Construction of an informative hierarchical prior for a small sample   with the help of historical data and application to electricity load   forecasting
  We are interested in the estimation and prediction of a parametric model on a short dataset upon which it is expected to overfit and perform badly. To overcome the lack of data (relatively to the dimension of the model) we propose the construction of an informative hierarchical Bayesian prior based upon another longer dataset which is assumed to share some similarities with the original, short dataset. We illustrate the performance of our prior on simulated dataset from three standard models. Then we apply the methodology to a working model for the electricity load forecasting on real datasets, where it leads to a substantial improvement of the quality of the predictions. 
Tristan Launay (LMJL), Anne Philippe (LMJL), Sophie Lamarche
stat.AP math.ST stat.TH