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LTSCWAVE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using wavelet-based methods

Author

Listed:
  • Jakub Nowotarski
  • Jakub Tomczyk
  • Rafal Weron

Programming Language

MATLAB

Abstract

LTSCWAVE returns the long-term seasonal component (LTSC) of an electricity spot price series and its forecast up to a year ahead computed using one of the wavelet-based methods studied in J. Nowotarski, J. Tomczyk, R. Weron (2013), "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices", Energy Economics, forthcoming (doi:10.1016/j.eneco.2013.04.004).

Suggested Citation

  • Jakub Nowotarski & Jakub Tomczyk & Rafal Weron, 2013. "LTSCWAVE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using wavelet-based methods," HSC Software M13003, Hugo Steinhaus Center, Wroclaw University of Technology.
    • Handle: RePEc:wuu:hscode:m13003
    as

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    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/hscode/ltscwave.m
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