Modeling and Forecasting Time-Series Data with Multiple Seasonal Periods Using Periodograms
Year: 2025
Type: article
Abstract: Applications of high-frequency data, including energy management, economics, and finance, frequently require time-series forecasting characterized by complex seasonality. Recognizing prevailing seasonal trends continues to be difficult, given that the majority of solutions depend on basic decomposition techniques. This study introduces a new approach employing periodograms from spectral density analysis to identify predominant seasonal periods. When analyzing hourly electricity consumption data from Brazil, we identified three significant seasonal patterns: sub-daily (6 h), half-daily (12 h), and daily (24 h). We assessed the predictive efficacy of the BATS, TBATS, and STL + ETS models using these seasonal periods. We performed data analysis and model fitting in R 4.4.1 and used accuracy metrics like MAE, MAPE, and others to compare the models. The STL + ETS model exhibited an enhanced performance, surpassing both BATS and TBATS in energy forecasting. These findings improve our understanding of multiple seasonal patterns, assist us in selecting dominating periods, provide new practical forecasting approaches for time-series analysis, and inform professionals seeking superior forecasting solutions in various fields.
Source: Econometrics
Authors: Solomon Buke Chudo, Gyorgy Terdik
Institution: University of Debrecen
Language: English
Subfield: Signal Processing
Field: Computer Science
Domain: Physical Sciences
Open Access status: gold
Estimated APC paid: $1,689
OpenAlex ID: W4408938517