SCAR_EXAMPLE: MATLAB codes and data for "On the importance of the long-term seasonal component in day-ahead electricity price forecasting"
This Matlab script illustrates the concepts and methods presented in J. Nowotarski, R. Weron (2016) "On the importance of the long-term seasonal component in day-ahead electricity price forecasting", Energy Economics 57, 228-235 (http://dx.doi.org/10.1016/j.eneco.2016.05.009) and together with the accompanying codes and data files can be used to replicate the Figures and Tables in the text. To obtain all entries in Table 1, change arxFlag, seasFlag and smoothing parameters. The function scar.m can be used to calibrate both the newly introduced Seasonal Component AutoRegressive class of models (SCAR, SCARX), as well as the classical AR and ARX models. The zip file includes one script (main.m), one m-file (scar.m) and three data files.
|Requires:||MATLAB (tested on MATLAB ver. R2016a).|
|Date of creation:||23 Jul 2016|
|Contact details of provider:|| Postal: Wybrzeze Wyspianskiego 27, 50-370 Wroclaw|
Web page: http://prac.im.pwr.wroc.pl/~hugo
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