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Short-run electricity load forecasting with combinations of stationary wavelet transforms

Author

Listed:
  • Marie Bessec

    (LEDA-CGEMP - Centre de Géopolitique de l’Energie et des Matières Premières - LEDa - Laboratoire d'Economie de Dauphine - IRD - Institut de Recherche pour le Développement - Université Paris-Dauphine - CNRS - Centre National de la Recherche Scientifique)

  • Julien Fouquau

Abstract

Short-term forecasting of electricity load is an essential issue for the management of power systems and for energy trading. Specific modeling approaches are needed given the strong seasonality and volatility in load data. In this paper, we investigate the benefit of combining stationary wavelet transforms to produce one day-ahead forecasts of half-hourly electric load in France. First, we assess the advantage of decomposing the aggregate load into several subseries with a wavelet transform. Each component is predicted separately and aggregated to get the final forecast. One innovation of this paper is to propose several approaches to deal with the boundary problem which is particularly detrimental in electricity load forecasting. Second, we examine the benefit of combining forecasts over individual models. An extensive out-of-sample evaluation shows that a careful treatment of the border effect is required in the multiresolution analysis. Combinations including the wavelet predictions provide the most accurate forecasts. This result is valid with several assumptions about the forecast error in temperature and for different types of hours (peak, normal, off-peak), different days of the week and various forecasting periods.

Suggested Citation

  • Marie Bessec & Julien Fouquau, 2018. "Short-run electricity load forecasting with combinations of stationary wavelet transforms," Post-Print hal-01644930, HAL.
  • Handle: RePEc:hal:journl:hal-01644930
    Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01644930
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    References listed on IDEAS

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    3. repec:gam:jsusta:v:10:y:2018:i:1:p:217-:d:127251 is not listed on IDEAS
    4. repec:eee:energy:v:158:y:2018:i:c:p:774-781 is not listed on IDEAS
    5. repec:gam:jeners:v:10:y:2017:i:11:p:1713-:d:116523 is not listed on IDEAS
    6. repec:gam:jeners:v:12:y:2019:i:13:p:2467-:d:243188 is not listed on IDEAS

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