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Modeling electricity loads in California: ARMA models with hyperbolic noise

  • Joanna Nowicka-Zagrajek
  • Rafal Weron

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

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
Contact details of provider: Postal: Wybrzeze Wyspianskiego 27, 50-370 Wroclaw
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Web page: http://prac.im.pwr.wroc.pl/~hugo
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  1. 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.
  2. 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.
  3. Rafal Weron, 2000. "Energy price risk management," HSC Research Reports HSC/00/02, Hugo Steinhaus Center, Wroclaw University of Technology.
  4. 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.
  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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