A hybrid model for GEFCom2014 probabilistic electricity price forecasting

Katarzyna Maciejowska () and Jakub Nowotarski

No HSC/15/06, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: This paper provides detailed information on Team Poland’s approach in the electricity price forecasting track of GEFCom2014. A new hybrid model is proposed, consisting of four major blocks: point forecasting, pre-filtering, quantile regression modeling and post-processing. This universal model structure enables independent development of a single block, without affecting performance of the remaining ones. The four-block model design in complemented by including expert judgements, which may be of great importance in periods of unusually high or low electricity demand.

Keywords: Probabilistic forecasting; Hybrid model; Quantile regression; Electricity spot price; Forecasts combination; Pinball function (search for similar items in EconPapers)
JEL-codes: C22 C32 C53 Q47 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2015-05-11
New Economics Papers: this item is included in nep-ene and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: A hybrid model for GEFCom2014 probabilistic electricity price forecasting (2016)
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