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Memorias de investigación
Artículos en revistas:
Multivariate exponential smoothing and dynamic factor model applied to hourly electricity price analysis
Año:2014
Áreas de investigación
  • Estadística
Datos
Descripción
Thanks to its very simple recursive computing scheme, exponential smoothing has become a popular technique to forecast time series. In this work we show the advantages of its multivariate version and present some properties of the model which allows us to perform a dynamic factor analysis. This analysis leads to a simple methodology to reduce the number of parameters (useful when the dimension of observations is large) via a linear transformation that decomposes the multivariate process into independent univariate exponential smoothing processes, characterized by a single smoothing parameter that goes from zero (white noise process) to one (random walk process). A computer implementation of the EM algorithm has been built for the maximum likelihood estimation of the models. The practicality of the method is demonstrated by its application to hourly electricity price predictions in some day-ahead markets, such as Omel, Powernext, and Nord Pool markets, whose forecasts are given as examples. This paper has supplementary material online.
Internacional
Si
JCR del ISI
Si
Título de la revista
Technometrics
ISSN
0040-1706
Factor de impacto JCR
1,424
Información de impacto
Datos JCR del año 2012
Volumen
--
DOI
10.1080/00401706.2013.860920
Número de revista
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Mes
SIN MES
Ranking
26/117 STATISTIC and PROBABILITY
Esta actividad pertenece a memorias de investigación
Participantes
  • Autor: Jaime Carpio Huertas (UPM)
  • Autor: Jesus Juan Ruiz (UPM)
  • Autor: Damián López (U. Politécnica de Cartagena)
Grupos de investigación, Departamentos, Centros e Institutos de I+D+i relacionados
  • Creador: Grupo de Investigación: Estadística computacional y Modelado estocástico
  • Departamento: Ingeniería Energética
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