A note on averaging day-ahead electricity price forecasts across calibration windows
Grzegorz Marcjasz () and
Rafał Weron ()
No HSC/18/03, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Technology
We propose a novel concept in energy forecasting and show that averaging day-ahead electricity price forecasts of a predictive model across 28- to 728-day calibration windows yields better results than selecting only one 'optimal' window length. Even more significant accuracy gains can be achieved by averaging over a few, carefully selected windows.
Keywords: Electricity price forecasting; Combining forecasts; Calibration window; Autoregression; NARX neural network; Committee machine; Diebold-Mariano test (search for similar items in EconPapers)
JEL-codes: C14 C22 C45 C51 C53 Q47 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp, nep-ene and nep-for
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Forthcoming in IEEE Transactions on Sustainable Energy (2018), https://doi.org/10.1109/TSTE.2018.2869557
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