Using Analysis of Variance and Factor Analysis for the Reduction of High Dimensional Variation in Time Series of Energy Consumption

Summary: In this paper the complexity of high dimensional data with cyclical variation is reduced using analysis of variance and factor analysis. It is shown that the prediction of a small number of main cyclical factors is more useful than forecasting all the time-points separately as it is usually done by seasonal time series models. To give an example for this approach we analyze the electricity demand per quarter of an hour of industrial customers in Germany. The necessity of such predictions results from the liberalization of the German electricity market in 1998 due to legal requirements of the EC in 1996.