Electricity price forecasting: A review of the state-of-the-art with a look into the future

Rafał Weron

International Journal of Forecasting, 2014, vol. 30, issue 4, 1030-1081

Abstract: A variety of methods and ideas have been tried for electricity price forecasting (EPF) over the last 15 years, with varying degrees of success. This review article aims to explain the complexity of available solutions, their strengths and weaknesses, and the opportunities and threats that the forecasting tools offer or that may be encountered. The paper also looks ahead and speculates on the directions EPF will or should take in the next decade or so. In particular, it postulates the need for objective comparative EPF studies involving (i) the same datasets, (ii) the same robust error evaluation procedures, and (iii) statistical testing of the significance of one model’s outperformance of another.

Keywords: Electricity price forecasting; Day-ahead market; Seasonality; Autoregression; Neural network; Factor model; Forecast combination; Probabilistic forecast (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (531)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0169207014001083
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Electricity price forecasting: A review of the state-of-the-art with a look into the future (2014)
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:intfor:v:30:y:2014:i:4:p:1030-1081

DOI: 10.1016/j.ijforecast.2014.08.008

Access Statistics for this article

International Journal of Forecasting is currently edited by R. J. Hyndman

More articles in International Journal of Forecasting from Elsevier
Bibliographic data for series maintained by Catherine Liu ().