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Modeling and forecasting electricity loads: A comparison

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Author Info

  • Rafal Weron

    (Hugo Steinhaus Center)

  • Adam Misiorek

    (Institute of Power Systems Automation)

Abstract

In this paper we study two statistical approaches to load forecasting. Both of them model electricity load as a sum of two components – a deterministic (representing seasonalities) and a stochastic (representing noise). They differ in the choice of the seasonality reduction method. Model A utilizes differencing, while Model B uses a recently developed seasonal volatility technique. In both models the stochastic component is described by an ARMA time series. Models are tested on a time series of system-wide loads from the California power market and compared with the official forecast of the California System Operator (CAISO).

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File URL: http://128.118.178.162/eps/em/papers/0502/0502004.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Econometrics with number 0502004.

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Length: 8 pages
Date of creation: 07 Feb 2005
Date of revision:
Handle: RePEc:wpa:wuwpem:0502004

Note: Type of Document - pdf; pages: 8. ”The European Electricity Market EEM-04”, Proceedings Volume, pp. 135-142
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Web page: http://128.118.178.162

Related research

Keywords: Electricity; load forecasting; ARMA model; seasonal component;

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References

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  1. Smith, Michael, 2000. "Modeling and Short-term Forecasting of New South Wales Electricity System Load," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(4), pages 465-78, October.
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Cited by:
  1. Janczura, Joanna & Weron, Rafal, 2009. "Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions," MPRA Paper 18784, University Library of Munich, Germany.
  2. Rafal Weron & Adam Misiorek, 2005. "Forecasting Spot Electricity Prices With Time Series Models," Econometrics 0504001, EconWPA.
  3. Szymon Borak & Adam Misiorek & Rafal Weron, 2010. "Models for Heavy-tailed Asset Returns," HSC Research Reports HSC/10/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  4. Janczura, Joanna & Weron, Rafal, 2010. "Goodness-of-fit testing for regime-switching models," MPRA Paper 22871, University Library of Munich, Germany.
  5. Janczura, Joanna & Weron, Rafal, 2010. "An empirical comparison of alternate regime-switching models for electricity spot prices," Energy Economics, Elsevier, vol. 32(5), pages 1059-1073, September.
  6. Liebl, Dominik, 2010. "Modeling hourly Electricity Spot Market Prices as non stationary functional times series," MPRA Paper 25017, University Library of Munich, Germany.
  7. Janczura, Joanna & Weron, Rafal, 2011. "Black swans or dragon kings? A simple test for deviations from the power law," MPRA Paper 28959, University Library of Munich, Germany.
  8. Weron, Rafal & Janczura, Joanna, 2010. "Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices," MPRA Paper 26628, University Library of Munich, Germany.
  9. Weron, Rafal, 2008. "Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo
    [Power security: Risk > Risk management > Security]
    ," MPRA Paper 18786, University Library of Munich, Germany, revised 2008.
  10. Vazquez, Miguel & Barquín, Julián, 2009. "A fundamental power price model with oligopolistic competition representation," MPRA Paper 15629, University Library of Munich, Germany.
  11. Mauritzen, Johannes, 2010. "What happens when it's Windy in Denmark? An Empirical Analysis of Wind Power on Price Volatility in the Nordic Electricity Market," Discussion Papers 2010/18, Department of Business and Management Science, Norwegian School of Economics.
  12. Montero, José M. & García-Centeno, Maria C. & Fernández-Avilés, Gema, 2011. "Modelling the Volatility of the Spanish Wholesale Electricity Spot Market. Asymmetric GARCH Models vs. Threshold ARSV model/Modelización de la volatilidad en el mercado eléctrico español. Modelos G," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 29, pages 597-616, Agosto.

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