Evaluation of Nonparametric Probabilistic Forecasts of Wind Power

Pierre Pinson, Jan Kloppenborg Møller, Henrik Aalborg, orlov 31.07.2008 Nielsen, Henrik Madsen, George N. Kariniotakis

    Research output: Book/ReportReport

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    Abstract

    Predictions of wind power production for horizons up to 48-72 hour ahead comprise a highly valuable input to the methods for the daily management or trading of wind generation. Today, users of wind power predictions are not only provided with point predictions, which are estimates of the most likely outcome for each look-ahead time, but also with uncertainty estimates given by probabilistic forecasts. In order to avoid assumptions on the shape of predictive distributions, these probabilistic predictions are produced from nonparametric methods, and then take the form of a single or a set of quantile forecasts. The required and desirable properties of such probabilistic forecasts are defined and a framework for their evaluation is proposed. This framework is applied for evaluating the quality of two statistical methods producing full predictive distributions from point predictions of wind power. These distributions are defined by 18 quantile forecasts with nominal proportions spanning the unit interval. The relevance and interest of the introduced evaluation framework are consequently discussed.
    Original languageEnglish
    PublisherInformatics and Mathematical Modelling, Technical University of Denmark, DTU
    Publication statusPublished - 2007

    Keywords

    • sharpness
    • quality evaluation
    • skill
    • probabilistic forecasting
    • reliability
    • resolution
    • quantile forecasts
    • uncertainty
    • wind power

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