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 illustrate the performance of our prior on
simulated dataset from three standard models. Then we apply the methodology to
a working model for the electricity load forecasting on real datasets, where it
leads to a substantial improvement of the quality of the predictions
