Using robust FPCA to identify outliers in functional time series, with applications to the electricity market
Vilar, Juan M. (Universidade da Coruña. Departamento de Matemáticas)
Raña, Paula (Universidade da Coruña. Departamento de Matemáticas)
Aneiros, Germán (Universidade da Coruña. Departamento de Matemáticas)

Data: 2016
Resum: This study proposes two methods for detecting outliers in functional time series. Both methods take dependence in the data into account and are based on robust functional principal component analysis. One method seeks outliers in the series of projections on the first principal component. The other obtains uncontaminated forecasts for each data set and determines that those observations whose residuals have an unusually high norm are considered outliers. A simulation study shows the performance of these proposed procedures and the need to take dependence in the time series into account. Finally, the usefulness of our methodology is illustrated in two real datasets from the electricity market: daily curves of electricity demand and price in mainland Spain, for the year 2012.
Drets: Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial i la comunicació pública de l'obra, sempre que no sigui amb finalitats comercials, i sempre que es reconegui l'autoria de l'obra original. No es permet la creació d'obres derivades. Creative Commons
Llengua: Anglès.
Document: article ; recerca ; publishedVersion
Matèria: Functional data analysis ; Functional principal component analysis ; Functional time series ; Outlier detection ; Electricity demand and price
Publicat a: SORT : statistics and operations research transactions, Vol. 40 Núm. 2 (July-December 2016) , p. 321-348 (Articles) , ISSN 1696-2281

Adreça original: https://www.raco.cat/index.php/SORT/article/view/316148


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