Re: [R] ARIMA with more than one seasonality period

From: sj <ssj1364_at_gmail.com>
Date: Thu, 14 Jun 2007 09:08:21 -0600

Paulo,

I have run into similar problems when wanting to work with multiple seasonality. You are probably already familiar with the work by James Taylor in this area. I contacted him and he was kind enough to share some of his (Gauss) code, and I have tried to implement it in R, but due to my lack of programming skill I don't really trust the results and it is very slow. I will try to get it to the point where it could be useful for others.

best,

Spencer

On 6/14/07, Paulo Tanimoto <tanimoto_at_u.arizona.edu> wrote:
>
> 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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