Application of Discrete-Interval Moving Seasonalities to Spanish Electricity Demand Forecasting during Easter

Óscar Trull, J. Carlos García-Díaz and Alicia Troncoso
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Óscar Trull: Department of Applied Statistics, Operational Research and Quality, Universitat Politècnica de València, 46022 Valencia, Spain
J. Carlos García-Díaz: Department of Applied Statistics, Operational Research and Quality, Universitat Politècnica de València, 46022 Valencia, Spain
Alicia Troncoso: Division of Computer Science, Universidad Pablo de Olavide, ES-41013 Seville, Spain

Energies, 2019, vol. 12, issue 6, 1-16

Abstract: Forecasting electricity demand through time series is a tool used by transmission system operators to establish future operating conditions. The accuracy of these forecasts is essential for the precise development of activity. However, the accuracy of the forecasts is enormously subject to the calendar effect. The multiple seasonal Holt–Winters models are widely used due to the great precision and simplicity that they offer. Usually, these models relate this calendar effect to external variables that contribute to modification of their forecasts a posteriori. In this work, a new point of view is presented, where the calendar effect constitutes a built-in part of the Holt–Winters model. In particular, the proposed model incorporates discrete-interval moving seasonalities. Moreover, a clear example of the application of this methodology to situations that are difficult to treat, such as the days of Easter, is presented. The results show that the proposed model performs well, outperforming the regular Holt–Winters model and other methods such as artificial neural networks and Exponential Smoothing State Space Model with Box-Cox Transformation, ARMA Errors, Trend and Seasonal Components (TBATS) methods.

Keywords: time series; forecasting; exponential smoothing; electricity demand (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 (8)

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