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Modeling and Forecasting Hourly Electricity Demand by SARIMAX with Interactions

Niematallah Elamin () and Mototsugu Fukushige ()
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Niematallah Elamin: Graduate School of Economics, Osaka University

No 17-28, Discussion Papers in Economics and Business from Osaka University, Graduate School of Economics

Abstract: This paper presents an interaction forecasting framework with a focus on short-term load forecasting. It proposes a seasonal autoregressive integrated moving average model with the inclusion of exogenous variables (SARIMA: main effects) and interaction variables (cross effects) to forecast short-term electricity load using hourly load data from Tokyo Electric Power Company. The main effects and cross effects are measured through an iterative process of plotting, interpreting, and testing. Interactions of weather variables and calendar variables, as well as interactions of seasonal patterns and intraday dependencies, are analyzed, tested, and added to the model. We compare the SARIMAX model, which contains only main effects, with the Interaction-SARIMAX model, which includes cross effects in addition to the main effects. Our proposed SARIMAX-with-interactions model is shown to produce smaller errors than its competitors. Thus, including interaction effects of the exogenous variables into the SARIMAX model can potentially improve the model forecasting performance. Although the model is built using data of a specific region in Japan, the method is completely generic and therefore applicable to any load forecasting problem.

Keywords: Cross effects; forecast accuracy; load forecasting; load modeling; SARIMAX (search for similar items in EconPapers)
JEL-codes: C53 Q4 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ene and nep-for
Date: 2017-09
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