Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx

Kin G. Olivares, Cristian Challu, Grzegorz Marcjasz, Rafał Weron and Artur Dubrawski

No WORMS/21/07, WORking papers in Management Science (WORMS) from Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology

Abstract: We extend the neural basis expansion analysis (NBEATS) to incorporate exogenous factors. The resulting method, called NBEATSx, improves on a well performing deep learning model, extending its capabilities by including exogenous variables and allowing it to integrate multiple sources of useful information. To showcase the utility of the NBEATSx model, we conduct a comprehensive study of its application to electricity price forecasting (EPF) tasks across a broad range of years and markets. We observe state-of-the-art performance, significantly improving the forecast accuracy by nearly 20% over the original NBEATS model, and by up to 5% over other well established statistical and machine learning methods specialized for these tasks. Additionally, the proposed neural network has an interpretable configuration that can structurally decompose time series, visualizing the relative impact of trend and seasonal components and revealing the modeled processes' interactions with exogenous factors.

Keywords: Deep learning; NBEATS and NBEATSx models; Interpretable neural network; Time series decomposition; Fourier series; Electricity price forecasting (search for similar items in EconPapers)
JEL-codes: C22 C32 C45 C51 C53 Q41 Q47 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2021-04-19
New Economics Papers: this item is included in nep-big, nep-cmp, nep-ene, nep-for and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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https://worms.pwr.edu.pl/RePEc/ahh/wpaper/WORMS_21_07.pdf Original version, 2021 (application/pdf)

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Journal Article: Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx (2023)
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