hourly electricity loads

Article Abstract:

The usage of an ARIMA model to derive a backfitting algorithm for electricity load forecasting, based on the non-parametric regression of time series, is described.

China, Analysis, Statistical methods, Electric power load

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Optimal prediction with nonstationary ARFIMA model

Article Abstract:

A new methodology for economic forecasting by using long-memory time series with non-stationary ARFIMA model is presented.

Methods, Economic forecasting

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