A methodology to filter time series: application to minute-by-minute electric load series

In this article a methodology for filtering a time series is presented, with application to high frequency series such as the minute-by-minute electric load series. The goal of this approach is to detect and substitute the irregularities of the time series that can produce distortions on the modelling stage. Outlier values are detected through a dynamic linear model and the Bayes factor tool; missing values are then interpolated with a Smoothing Cubic Spline. The performance of the proposed approach is illustrated using real data and evaluated through a series of tests where the irregularities have been simulated.