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

Ismael Sánchez

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

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.

Date: 2002-11
New Economics Papers: this item is included in nep-ecm and nep-ene
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws025515

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