A Bayesian Approach to Short-term Forecasting

P. J. Harrison · C. F. Stevens

213 citations0/0 files storedJournal of the Operational Research Society

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Forecasting Techniques and Applications Statistical Methods and Bayesian Inference Energy Load and Power Forecasting

Abstract

A new approach to short-term forecasting is described, based on Bayesian principles. The performance of conventional systems is often upset by the occurrence of changes in trend and slope, or transients. In this approach events of this nature are modelled explicitly, and successive data points are used to calculate the posterior probabilities of such events at each instant of time.The system produces not only single-figure forecasts but distributions of trend and slope values which are relevant to subsequent decisions based on forecasts.

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1967Exponential Smoothing with an Adaptive Response Rate

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