On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks

Grzegorz Marcjasz, Bartosz Uniejewski and Rafał Weron

International Journal of Forecasting, 2019, vol. 35, issue 4, 1520-1532

Abstract: Daily and weekly seasonalities are always taken into account in day-ahead electricity price forecasting, but the long-term seasonal component has long been believed to add unnecessary complexity, and hence, most studies have ignored it. The recent introduction of the Seasonal Component AutoRegressive (SCAR) modeling framework has changed this viewpoint. However, this framework is based on linear models estimated using ordinary least squares. This paper shows that considering non-linear autoregressive (NARX) neural network-type models with the same inputs as the corresponding SCAR-type models can lead to yet better performances. While individual Seasonal Component Artificial Neural Network (SCANN) models are generally worse than the corresponding SCAR-type structures, we provide empirical evidence that committee machines of SCANN networks can outperform the latter significantly.

Keywords: Electricity spot price; Forecasting; Day-ahead market; Long-term seasonal component; NARX neural network; Committee machine (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (44)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:35:y:2019:i:4:p:1520-1532

DOI: 10.1016/j.ijforecast.2017.11.009

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