Probabilistic Forecasting for Daily Electricity Loads and Quantiles for Curve-to-Curve Regression

Online seminar: Ying Chen (National University of Singapore)
Organisation
Econometrics
Start date

Thursday, 3 Dec 2020, 12:00

End date

Thursday, 3 Dec 2020, 13:00

Spoken Language
English

Probabilistic forecasting of electricity load curves is of fundamental importance for effective scheduling and decision making in the increasingly volatile and competitive energy markets.

We propose a novel approach to construct probabilistic predictors for curves (PPC), which leads to a natural and new definition of quantiles in the context of curve-to-curve linear regression. There are three types of PPC: a predict set, a predictive band and a predictive quantile, and all of them are defined at a pre-specified nominal probability level.

In the simulation study, the PPC achieve promising coverage probabilities under a variety of data generating mechanisms. When applying to one day ahead forecasting for the French daily electricity load curves, PPC outperform several state-of-the-art predictive methods in terms of forecasting accuracy, coverage rate and average length of the predictive bands. For example, PPC achieve up to 2.8-fold of the coverage rate with much smaller average length of the predictive bands.

The predictive quantile curves provide insightful information which is highly relevant to hedging risks in electricity supply management. This is a joint work with Xiuqin XuYannig Goude, and Qiwei Yao. The paper is available at https://arxiv.org/abs/2009.01595.

  • Logo Econometric Institute black

    About Ying Chen

    Dr. Ying Chen is a financial statistician and data scientist. She develops statistical modelling and machine learning methods customized for nonstationary, high frequency and large dimensional complex data such as cryptocurrency, limit order book, and renewable energy. She also works on business intelligence, forecasting, text mining and sentiment analysis, and network analysis.

    Dr. Chen is Associate Professor in Department of Mathematics and Joint Appointee in Risk Management Institute (1 July 2019 to 30 June 2021), National University of Singapore. She also holds Joint Appointment in Department of Statistics and Applied Probability (1 January 2019 to 31 December 2021), and Courtesy Appointment in Department of Economics (April 1, 2018 to March 31, 2021) at the National University of Singapore.

    She is also Faculty member in NUS Graduate School for Integrative Sciences and Engineering since July 2016. Dr. Chen is Associate Editor of 5 journals including Statistica Sinica (August 1, 2017 to July 31, 2020), Statistics and Its Interface, Computational Statistics, Digital Finance, and Journal of Operations Research and Decisions.

    She is ISI Elected Member since March 2016. She is Scientific Secretary (August 2017 to July 2019) and member of Executive Committee of the International Association for Statistical Computing (IASC) from July 2017 and Board of Director ordinary member of the Asian Regional Section (ARS) of IASC. She is regular member of the Advisory Board of Institute of Statistical Mathematics, Japan from 1 April 2018 to 31 March 2020.

Organisors

dr. (Maria) M Grith
dr. (Mikhail) M Zhelonkin
More information

Secretariat Econometrics
Phone: +31 (0)10 408 12 59/ 12 64
Email: eb-secr@ese.eur.nl