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Analysis and modelling of wind speed in New York

Author

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  • Jurate Saltyte Benth
  • Fred Espen Benth

Abstract

In this paper we propose an ARMA time-series model for the wind speed at a single spatial location, and estimate it on in-sample data recorded in three different wind farm regions in New York state. The data have a three-hour granularity, but based on applications to financial wind derivatives contracts, we also consider daily average wind speeds. We demonstrate that there are large discrepancies in the behaviour of daily average and three-hourly wind speed records. The validation procedure based on out-of-sample observations reflects that the proposed model is reliable and can be used for various practical applications, like, for instance, weather prediction, pricing of financial wind contracts, wind generated power, etc. Furthermore, we discuss some striking resemblances with temperature dynamics.

Suggested Citation

  • Jurate Saltyte Benth & Fred Espen Benth, 2010. "Analysis and modelling of wind speed in New York," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(6), pages 893-909.
    • Handle: RePEc:taf:japsta:v:37:y:2010:i:6:p:893-909
    DOI: 10.1080/02664760902914490
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    Citations

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    Cited by:

    1. Grothe, Oliver & Schnieders, Julius, 2011. "Spatial dependence in wind and optimal wind power allocation: A copula-based analysis," Energy Policy, Elsevier, vol. 39(9), pages 4742-4754, September.
    2. A. Alexandridis & A. Zapranis, 2013. "Wind Derivatives: Modeling and Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 41(3), pages 299-326, March.
    3. Naseri, Masoud & Baraldi, Piero & Compare, Michele & Zio, Enrico, 2016. "Availability assessment of oil and gas processing plants operating under dynamic Arctic weather conditions," Reliability Engineering and System Safety, Elsevier, vol. 152(C), pages 66-82.
    4. Shen, Zhiwei & Ritter, Matthias, 2016. "Forecasting volatility of wind power production," Applied Energy, Elsevier, vol. 176(C), pages 295-308.
    5. Geovanny Marulanda & Antonio Bello & Jenny Cifuentes & Javier Reneses, 2020. "Wind Power Long-Term Scenario Generation Considering Spatial-Temporal Dependencies in Coupled Electricity Markets," Energies, MDPI, vol. 13(13), pages 1-19, July.
    6. Fred Espen Benth & Jūratė Šaltytė Benth, 2012. "Modeling and Pricing in Financial Markets for Weather Derivatives," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8457.
    7. Shukur, Osamah Basheer & Lee, Muhammad Hisyam, 2015. "Daily wind speed forecasting through hybrid KF-ANN model based on ARIMA," Renewable Energy, Elsevier, vol. 76(C), pages 637-647.

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