Forecasting wind power – Modeling periodic and non-linear effects under conditional heteroscedasticity

By Florian Ziel, Carsten Croonenbroeck, Daniel Ambach. 2016

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In this article we present an approach that enables joint wind speed and wind power forecasts for a wind park. We combine a multivariate seasonal time varying threshold autoregressive moving average (TVARMA) model with a power threshold generalized autoregressive conditional heteroscedastic (power-TGARCH) model. The modeling framework incorporates diurnal and annual periodicity modeling by periodic B-splines, conditional heteroscedasticity and a complex autoregressive structure with non-linear impacts. In contrast to usually time-consuming estimation approaches as likelihood estimation, we apply a high-dimensional shrinkage technique. We utilize an iteratively re-weighted least absolute shrinkage and selection operator (lasso) technique. It allows for conditional heteroscedasticity, provides fast computing times and guarantees a parsimonious and regularized specification, even though the parameter space may be vast. We are able to show that our approach provides accurate forecasts of wind power at a turbine-specific level for forecasting horizons of up to 48h (short- to medium-term forecasts).

Subfields: Aerospace Engineering, Electrical and Electronic Engineering, Environmental Engineering

View Paper: https://www.semanticscholar.org/paper/7ae6347cc0136f8ad874db85c398dd5bbcbdd2bf