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Dynamic regression intervention modeling for the Malaysian daily load


Abd. Razak, Fadhilah and Shitan, Mahendran and Hashim, Amir Hisham and Zainal Abidin, Izham (2014) Dynamic regression intervention modeling for the Malaysian daily load. Pakistan Journal of Statistics and Operation Research, 10 (1). pp. 41-55. ISSN 1816-2711; ESSN: 2220-5810


Malaysia is a unique country due to having both fixed and moving holidays. These moving holidays may overlap with other fixed holidays and therefore, increase the complexity of the load forecasting activities. The errors due to holidays’ effects in the load forecasting are known to be higher than other factors. If these effects can be estimated and removed, the behavior of the series could be better viewed. Thus, the aim of this paper is to improve the forecasting errors by using a dynamic regression model with intervention analysis. Based on the linear transfer function method, a daily load model consists of either peak or average is developed. The developed model outperformed the seasonal ARIMA model in estimating the fixed and moving holidays’ effects and achieved a smaller Mean Absolute Percentage Error (MAPE) in load forecast.

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Additional Metadata

Item Type: Article
Divisions: Institute for Mathematical Research
Publisher: College of Statistical and Actuarial Sciences, University of the Punjab
Keywords: Dynamic regression; Linear transfer function; Moving holidays’ effects; SARIMA
Depositing User: Nabilah Mustapa
Date Deposited: 05 Aug 2015 00:09
Last Modified: 27 Aug 2015 06:58
URI: http://psasir.upm.edu.my/id/eprint/37174
Statistic Details: View Download Statistic

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