Double seasonal ARIMA model for forecasting load demand
This study investigates the use of a double seasonal ARIMA model for forecasting load demand. For the purpose of this study, a one-year half hourly Malaysia load demand from 1 September 2005 to 31 August 2006 measured in Megawatt (MW) is used. The mean absolute percentage error (MAPE) is used as the...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English English |
| Published: |
Department of Mathematics, UTM
2010
|
| Subjects: | |
| Online Access: | http://eprints.utm.my/36668/1/MaizahHuraAhmad2010_DoubleSeasonalARIMAModelforForecasting.pdf http://eprints.utm.my/36668/2/201026211.pdf |
| _version_ | 1796857560125407232 |
|---|---|
| author | Mohamed, Norizan Ahmad, Maizah Hura Ismail, Zuhaimy Suhartono, Suhartono |
| author_facet | Mohamed, Norizan Ahmad, Maizah Hura Ismail, Zuhaimy Suhartono, Suhartono |
| author_sort | Mohamed, Norizan |
| collection | ePrints |
| description | This study investigates the use of a double seasonal ARIMA model for forecasting load demand. For the purpose of this study, a one-year half hourly Malaysia load demand from 1 September 2005 to 31 August 2006 measured in Megawatt (MW) is used. The mean absolute percentage error (MAPE) is used as the measure of forecasting accuracy. We use Statistical Analysis System, SAS package to analyze the data. Using the least squares method to estimate the coefficients in a double SARIMA model, followed by model validation and model selection criteria, we propose ARIMA(0; 1; 1)(0; 1; 1)48(0; 1; 1)336 with in-sample MAPE of 0.9906% as the best model for this study. Comparing the forecasting performances by using k-step ahead forecasts and one-step ahead forecasts, we found that the MAPE for the one-step ahead out-sample forecasts from any horizon ranging from one week lead time to one month lead time are all less than 1%. We thus propose that a double seasonal ARIMA model with one-step ahead forecast as the most appropriate model for forecasting the two-seasonal cycles Malaysia load demand time series. |
| first_indexed | 2024-03-05T18:59:36Z |
| format | Article |
| id | utm.eprints-36668 |
| institution | Universiti Teknologi Malaysia - ePrints |
| language | English English |
| last_indexed | 2024-03-05T18:59:36Z |
| publishDate | 2010 |
| publisher | Department of Mathematics, UTM |
| record_format | dspace |
| spelling | utm.eprints-366682017-02-20T08:21:13Z http://eprints.utm.my/36668/ Double seasonal ARIMA model for forecasting load demand Mohamed, Norizan Ahmad, Maizah Hura Ismail, Zuhaimy Suhartono, Suhartono QA Mathematics This study investigates the use of a double seasonal ARIMA model for forecasting load demand. For the purpose of this study, a one-year half hourly Malaysia load demand from 1 September 2005 to 31 August 2006 measured in Megawatt (MW) is used. The mean absolute percentage error (MAPE) is used as the measure of forecasting accuracy. We use Statistical Analysis System, SAS package to analyze the data. Using the least squares method to estimate the coefficients in a double SARIMA model, followed by model validation and model selection criteria, we propose ARIMA(0; 1; 1)(0; 1; 1)48(0; 1; 1)336 with in-sample MAPE of 0.9906% as the best model for this study. Comparing the forecasting performances by using k-step ahead forecasts and one-step ahead forecasts, we found that the MAPE for the one-step ahead out-sample forecasts from any horizon ranging from one week lead time to one month lead time are all less than 1%. We thus propose that a double seasonal ARIMA model with one-step ahead forecast as the most appropriate model for forecasting the two-seasonal cycles Malaysia load demand time series. Department of Mathematics, UTM 2010-12 Article PeerReviewed application/pdf en http://eprints.utm.my/36668/1/MaizahHuraAhmad2010_DoubleSeasonalARIMAModelforForecasting.pdf text/html en http://eprints.utm.my/36668/2/201026211.pdf Mohamed, Norizan and Ahmad, Maizah Hura and Ismail, Zuhaimy and Suhartono, Suhartono (2010) Double seasonal ARIMA model for forecasting load demand. Matematika, 26 (2). pp. 217-231. ISSN 0127-9602 http://www.matematika.utm.my/index.php/matematika/article/view/565 |
| spellingShingle | QA Mathematics Mohamed, Norizan Ahmad, Maizah Hura Ismail, Zuhaimy Suhartono, Suhartono Double seasonal ARIMA model for forecasting load demand |
| title | Double seasonal ARIMA model for forecasting load demand
|
| title_full | Double seasonal ARIMA model for forecasting load demand
|
| title_fullStr | Double seasonal ARIMA model for forecasting load demand
|
| title_full_unstemmed | Double seasonal ARIMA model for forecasting load demand
|
| title_short | Double seasonal ARIMA model for forecasting load demand
|
| title_sort | double seasonal arima model for forecasting load demand |
| topic | QA Mathematics |
| url | http://eprints.utm.my/36668/1/MaizahHuraAhmad2010_DoubleSeasonalARIMAModelforForecasting.pdf http://eprints.utm.my/36668/2/201026211.pdf |
| work_keys_str_mv | AT mohamednorizan doubleseasonalarimamodelforforecastingloaddemand AT ahmadmaizahhura doubleseasonalarimamodelforforecastingloaddemand AT ismailzuhaimy doubleseasonalarimamodelforforecastingloaddemand AT suhartonosuhartono doubleseasonalarimamodelforforecastingloaddemand |