TY - JOUR

T1 - Forecasting Electricity Spot Prices Accounting for Wind Power Predictions

A1 - Pinson,Pierre

A1 - Jónsson,Tryggvi

A1 - Nielsen,Henrik Aa.

A1 - Nielsen,Torben S.

AU - Pinson,Pierre

AU - Jónsson,Tryggvi

AU - Nielsen,Henrik Aa.

AU - Nielsen,Torben S.

PB - I E E E

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 -