Seasonal Dynamic Factor Analysis and Bootstrap Inference: Application to Electricity Market Forecasting

  title={Seasonal Dynamic Factor Analysis and Bootstrap Inference: Application to Electricity Market Forecasting},
  author={Andr{\'e}s M. Alonso and Carolina Garc{\'i}a-Martos and Julio Rodr{\'i}guez and Mar{\'i}a Jes{\'u}s S{\'a}nchez},
In this work, we propose the Seasonal Dynamic Factor Analysis (SeaDFA), an extension of Nonstationary Dynamic Factor Analysis, through which one can deal with dimensionality reduction in vectors of time series in such a way that both common and specific components are extracted. Furthermore, common factors are able to capture not only regular dynamics (stationary or not) but also seasonal ones, by means of the common factors following a multiplicative seasonal VARIMA(p,d,q) × (P,D,Q)s model… CONTINUE READING


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