[R] Season Determination

[Hagen Schmöller]

Hi R-Community,

I have an historical time series of power prices and would like to determine
the daily and yearly seasonal component for forecast purposes. Unfortunately
the functions "decompose" and "stl" do not provide an always identical
repeating seasonal pattern which could be continued in the future. Why and
is there a possibility to adjust a periodical function like

s(t) = a1 sin(f1 t) + b1 cos(f1 t) + a2 sin(f2 t) + b2 cos(f2 t) + ...

to a time series, if necessary with given frequencies fi.

Much thanks in advance,

Hagen Schmoeller
--
Dipl.-Ing. Hagen K. Schmöller
Institut für Elektrische Anlagen und Energiewirtschaft, RWTH Aachen
Schinkelstraße 6, D-52056 Aachen, Germany
Tel.: +49 (0)241 80-96734
Fax : +49 (0)241 80-92197
Hagen.Schmoeller at iaew.rwth-aachen.de