Short-Term Forecasting for the Electricity Spot Prices With Extreme Values Treatment

IEEE Access

Tanzila Saba¹  Amjad Rehman¹  Sajid Ali²  Sher Akbar²  Ismail Shah² 

[1] Artificial Intelligence & Data Analytics Lab (AIDA), CCIS, Prince Sultan University, Riyadh, Saudi Arabia;Department of Statistics, Quaid-i-Azam University, Islamabad, Pakistan;

关键词: Electricity prices;    forecasting;    extreme values treatment;    IPEX;    parametric and nonparametric estimation;   

DOI  :  10.1109/ACCESS.2021.3100076

来源: DOAJ

【 摘 要 】

Nowadays, modeling and forecasting electricity spot prices are challenging due to their specific features, including multiple seasonalities, calendar effects, and extreme values (also known as jumps, spikes, or outliers). This study aims to provide a comprehensive analysis of electricity price forecasting by comparing several outlier filtering techniques followed by various modeling frameworks. To this end, extreme values are first treated with five different filtering techniques and are then replaced by four different outlier replacement approaches. Next, the spikes-free series is divided into deterministic and stochastic components. The deterministic component includes long-term trend, yearly and weekly seasonalities, and bank holidays and is estimated through parametric and nonparametric approaches. On the other hand, the stochastic component accounts for the short-run dynamics of the price time series and is modeled using different univariate and multivariate models. The one-day-ahead out-of-sample forecast results for the Italian Power Exchange (IPEX), obtained for a whole year, suggest that the outliers pre-filtering give a high accuracy gain. In addition, multivariate modeling for the stochastic component outperforms univariate models.

【 授权许可】

Unknown