I would like to model intraday data of energy load. The data show strong seasonality within the day (which is clear and well known) and a different pattern on weekdays and weekends. I use the time series packages of R (package ts and then a decomposition in seasonality, level and trend). I get good results when I just concatenate the data ignoring the day of the week and estimate an aggregate model. But I would like to improve the quality on weekends.
How can I formulate a time series model that distinguishes between weekdays and weekends?