Short-term electricity price modeling and forecasting using wavelets and multivariate time series

TitleShort-term electricity price modeling and forecasting using wavelets and multivariate time series
Publication TypeConference Paper
Year of Publication2004
AuthorsXu, H., and T. Niimura
Conference NamePower Systems Conference and Exposition, 2004. IEEE PES
Pagination208 - 212 vol.1
Date Publishedoct.
Keywordsload data, multivariate time series, Pennsylvania-New Jersey-Maryland, power markets, pricing, short-term electricity price forecast, short-term electricity price modeling, spot market data, time series, wavelet coefficients, wavelet transform, wavelet transforms
Abstract

This work presents a new method to model and forecast the short-term electricity prices. The historical price and load data are first decomposed by wavelet transform, then multivariate time series is applied to model and forecast the wavelet coefficients of next day electricity price. The forecasted price is obtained by reconstructing the wavelet coefficients. The numerical examples of Pennsylvania-New Jersey-Maryland (PJM) spot market data are presented.

URLhttp://dx.doi.org/10.1109/PSCE.2004.1397570
DOI10.1109/PSCE.2004.1397570

a place of mind, The University of British Columbia

Electrical and Computer Engineering
2332 Main Mall
Vancouver, BC Canada V6T 1Z4
Tel +1.604.822.2872
Fax +1.604.822.5949
Email:

Emergency Procedures | Accessibility | Contact UBC | © Copyright 2020 The University of British Columbia