I'm currently working on energy demand forecasting using daily load data. I'm using data since 1990 and, in order to use ARIMAX models, I detrended the data (using a first-order polynomial) and then I removed seasonality. As we can see on this image ,
in the last two years there is (unfortunately) a different trend with respect the previous 15 years. I was thinking to use two different first-order polynomials to perform detrend: one fitted on the data 1990-2008 and another one for 2008-2010. What is the best way to do this? I'm not sure if I must use a spline or not. Can you suggest me the best-practice method to perform this kind of detrending?
Thank you, P.S. I'm a computer scientist and I'm using R (and MATLAB).
This is the loess smothing with span 0.9
With span 0.5
and finally with span 0.1
I will try to perform detrending with span 0.5.
** UPDATE 2 ** This is the comparison with the time-series with the original detrend (top, a single first-order polynomial) and loess with span 0.5 (bottom). There is an important difference in the last years.