Interpolating Time Series with Application to the Estimation of Holiday Effects on Electricity Demand

S. R. Brubacher and G. Tunnicliffe Wilson

Journal of the Royal Statistical Society Series C, 1976, vol. 25, issue 2, 107-116

Abstract: The least squares principle is applied to the problem of estimating missing points in a time series represented by a Box‐Jenkins seasonal model. The procedure developed is used to estimate the effect of one‐day national holidays on hourly electricity demand. This is done by interpolating over the holiday period using unaffected demand observations from both before and after this period. The ratio of the actual demand to the estimated normal demand, recorded for the same holiday period over successive years, may then be used to forecast the effect on demand of future holidays.

Date: 1976
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jorssc:v:25:y:1976:i:2:p:107-116

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