Construction of an informative hierarchical prior distribution. Application to electricity load forecasting

Details Construction of an informative hierarchical prior distribution. Application to electricity load forecasting Construction of an informative hierarchical prior distribution. Application to electricity load forecasting

2011-09-21

arxiv.org/abs/1109.4533v2

Statistics

Applications

Scientific paper

In this paper, we are interested in the estimation and prediction of a parametric model on a short dataset upon which it is expected to overfit and perform badly. To overcome the lack of data (relatively to the dimension of the model) we propose the construction of a hierarchical informative Bayesian prior based upon another longer dataset which is assumed to share some similarities with the original, short dataset. We apply the methodology to a basic model for the electricity load forecasting on both simulated and real datasets, where it leads to a substantial improvement of the quality of the predictions.

Affiliated with

Also associated with

No associations

Rating

Construction of an informative hierarchical prior distribution. Application to electricity load forecasting does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Construction of an informative hierarchical prior distribution. Application to electricity load forecasting, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Construction of an informative hierarchical prior distribution. Application to electricity load forecasting will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-257636