Rule-based autoregressive moving average models for forecasting load on special days: A case study for France
Siddharth Arora and
James W. Taylor
European Journal of Operational Research, 2018, vol. 266, issue 1, 259-268
This paper presents a case study on short-term load forecasting for France, with emphasis on special days, such as public holidays. We investigate the generalisability to French data of a recently proposed approach, which generates forecasts for normal and special days in a coherent and unified framework, by incorporating subjective judgment in univariate statistical models using a rule-based methodology. The intraday, intraweek, and intrayear seasonality in load are accommodated using a rule-based triple seasonal adaptation of a seasonal autoregressive moving average (SARMA) model. We find that, for application to French load, the method requires an important adaption. We also adapt a recently proposed SARMA model that accommodates special day effects on an hourly basis using indicator variables. Using a rule formulated specifically for the French load, we compare the SARMA models with a range of different benchmark methods based on an evaluation of their point and density forecast accuracy. As sophisticated benchmarks, we employ the rule-based triple seasonal adaptations of Holt-Winters-Taylor (HWT) exponential smoothing and artificial neural networks (ANNs). We use nine years of half-hourly French load data, and consider lead times ranging from one half-hour up to a day ahead. The rule-based SARMA approach generated the most accurate forecasts.
Keywords: OR in Energy; Load; Short-term; Public holidays; Seasonality (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:266:y:2018:i:1:p:259-268
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