Probabilistic Forecasts of Wind Power Generation by Stochastic Differential Equation Models

DOI10.1002/for.2367zbMath1378.62138OpenAlexW2294745102WikidataQ60398262 ScholiaQ60398262MaRDI QIDQ4596028

Henrik Madsen, Marco Zugno, Jan Kloppenborg Møller

Publication date: 8 December 2017

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2367

zbMATH Keywords

state space modelsnonparametric modellingnonlinear forecastinglogistic-type stochastic differential equations

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to environmental and related topics (62P12)

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Reconciling temporal hierarchies of wind power production with forecast-dependent variance structures ⋮ Quantifying uncertainty with a derivative tracking SDE model and application to wind power forecast data

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