Day-ahead electricity price forecasting using the wavelet transform and ARIMA models

被引：644
作者：
Conejo, AJ [1 ]
Plazas, MA
Espínola, R
Molina, AB
机构：
[1] Univ Castilla La Mancha, Dept Elect Engn, E-13071 Ciudad Real, Spain
[2] Union Fenosa Generac, Madrid, Spain
来源：
IEEE TRANSACTIONS ON POWER SYSTEMS | 2005年 / 20卷 / 02期
关键词：
ARIMA models; electricity market; price forecasting; wavelet transform;
D O I：
10.1109/TPWRS.2005.846054
中图分类号：
TM [电工技术]; TN [电子技术、通信技术];
学科分类号：
0808 ; 0809 ;
摘要：
This paper proposes a novel technique to forecast day-ahead electricity prices based on the wavelet transform and ARIEM models. The historical and usually ill-behaved price series is decomposed using the wavelet transform in a set of better-behaved constitutive series. Then, the future values of these constitutive series are forecast using properly fitted ARIMA models. In turn, the ARIMA forecasts allow, through the inverse wavelet transform, reconstructing the future behavior of the price series and therefore to forecast prices. Results from the electricity market of mainland Spain in year 2002 are reported.
引用
收藏
页码：1035 / 1042
页数：8
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