Forecasting Electricity Spot Prices Accounting for Wind Power Predictions

Publication: Research - peer-reviewJournal article – Annual report year: 2013

Standard

Forecasting Electricity Spot Prices Accounting for Wind Power Predictions. / Jónsson, Tryggvi; Pinson, Pierre; Nielsen, Henrik Aalborg; Madsen, Henrik; Nielsen, Torben Skov.

In: I E E E Transactions on Sustainable Energy, Vol. 4, No. 1, 2013, p. 210-218 .

Publication: Research - peer-reviewJournal article – Annual report year: 2013

Harvard

APA

CBE

MLA

Vancouver

Author

Jónsson, Tryggvi; Pinson, Pierre; Nielsen, Henrik Aalborg; Madsen, Henrik; Nielsen, Torben Skov / Forecasting Electricity Spot Prices Accounting for Wind Power Predictions.

In: I E E E Transactions on Sustainable Energy, Vol. 4, No. 1, 2013, p. 210-218 .

Publication: Research - peer-reviewJournal article – Annual report year: 2013

Bibtex

@article{23be1469e56b419fad14bafff29ffa79,
title = "Forecasting Electricity Spot Prices Accounting for Wind Power Predictions",
keywords = "Adaptivity, Electricity prices, Forecasting, Nonlinear modeling, Nonparametric modeling, Robustness",
publisher = "Institute of Electrical and Electronics Engineers",
author = "Tryggvi Jónsson and Pierre Pinson and Nielsen, {Henrik Aalborg} and Henrik Madsen and Nielsen, {Torben Skov}",
year = "2013",
doi = "10.1109/TSTE.2012.2212731",
volume = "4",
number = "1",
pages = "210--218",
journal = "I E E E Transactions on Sustainable Energy",
issn = "1949-3029",

}

RIS

TY - JOUR

T1 - Forecasting Electricity Spot Prices Accounting for Wind Power Predictions

A1 - Jónsson,Tryggvi

A1 - Pinson,Pierre

A1 - Nielsen,Henrik Aalborg

A1 - Madsen,Henrik

A1 - Nielsen,Torben Skov

AU - Jónsson,Tryggvi

AU - Pinson,Pierre

AU - Nielsen,Henrik Aalborg

AU - Madsen,Henrik

AU - Nielsen,Torben Skov

PB - Institute of Electrical and Electronics Engineers

PY - 2013

Y1 - 2013

N2 - A two-step methodology for forecasting of electricity spot prices is introduced, with focus on the impact of predicted system load and wind power generation. The nonlinear and nonstationary influence of these explanatory variables is accommodated in a first step based on a nonparametric and time-varying regression model. In a second step, time-series models, i.e., ARMA and Holt–Winters, are applied to account for residual autocorrelation and seasonal dynamics. Empirical results are presented for out-of-sample forecasts of day-ahead prices in the Western Danish price area of Nord Pool's Elspot, during a two year period covering 2010–2011. These results clearly demonstrate the practical benefits of accounting for the complex influence of these explanatory variables.

AB - A two-step methodology for forecasting of electricity spot prices is introduced, with focus on the impact of predicted system load and wind power generation. The nonlinear and nonstationary influence of these explanatory variables is accommodated in a first step based on a nonparametric and time-varying regression model. In a second step, time-series models, i.e., ARMA and Holt–Winters, are applied to account for residual autocorrelation and seasonal dynamics. Empirical results are presented for out-of-sample forecasts of day-ahead prices in the Western Danish price area of Nord Pool's Elspot, during a two year period covering 2010–2011. These results clearly demonstrate the practical benefits of accounting for the complex influence of these explanatory variables.

KW - Adaptivity

KW - Electricity prices

KW - Forecasting

KW - Nonlinear modeling

KW - Nonparametric modeling

KW - Robustness

U2 - 10.1109/TSTE.2012.2212731

DO - 10.1109/TSTE.2012.2212731

JO - I E E E Transactions on Sustainable Energy

JF - I E E E Transactions on Sustainable Energy

SN - 1949-3029

IS - 1

VL - 4

SP - 210

EP - 218

ER -