Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting

Tomasz Serafin, Bartosz Uniejewski and Rafał Weron

No WORMS/19/08, WORking papers in Management Science (WORMS) from Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology

Abstract: The recent developments in combining point forecasts of day-ahead electricity prices across calibration windows have provided an extremely simple, yet a very efficient tool for improving predictive accuracy. Here, we consider two novel extensions of this concept to probabilistic forecasting: one based on Quantile Regression Averaging (QRA) applied to a set of point forecasts obtained for different calibration windows, the other on a technique dubbed Quantile Regression Machine (QRM), which first averages these point predictions, then applies quantile regression to the combined forecast. Once computed, we combine the probabilistic forecasts across calibration windows by averaging probabilities of the corresponding predictive distributions. Our results show that QRM is not only computationally more efficient, but also yields significantly more accurate distributional predictions, as measured by the aggregate pinball score and the test of conditional predictive ability. Moreover, combining probabilistic forecasts brings further significant accuracy gains.

Keywords: Electricity price forecasting; Predictive distribution; Combining forecasts; Average probability forecast; Calibration window; Autoregression; Pinball score; Conditional predictive ability (search for similar items in EconPapers)
JEL-codes: C14 C22 C51 C53 Q47 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2019-06-12, Revised 2019-07-06
New Economics Papers: this item is included in nep-ene and nep-for
References: Add references at CitEc
Citations: View citations in EconPapers (33)

Published in Energies 2019, 12(13), 2561

Downloads: (external link)
https://worms.pwr.edu.pl/RePEc/ahh/wpaper/WORMS_19_08.pdf Original version, 2019 (application/pdf)

Related works:
Journal Article: Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting (2019)
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:ahh:wpaper:worms1908

Access Statistics for this paper

More papers in WORking papers in Management Science (WORMS) from Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology Contact information at EDIRC.
Bibliographic data for series maintained by Anna Kowalska-Pyzalska ().