Computing electricity spot price prediction intervals using quantile regression and forecast averaging
We examine possible accuracy gains from forecast averaging in the context of interval forecasts of electricity spot prices. First, we test whether constructing empirical prediction intervals (PI) from combined electricity spot price forecasts leads to better forecasts than those obtained from individual methods. Next, we propose a new method for constructing PI, which utilizes the concept of quantile regression (QR) and a pool of point forecasts of individual (i.e. not combined) time series models. While the empirical PI from combined forecasts do not provide significant gains, the QR based PI are found to be more accurate than those of the best individual model - the smoothed nonparametric autoregressive model.
|Date of creation:||31 Dec 2013|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://prac.im.pwr.wroc.pl/~hugo
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- de Menezes, Lilian M. & W. Bunn, Derek & Taylor, James W., 2000. "Review of guidelines for the use of combined forecasts," European Journal of Operational Research, Elsevier, vol. 120(1), pages 190-204, January.
- Jakub Nowotarski & Eran Raviv & Stefan Trueck & Rafal Weron, 2013.
"An empirical comparison of alternate schemes for combining electricity spot price forecasts,"
HSC Research Reports
HSC/13/07, Hugo Steinhaus Center, Wroclaw University of Technology.
- Nowotarski, Jakub & Raviv, Eran & Trück, Stefan & Weron, Rafał, 2014. "An empirical comparison of alternative schemes for combining electricity spot price forecasts," Energy Economics, Elsevier, vol. 46(C), pages 395-412.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- Misiorek Adam & Trueck Stefan & Weron Rafal, 2006. "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(3), pages 1-36, September.
- Granger, C. W. J. & White, Halbert & Kamstra, Mark, 1989. "Interval forecasting : An analysis based upon ARCH-quantile estimators," Journal of Econometrics, Elsevier, vol. 40(1), pages 87-96, January.
- Katarzyna Maciejowska & Rafal Weron, 2013. "Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market," HSC Research Reports HSC/13/01, Hugo Steinhaus Center, Wroclaw University of Technology, revised 15 Apr 2013.
- Clemen, Robert T., 1989. "Combining forecasts: A review and annotated bibliography," International Journal of Forecasting, Elsevier, vol. 5(4), pages 559-583.
- Bordignon, Silvano & Bunn, Derek W. & Lisi, Francesco & Nan, Fany, 2013. "Combining day-ahead forecasts for British electricity prices," Energy Economics, Elsevier, vol. 35(C), pages 88-103.
- Genre, Véronique & Kenny, Geoff & Meyler, Aidan & Timmermann, Allan, 2013. "Combining expert forecasts: Can anything beat the simple average?," International Journal of Forecasting, Elsevier, vol. 29(1), pages 108-121.
- Conejo, Antonio J. & Contreras, Javier & Espinola, Rosa & Plazas, Miguel A., 2005. "Forecasting electricity prices for a day-ahead pool-based electric energy market," International Journal of Forecasting, Elsevier, vol. 21(3), pages 435-462.
- Bierbrauer, Michael & Menn, Christian & Rachev, Svetlozar T. & Truck, Stefan, 2007. "Spot and derivative pricing in the EEX power market," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3462-3485, November.
- Rafal Weron, 2006. "Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0601.
- Adam Misiorek & Rafal Weron, 2006. "Interval forecasting of spot electricity prices," HSC Research Reports HSC/06/05, Hugo Steinhaus Center, Wroclaw University of Technology.
- Weron, Rafal & Misiorek, Adam, 2008.
"Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models,"
International Journal of Forecasting,
Elsevier, vol. 24(4), pages 744-763.
- Weron, Rafal & Misiorek, Adam, 2008. "Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models," MPRA Paper 10428, University Library of Munich, Germany.
When requesting a correction, please mention this item's handle: RePEc:wuu:wpaper:hsc1312. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rafal Weron)
If references are entirely missing, you can add them using this form.