Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting

Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting

We conduct an extensive empirical study on the selection of calibration windows for day-ahead electricity price forecasting, which involves six year-long datasets from three major power markets and four autoregressive expert models fitted either to raw or transformed prices. Since the variability of...

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Bibliographic Details
Main Authors: Grzegorz Marcjasz, Tomasz Serafin, Rafał Weron
Format: Article
Language:English
Published: MDPI AG 2018-09-01
Series:Energies
Subjects:
electricity price forecasting
forecast averaging
calibration window
autoregression
variance stabilizing transformation
conditional predictive ability
Online Access:http://www.mdpi.com/1996-1073/11/9/2364

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http://www.mdpi.com/1996-1073/11/9/2364

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