Modeling and forecasting electricity spot prices: a functional data perspective
From MaRDI portal
Publication:386743
DOI10.1214/13-AOAS652zbMATH Open1454.62267arXiv1310.1628MaRDI QIDQ386743FDOQ386743
Authors: Dominik Liebl 
Publication date: 10 December 2013
Published in: The Annals of Applied Statistics (Search for Journal in Brave)
Abstract: Classical time series models have serious difficulties in modeling and forecasting the enormous fluctuations of electricity spot prices. Markov regime switch models belong to the most often used models in the electricity literature. These models try to capture the fluctuations of electricity spot prices by using different regimes, each with its own mean and covariance structure. Usually one regime is dedicated to moderate prices and another is dedicated to high prices. However, these models show poor performance and there is no theoretical justification for this kind of classification. The merit order model, the most important micro-economic pricing model for electricity spot prices, however, suggests a continuum of mean levels with a functional dependence on electricity demand. We propose a new statistical perspective on modeling and forecasting electricity spot prices that accounts for the merit order model. In a first step, the functional relation between electricity spot prices and electricity demand is modeled by daily price-demand functions. In a second step, we parameterize the series of daily price-demand functions using a functional factor model. The power of this new perspective is demonstrated by a forecast study that compares our functional factor model with two established classical time series models as well as two alternative functional data models.
Full work available at URL: https://arxiv.org/abs/1310.1628
Recommendations
functional data analysistime series analysisEuropean Energy Exchange (EEX)functional factor modelfundamental market modelmerit order curve
Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Functional data analysis (62R10)
Cites Work
- Time series: theory and methods.
- Functional data analysis.
- Nonparametric functional data analysis. Theory and practice.
- Strictly Proper Scoring Rules, Prediction, and Estimation
- Functional Data Analysis for Sparse Longitudinal Data
- Title not available (Why is that?)
- A practical guide to splines.
- Robust principal component analysis for functional data. (With comments)
- Robust functional estimation using the median and spherical principal components
- Title not available (Why is that?)
- Nonparametric Regression Analysis of Longitudinal Data
- Functional dynamic factor models with application to yield curve forecasting
- Properties of principal component methods for functional and longitudinal data analysis
- Modeling and forecasting electricity spot prices: a functional data perspective
- Uniform convergence rates for nonparametric regression and principal component analysis in functional/longitudinal data
- Time Series Modelling With Semiparametric Factor Dynamics
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- Common functional principal components
- Periodic Seasonal Reg-ARFIMA–GARCH Models for Daily Electricity Spot Prices
- Title not available (Why is that?)
- Approaches for multi-step density forecasts with application to aggregated wind power
- Functional factor analysis for periodic remote sensing data
- Computational Science - ICCS 2004
Cited In (35)
- Two-sample testing for mean functions with incompletely observed functional data
- Functional data analysis of the relationship between electricity consumption and climate change drivers
- Electricity spot price modeling by multi-factor uncertain process: a case study from the Nordic region
- Tempered functional time series
- Prescriptive selection of machine learning hyperparameters with applications in power markets: retailer's optimal trading
- Tree-based boosting with functional data
- Inferential procedures for partially observed functional data
- Title not available (Why is that?)
- Title not available (Why is that?)
- Deep learning for energy markets
- Partially observed functional data: the case of systematically missing parts
- Statistical inference for the slope parameter in functional linear regression
- The Forecasting Performance of a Finite Mixture Regime‐Switching Model for Daily Electricity Prices
- On the optimal reconstruction of partially observed functional data
- Nonparametric testing for differences in electricity prices: the case of the Fukushima nuclear accident
- A novel auto-regressive fractionally integrated moving average–least-squares support vector machine model for electricity spot prices prediction
- Mean and Covariance Estimation for Functional Snippets
- Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships
- A randomness test for functional panels
- Functional linear regression with functional response
- Modeling Functional Time Series and Mixed-Type Predictors With Partially Functional Autoregressions
- Simplicial principal component analysis for density functions in Bayes spaces
- Space‐Time Model versus VAR Model: Forecasting Electricity demand in Japan
- Modeling seasonality and serial dependence of electricity price curves with warping functional autoregressive dynamics
- Title not available (Why is that?)
- Nonparametric estimation of functional dynamic factor model
- PCA‐based discrimination of partially observed functional data, with an application to AneuRisk65 data set
- Robust Inference for Partially Observed Functional Response Data
- Estimation in partially observed functional linear quantile regression
- PCA-based estimation for functional linear regression with functional responses
- A bootstrap-based KPSS test for functional time series
- On the CLT for discrete Fourier transforms of functional time series
- Robust estimation for semi-functional linear regression models
- Modeling and forecasting electricity spot prices: a functional data perspective
- Ridge reconstruction of partially observed functional data is asymptotically optimal
Uses Software
This page was built for publication: Modeling and forecasting electricity spot prices: a functional data perspective
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q386743)
