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Modeling electricity loads in California: ARMA models with hyperbolic noise

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Author Info

  • Joanna Nowicka-Zagrajek
  • Rafal Weron

Abstract

In this paper we address the issue of modeling and forecasting electricity loads. We apply a two-step procedure to a series of system-wide loads from the California power market. First, we remove the weekly and annual seasonalities. Then, after analyzing properties of the deseasonalized data we fit an autoregressive moving average model. The obtained residuals seem to be independent but with tails heavier than Gaussian. It turns out that the hyperbolic distribution provides an excellent fit. As a justification for our approach we supply out-of-sample forecasts. As it turns out, our method performs significantly better than the one used by the California System Operator.

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File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_02_02.pdf
File Function: Final draft, 2002
Download Restriction: no

File URL: http://dx.doi.org/doi:10.1016/S0165-1684(02)00318-3
File Function: Final printed version, 2002
Download Restriction: Yes

Bibliographic Info

Paper provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Research Reports with number HSC/02/02.

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Length: 21 pages
Date of creation: 2002
Date of revision:
Publication status: Published in Signal Processing 82 (2002) 1903-1915.
Handle: RePEc:wuu:wpaper:hsc0202

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Related research

Keywords: Electricity load; ARMA model; Heavy tails; Hyperbolic distribution; Forecast;

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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.
  2. Weron, Rafal, 2000. "Energy price risk management," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 285(1), pages 127-134.
  3. Weron, R. & Kozłowska, B. & Nowicka-Zagrajek, J., 2001. "Modeling electricity loads in California: a continuous-time approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 344-350.
  4. Ramanathan, Ramu & Engle, Robert & Granger, Clive W. J. & Vahid-Araghi, Farshid & Brace, Casey, 1997. "Shorte-run forecasts of electricity loads and peaks," International Journal of Forecasting, Elsevier, vol. 13(2), pages 161-174, June.
  5. Zhang, Guoqiang & Eddy Patuwo, B. & Y. Hu, Michael, 1998. "Forecasting with artificial neural networks:: The state of the art," International Journal of Forecasting, Elsevier, vol. 14(1), pages 35-62, March.
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Citations

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Cited by:
  1. 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.
  2. Amaral, Luiz Felipe & Souza, Reinaldo Castro & Stevenson, Maxwell, 2008. "A smooth transition periodic autoregressive (STPAR) model for short-term load forecasting," International Journal of Forecasting, Elsevier, vol. 24(4), pages 603-615.
  3. 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.
  4. Lacir J. Soares & Marcelo Cunha Medeiros, 2005. "Modelling and forecasting short-term electricity load: a two step methodology," Textos para discussão 495, Department of Economics PUC-Rio (Brazil).
  5. Paraschiv, Florentina, 2013. "Price Dynamics in Electricity Markets," Working Papers on Finance 1314, University of St. Gallen, School of Finance.
  6. Wang, Jianzhou & Zhu, Wenjin & Zhang, Wenyu & Sun, Donghuai, 2009. "A trend fixed on firstly and seasonal adjustment model combined with the [epsilon]-SVR for short-term forecasting of electricity demand," Energy Policy, Elsevier, vol. 37(11), pages 4901-4909, November.
  7. Huang, Shisheng & Hodge, Bri-Mathias S. & Taheripour, Farzad & Pekny, Joseph F. & Reklaitis, Gintaras V. & Tyner, Wallace E., 2011. "The effects of electricity pricing on PHEV competitiveness," Energy Policy, Elsevier, vol. 39(3), pages 1552-1561, March.

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