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Recursive estimation o dynamic models using cook's distance,with application to wind energy orecast

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  • Sánchez, Ismael

Abstract

This article proposes an adaptive forgetting factor for the recursive estimation of time varying models.The proposed procedure is based on the Cook's distance of the new observation.It is proven that the proposed procedure encompasses the adaptive features of classic adaptive forgetting factors and,therefore,has a larger adaptability than its competitors.The proposed forgetting factor is applied to wind energy forecast,showing advantages with respect to alternative procedures.

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  • Sánchez, Ismael, 2002. "Recursive estimation o dynamic models using cook's distance,with application to wind energy orecast," DES - Working Papers. Statistics and Econometrics. WS ws025515, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:ws025515
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    1. Carlo Grillenzoni, 2000. "Time-Varying Parameters Prediction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 52(1), pages 108-122, March.
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