I'm using R forecast package with a daily time series data, that has complex i.e. Multiple seasonality (weekly, Yearly, monthly). The fit/forecast process also needs to take into account certain day specific effects.
I plan to:
- Use auto.arima function
- Set TS frequency to 7, to take care of the weekly seasonality
- Use Fourier terms for 'xreg' parameter to take care of monthly and yearly seasonality
Use a regressor matrix for other effects e.g. Holidays.
Can someone help in providing a concrete example on how to use the fourier function, which can take both monthly and yearly seasonality into account?
Would like to see an example of how to combine a regressor matrix with the fourier result, so that it can be assigned to 'xreg' parameter or together?
On both these questions, I have only found possibilities of the above mentioned by Dr.Hyndman, but concrete examples can really be useful to the community as well.