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Conference paper information

New forecasting method for the residual demand curves using time series (ARIMA) models

A. Martín, J.I. de la Fuente

7th International Conference on Probabilistic Methods Applied to Power Systems - PMAPS 2002, Naples (Italy). 22-26 September 2002


Summary:

In this paper a new methodology to forecast the day ahead electricity market behaviour is presented. This behaviour can be easily modelled by means of the so called residual demand curves (RDC's) . The pattern of these curves (as the spot market is an hourly market there is one RDC for each hour) changes greatly according with the type of the day (labour-non labour) and the hour (peak, valley, plateau,...) so this fact must be taken into account. Firstly, a classical ARIMA analysis without explanatory variables is carried out. Afterwards, adequate explanatory variables are searched in order to build a more accurate Transfer Function Model. Next a new procedure called weighted estimation is developed and the differences between these two methods are pointed out. Finally, a case study is presented in order to check the validity of the weighted estimation model.


Keywords: Spot Market, Residual Demand Curves (RDC's), ARIMA models, TF models, weighted estimation, explanatory variables, Market behaviour estimation.


Publication date: 2002-09-22.



Citation:
A. Martín, J.I. de la Fuente, New forecasting method for the residual demand curves using time series (ARIMA) models, 7th International Conference on Probabilistic Methods Applied to Power Systems - PMAPS 2002, Naples (Italy). 22-26 September 2002.

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