A hybrid model for GEFCom2014 probabilistic electricity price forecasting

Katarzyna Maciejowska () and Jakub Nowotarski

International Journal of Forecasting, 2016, vol. 32, issue 3, 1051-1056

Abstract: This paper provides detailed information on Team Poland’s winning methodology in the electricity price forecasting track of GEFCom2014. A new hybrid model extending the Quantile Regression Averaging (QRA) approach of Nowotarski and Weron (2015) is proposed. It consists of four major blocks: point forecasting, pre-filtering, quantile regression modeling and post-processing. This universal model structure enables a single block to be developed independently, without the performances of the remaining blocks being affected. The four-block model design is complemented by the inclusion of expert judgement, which may be of great importance in periods of unusually high or low electricity demand.

Keywords: Probabilistic forecasting; Hybrid model; Quantile regression; Electricity spot price; Forecasts combination; Pinball function (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (60)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:32:y:2016:i:3:p:1051-1056

DOI: 10.1016/j.ijforecast.2015.11.008

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