Modeling electricity loads in California: ARMA models with hyperbolic noise
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.
|Date of creation:||2002|
|Date of revision:|
|Publication status:||Published in Signal Processing 82 (2002) 1903-1915.|
|Contact details of provider:|| Postal: Wybrzeze Wyspianskiego 27, 50-370 Wroclaw|
Web page: http://prac.im.pwr.wroc.pl/~hugo
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- 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.
- 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.
- Rafal Weron, 2000.
"Energy price risk management,"
HSC Research Reports
HSC/00/02, Hugo Steinhaus Center, Wroclaw University of Technology.
- Weron, Rafal, 2000. "Energy price risk management," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 285(1), pages 127-134.
- 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.
- 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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