Explanatory Information Analysis for Day-Ahead Price Forecasting in the Iberian Electricity Market
AbstractThis paper presents the analysis of the importance of a set of explanatory (input) variables for the day-ahead price forecast in the Iberian Electricity Market (MIBEL). The available input variables include extensive hourly time series records of weather forecasts, previous prices, and regional aggregation of power generations and power demands. The paper presents the comparisons of the forecasting results achieved with a model which includes all these available input variables (EMPF model) with respect to those obtained by other forecasting models containing a reduced set of input variables. These comparisons identify the most important variables for forecasting purposes. In addition, a novel Reference Explanatory Model for Price Estimations (REMPE) that achieves hourly price estimations by using actual power generations and power demands of such day is described in the paper, which offers the lowest limit for the forecasting error of the EMPF model. All the models have been implemented using the same technique (artificial neural networks) and have been satisfactorily applied to the real-world case study of the Iberian Electricity Market (MIBEL). The relative importance of each explanatory variable is identified for the day-ahead price forecasts in the MIBEL. The comparisons also allow outlining guidelines of the value of the different types of input information. View Full-Text
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Monteiro, C.; Fernandez-Jimenez, L.A.; Ramirez-Rosado, I.J. Explanatory Information Analysis for Day-Ahead Price Forecasting in the Iberian Electricity Market. Energies 2015, 8, 10464-10486.
Monteiro C, Fernandez-Jimenez LA, Ramirez-Rosado IJ. Explanatory Information Analysis for Day-Ahead Price Forecasting in the Iberian Electricity Market. Energies. 2015; 8(9):10464-10486.Chicago/Turabian Style
Monteiro, Claudio; Fernandez-Jimenez, L. A.; Ramirez-Rosado, Ignacio J. 2015. "Explanatory Information Analysis for Day-Ahead Price Forecasting in the Iberian Electricity Market." Energies 8, no. 9: 10464-10486.