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An Hourly Periodic State Space Model for Modelling French National Electricity Load

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Author Info

  • V. Dordonnat

    ()
    (VU University Amsterdam)

  • S.J. Koopman

    ()
    (VU University Amsterdam)

  • M. Ooms

    ()
    (VU University Amsterdam)

  • A. Dessertaine

    ()
    (Electricit� de France, Clamart, France)

  • J. Collet

    ()
    (Electricit� de France, Clamart, France)

Abstract

We present a model for hourly electricity load forecasting based on stochastically time-varying processes that are designed to account for changes in customer behaviour and in utility production efficiencies. The model is periodic: it consists of different equations and different parameters for each hour of the day. Dependence between the equations is introduced by covariances between disturbances that drive the time-varying processes. The equations are estimated simultaneously. Our model consists of components that represent trends, seasons at different levels (yearly, weekly, daily, special days and holidays), short-term dynamics and weather regression effects including nonlinear functions for heating effects. The implementation of our forecasting procedure relies on the multivariate linear Gaussian state space framework and is applied to national French hourly electricity load. The analysis focuses on two hours, 9 AM and 12 AM, but forecasting results are presented for all twenty-four hours. Given the time series length of nine years of hourly observations, many features of our model can be readily estimated including yearly patterns and their time-varying nature. The empirical analysis involves an out-of sample forecasting assessment up to seven days ahead. The one-day ahead forecasts from fourty-eight bivariate models are compared with twenty-four univariate models for all hours of the day. We find that the implied forecasting function strongly depends on the hour of the day.

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Bibliographic Info

Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 08-008/4.

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Date of creation: 17 Jan 2008
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Handle: RePEc:dgr:uvatin:20080008

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Web page: http://www.tinbergen.nl

Related research

Keywords: Kalman filter; Maximum likelihood estimation; Seemingly Unrelated Regression Equations; Unobserved Components; Time varying parameters; Heating effect;

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References

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  14. 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.
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Cited by:
  1. Gianfreda, Angelica & Grossi, Luigi, 2012. "Forecasting Italian electricity zonal prices with exogenous variables," Energy Economics, Elsevier, vol. 34(6), pages 2228-2239.
  2. Brabec, Marek & Konár, Ondrej & Pelikán, Emil & Malý, Marek, 2008. "A nonlinear mixed effects model for the prediction of natural gas consumption by individual customers," International Journal of Forecasting, Elsevier, vol. 24(4), pages 659-678.
  3. Ohtsuka, Yoshihiro & Oga, Takashi & Kakamu, Kazuhiko, 2010. "Forecasting electricity demand in Japan: A Bayesian spatial autoregressive ARMA approach," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2721-2735, November.
  4. Dilaver, Zafer & Hunt, Lester C., 2011. "Industrial electricity demand for Turkey: A structural time series analysis," Energy Economics, Elsevier, vol. 33(3), pages 426-436, May.
  5. Fondeur, Y. & Karamé, F., 2013. "Can Google data help predict French youth unemployment?," Economic Modelling, Elsevier, vol. 30(C), pages 117-125.
  6. 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.
  7. Dilaver, Zafer & Hunt, Lester C., 2011. "Turkish aggregate electricity demand: An outlook to 2020," Energy, Elsevier, vol. 36(11), pages 6686-6696.
  8. Chan, Kam Fong & Gray, Philip & van Campen, Bart, 2008. "A new approach to characterizing and forecasting electricity price volatility," International Journal of Forecasting, Elsevier, vol. 24(4), pages 728-743.
  9. Andersen, F.M. & Larsen, H.V. & Gaardestrup, R.B., 2013. "Long term forecasting of hourly electricity consumption in local areas in Denmark," Applied Energy, Elsevier, vol. 110(C), pages 147-162.
  10. 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.
  11. Goia, Aldo & May, Caterina & Fusai, Gianluca, 2010. "Functional clustering and linear regression for peak load forecasting," International Journal of Forecasting, Elsevier, vol. 26(4), pages 700-711, October.
  12. Trapero, Juan R. & Pedregal, Diego J., 2009. "Frequency domain methods applied to forecasting electricity markets," Energy Economics, Elsevier, vol. 31(5), pages 727-735, September.
  13. Mestekemper, Thomas & Kauermann, Göran & Smith, Michael S., 2013. "A comparison of periodic autoregressive and dynamic factor models in intraday energy demand forecasting," International Journal of Forecasting, Elsevier, vol. 29(1), pages 1-12.

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