Day-ahead probabilistic forecasting for French half-hourly electricity loads and quantiles for curve-to-curve regression

Xiuqin Xu, Ying Chen, Yannig Goude and Qiwei Yao

Applied Energy, 2021, vol. 301, issue C, No S0306261921008539

Abstract: The probabilistic forecasting of electricity loads is crucial for effective scheduling and decision-making in volatile and competitive energy markets with ever-growing uncertainties. We propose a novel approach to construct the probabilistic predictors for curves (PPC) of electricity loads, which leads to properly defined predictive bands and quantiles in the context of curve-to-curve regression. The proposed predictive model provides not only accurate hourly load point forecasts, but also generates well-defined probabilistic bands and day-long trajectories of the loads at any probability level, pre-specified by managers. We also define the predictive quantile curves that exhibit future loads in extreme scenarios and provide insights for hedging risks in the supply management of electricity. When applied to the day-ahead forecasting for French half-hourly electricity loads, the PPC outperform several state-of-the-art time series and machine learning predictive methods with more accurate point forecasts (mean absolute percentage error of 1.10%, compared to 1.36%–4.88% for the alternatives), a higher coverage rate of the day-long trajectory of loads (coverage rate of 95.5%, against 31.9%–90.7% for the alternatives) and a narrower average length of the predictive bands. In a series of numerical experiments, the PPC further demonstrate robust performance and general applicability, achieving accurate coverage probabilities under a variety of data-generating mechanisms.

Keywords: Electricity load forecasting; Linear curve-to-curve regression; Predictive quantile curves; Probabilistic forecasting (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0306261921008539
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:appene:v:301:y:2021:i:c:s0306261921008539

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/journaldescription.cws_home/405891/bibliographic
http://www.elsevier. ... 405891/bibliographic

DOI: 10.1016/j.apenergy.2021.117465

Access Statistics for this article

Applied Energy is currently edited by J. Yan

More articles in Applied Energy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().