[R] ARIMA with more than one seasonality period

From: Paulo Tanimoto <tanimoto_at_u.arizona.edu>
Date: Thu, 14 Jun 2007 08:00:41 +0000


Dear R community,

I have a project with electricity load forecasting, and I got hourly data for system load. If you haven't worked with electricity before, seasonality comes in many flavors: a daily pattern, with a peak at around 7pm; a weekly pattern, in which we use more electricity on weekdays in comparison to weekends; a winter-summer pattern, with air conditioning and heaters playing an important role, etc.

In SAS, I could specify an ARIMA with multiple seasonality terms, say (1,0,1) with period=24, and (1,0,1) with period=168 (I don't remember the orders I was using). This is how many studies I found on IEEE were modeling electricity load and it worked pretty well with the data I have.

However, I can't seem to find how to do that in R. I've read the help files a few times, but to no avail. Is it possible? I hope I'm missing something straightforward.

Thank you,

Paulo Tanimoto
University of Arizona



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