[R] Forecasting prices

ce
Wed, 29 Apr 2015 18:26:49 -0000

Prof. Hydman's book is a good place to start :

https://www.otexts.org/fpp


-----Original Message-----
From: "randomness" [m.kofler at aew.eu]
Date: 04/28/2015 01:52 PM
To: r-help at r-project.org
Subject: [R] Forecasting prices

Hi,
apologies in advance for the generic question but I would highly appreciate
if someone pointed me in the right direction.
My challenge: I need to forecast Prices (Gas & Electricity Spot). Both gas
and electricity Show Autocorrelative and seasonal (hourly, daily, monthly)
behaviour. And there are explaining variables, of which I have forecasts out
of Reuters (temp, production etc).

I have looked at dynamic linear Regression and neural Networks so far. It
would be great if someone can provide any Input, which model they would
suggest using. I got several conflicting opinions so far, which is of course
suboptimal as I would love to Focus on one subject. Of course if you can
suggest any literature or even have some code I would be very grateful.

Many thanks!

Markus



--
View this message in context:
http://r.789695.n4.nabble.com/Forecasting-prices-tp4706535.html
Sent from the R help mailing list archive at Nabble.com.

______________________________________________
R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.