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Triple seasonal methods for short-term electricity demand forecasting

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  • Taylor, James W.

Abstract

Online short-term load forecasting is needed for the real-time scheduling of electricity generation. Univariate methods have been developed that model the intraweek and intraday seasonal cycles in intraday load data. Three such methods, shown to be competitive in recent empirical studies, are double seasonal ARMA, an adaptation of Holt-Winters exponential smoothing for double seasonality, and another, recently proposed, exponential smoothing method. In multiple years of load data, in addition to intraday and intraweek cycles, an intrayear seasonal cycle is also apparent. We extend the three double seasonal methods in order to accommodate the intrayear seasonal cycle. Using six years of British and French data, we show that for prediction up to a day-ahead the triple seasonal methods outperform the double seasonal methods, and also a univariate neural network approach. Further improvement in accuracy is produced by using a combination of the forecasts from two of the triple seasonal methods.

Suggested Citation

  • Taylor, James W., 2010. "Triple seasonal methods for short-term electricity demand forecasting," European Journal of Operational Research, Elsevier, vol. 204(1), pages 139-152, July.
  • Handle: RePEc:eee:ejores:v:204:y:2010:i:1:p:139-152
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    References listed on IDEAS

    as
    1. Taylor, James W., 2008. "An evaluation of methods for very short-term load forecasting using minute-by-minute British data," International Journal of Forecasting, Elsevier, vol. 24(4), pages 645-658.
    2. Robert F. Engle & Simone Manganelli, 2004. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 367-381, October.
    3. Gould, Phillip G. & Koehler, Anne B. & Ord, J. Keith & Snyder, Ralph D. & Hyndman, Rob J. & Vahid-Araghi, Farshid, 2008. "Forecasting time series with multiple seasonal patterns," European Journal of Operational Research, Elsevier, vol. 191(1), pages 207-222, November.
    4. Taylor, James W. & de Menezes, Lilian M. & McSharry, Patrick E., 2006. "A comparison of univariate methods for forecasting electricity demand up to a day ahead," International Journal of Forecasting, Elsevier, vol. 22(1), pages 1-16.
    5. Darbellay, Georges A. & Slama, Marek, 2000. "Forecasting the short-term demand for electricity: Do neural networks stand a better chance?," International Journal of Forecasting, Elsevier, vol. 16(1), pages 71-83.
    6. Cancelo, José Ramón & Espasa, Antoni & Grafe, Rosmarie, 2008. "Forecasting the electricity load from one day to one week ahead for the Spanish system operator," International Journal of Forecasting, Elsevier, vol. 24(4), pages 588-602.
    7. James W. Taylor, 2008. "A Comparison of Univariate Time Series Methods for Forecasting Intraday Arrivals at a Call Center," Management Science, INFORMS, vol. 54(2), pages 253-265, February.
    8. Soares, Lacir J. & Medeiros, Marcelo C., 2008. "Modeling and forecasting short-term electricity load: A comparison of methods with an application to Brazilian data," International Journal of Forecasting, Elsevier, vol. 24(4), pages 630-644.
    9. William Lam & Y. Tang & K. Chan & Mei-Lam Tam, 2006. "Short-term Hourly Traffic Forecasts using Hong Kong Annual Traffic Census," Transportation, Springer, vol. 33(3), pages 291-310, May.
    10. J W Taylor, 2003. "Short-term electricity demand forecasting using double seasonal exponential smoothing," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 54(8), pages 799-805, August.
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