Short-Term Electricity Demand Forecasting Using Components Estimation Technique

Ismail Shah, Hasnain Iftikhar, Sajid Ali and Depeng Wang
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Ismail Shah: Department of Statistics, Quaid-i-Azam University, Islamabad 45320, Pakistan
Hasnain Iftikhar: Department of Statistics, Quaid-i-Azam University, Islamabad 45320, Pakistan
Sajid Ali: Department of Statistics, Quaid-i-Azam University, Islamabad 45320, Pakistan
Depeng Wang: College of Life Science, Linyi University, Linyi 276000, China

Energies, 2019, vol. 12, issue 13, 1-17

Abstract: Currently, in most countries, the electricity sector is liberalized, and electricity is traded in deregulated electricity markets. In these markets, electricity demand is determined the day before the physical delivery through (semi-)hourly concurrent auctions. Hence, accurate forecasts are essential for efficient and effective management of power systems. The electricity demand and prices, however, exhibit specific features, including non-constant mean and variance, calendar effects, multiple periodicities, high volatility, jumps, and so on, which complicate the forecasting problem. In this work, we compare different modeling techniques able to capture the specific dynamics of the demand time series. To this end, the electricity demand time series is divided into two major components: deterministic and stochastic. Both components are estimated using different regression and time series methods with parametric and nonparametric estimation techniques. Specifically, we use linear regression-based models (local polynomial regression models based on different types of kernel functions; tri-cubic, Gaussian, and Epanechnikov), spline function-based models (smoothing splines, regression splines), and traditional time series models (autoregressive moving average, nonparametric autoregressive, and vector autoregressive). Within the deterministic part, special attention is paid to the estimation of the yearly cycle as it was previously ignored by many authors. This work considers electricity demand data from the Nordic electricity market for the period covering 1 January 2013–31 December 2016. To assess the one-day-ahead out-of-sample forecasting accuracy, Mean Absolute Percentage Error (MAPE), Mean Absolute Error (MAE), and Root Mean Squared Error (RMSE) are calculated. The results suggest that the proposed component-wise estimation method is extremely effective at forecasting electricity demand. Further, vector autoregressive modeling combined with spline function-based regression gives superior performance compared with the rest.

Keywords: Nordic electricity market; electricity demand; component estimation method; univariate and multivariate time series analysis; modeling and forecasting (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (31)

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