Probabilistic forecast reconciliation with applications to wind power and electric load

Jooyoung Jeon, Anastasios Panagiotelis and Fotios Petropoulos

European Journal of Operational Research, 2019, vol. 279, issue 2, 364-379

Abstract: New methods are proposed for adjusting probabilistic forecasts to ensure coherence with the aggregation constraints inherent in temporal hierarchies. The different approaches nested within this framework include methods that exploit information at all levels of the hierarchy as well as a novel method based on cross-validation. The methods are evaluated using real data from two wind farms in Crete and electric load in Boston. For these applications, optimal decisions related to grid operations and bidding strategies are based on coherent probabilistic forecasts of energy power. Empirical evidence is also presented showing that probabilistic forecast reconciliation improves the accuracy of the probabilistic forecasts.

Keywords: Forecasting; Temporal hierarchies; Cross-validation; Aggregation; Renewable energy generation (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (42)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:279:y:2019:i:2:p:364-379

DOI: 10.1016/j.ejor.2019.05.020

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