Construction of an informative hierarchical prior distribution. Application to electricity load forecasting


In this paper, we are interested in the estimation and prediction of a parametric model on a short dataset upon which it is expected to overfit and perform badly. To overcome the lack of data (relatively to the dimension of the model) we propose the construction of an informative hierarchical Bayesian prior based upon another longer dataset which is assumed to share some similarities with the original, short dataset. We apply the methodology to a working model for the electricity load forecasting on both simulated and real datasets, where it leads to a substantial improvement of the quality of the predictions

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