Title: Short-Term Electricity Price Forecasting Based on ARMAX Model with Skewed Student-t Distribution
Abstract: The model of time series analysis with normal distribution fails to effectively address the skewness and heavy-tail of electricity spot price.With comprehensive consideration of the various modulating factors and the fluctuation rules of electricity spot price,a short-term electricity price forecasting method based on ARMAX model with skewed student-t distribu-tion is proposed in this paper,in which the skewness,heavy-t ail,multi-cycle of the spot price and nonlinear relationship withl oad can be fully taken into account.The numerical example based on the historical data of the PJM market shows that the method can reduce the computation load,lessen the estimated parameters.
Publication Year: 2011
Publication Date: 2011-01-01
Language: en
Type: article
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