Analysis and forecasting of electricity prices using an improved time series ensemble approach: an application to the Peruvian electricity market
In today's electricity markets, accurate electricity price forecasting provides valuable insights for decision-making among participants, ensuring reliable operation of the power system. However, the complex characteristics of electricity price time series hinder accessibility to accurate price...
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| Autores principales: | , , |
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| Formato: | Artículo |
| Lenguaje: | inglés |
| Publicado: |
2024
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| Acceso en línea: | Enlace permanente (DOI o Handle) Enlace permanente (DOI o Handle) |
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| _version_ | 1881508904991457280 |
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| author | Mancha Gonzales, Salvatore Iftikhar, Hasnain López Gonzales, Javier Linkolk |
| author_browse | Iftikhar, Hasnain López Gonzales, Javier Linkolk Mancha Gonzales, Salvatore |
| author_facet | Mancha Gonzales, Salvatore Iftikhar, Hasnain López Gonzales, Javier Linkolk |
| author_sort | Mancha Gonzales, Salvatore |
| collection | Producción científica |
| description | In today's electricity markets, accurate electricity price forecasting provides valuable insights for decision-making among participants, ensuring reliable operation of the power system. However, the complex characteristics of electricity price time series hinder accessibility to accurate price forecasting. This study addressed this challenge by introducing a novel approach to predicting prices in the Peruvian electricity market. This approach involved preprocessing the monthly electricity price time series by addressing missing values, stabilizing variance, normalizing data, achieving stationarity, and addressing seasonality issues. After this, six standard base models were employed to model the time series, followed by applying three ensemble models to forecast the filtered electricity price time series. Comparisons were conducted between the predicted and observed electricity prices using mean error accuracy measures, graphical evaluation, and an equal forecasting accuracy statistical test. The results showed that the proposed novel ensemble forecasting approach was an efficient and accurate tool for forecasting monthly electricity prices in the Peruvian electricity market. Moreover, the ensemble models outperformed the results of earlier studies. Finally, while numerous global studies have been conducted from various perspectives, no analysis has been undertaken using an ensemble learning approach to forecast electricity prices for the Peruvian electricity market. |
| format | Article |
| id | oai:cris.upeu.edu.pe:20.500.15037/420 |
| institution | UPeU |
| language | English |
| publishDate | 2024 |
| publishDateRange | 2024 |
| publishDateSort | 2024 |
| record_format | dspace |
| spelling | oai:cris.upeu.edu.pe:20.500.15037/4202026-10-30T16:14:37ZAnalysis and forecasting of electricity prices using an improved time series ensemble approach: an application to the Peruvian electricity marketMancha Gonzales, SalvatoreIftikhar, HasnainLópez Gonzales, Javier LinkolkResearch articlePeruvian electricity marketanalysis and forecasting electricity pricestime series modelsweighting ensemble modelinga novel time series ensemble approachIn today's electricity markets, accurate electricity price forecasting provides valuable insights for decision-making among participants, ensuring reliable operation of the power system. However, the complex characteristics of electricity price time series hinder accessibility to accurate price forecasting. This study addressed this challenge by introducing a novel approach to predicting prices in the Peruvian electricity market. This approach involved preprocessing the monthly electricity price time series by addressing missing values, stabilizing variance, normalizing data, achieving stationarity, and addressing seasonality issues. After this, six standard base models were employed to model the time series, followed by applying three ensemble models to forecast the filtered electricity price time series. Comparisons were conducted between the predicted and observed electricity prices using mean error accuracy measures, graphical evaluation, and an equal forecasting accuracy statistical test. The results showed that the proposed novel ensemble forecasting approach was an efficient and accurate tool for forecasting monthly electricity prices in the Peruvian electricity market. Moreover, the ensemble models outperformed the results of earlier studies. Finally, while numerous global studies have been conducted from various perspectives, no analysis has been undertaken using an ensemble learning approach to forecast electricity prices for the Peruvian electricity market.Articlehttps://doi.org/10.3934/math.2024106710.3934/math.20241067https://hdl.handle.net/20.500.15037/420W4400555014enAIMS Mathematics2473-69882024-01-012026-06-13T08:13:11Z2026-06-13T08:13:11Z |
| spellingShingle | Research article Peruvian electricity market analysis and forecasting electricity prices time series models weighting ensemble modeling a novel time series ensemble approach Mancha Gonzales, Salvatore Iftikhar, Hasnain López Gonzales, Javier Linkolk Analysis and forecasting of electricity prices using an improved time series ensemble approach: an application to the Peruvian electricity market |
| title | Analysis and forecasting of electricity prices using an improved time series ensemble approach: an application to the Peruvian electricity market |
| title_full | Analysis and forecasting of electricity prices using an improved time series ensemble approach: an application to the Peruvian electricity market |
| title_fullStr | Analysis and forecasting of electricity prices using an improved time series ensemble approach: an application to the Peruvian electricity market |
| title_full_unstemmed | Analysis and forecasting of electricity prices using an improved time series ensemble approach: an application to the Peruvian electricity market |
| title_short | Analysis and forecasting of electricity prices using an improved time series ensemble approach: an application to the Peruvian electricity market |
| title_sort | analysis and forecasting of electricity prices using an improved time series ensemble approach an application to the peruvian electricity market |
| topic | Research article Peruvian electricity market analysis and forecasting electricity prices time series models weighting ensemble modeling a novel time series ensemble approach |
| topic_facet | Research article Peruvian electricity market analysis and forecasting electricity prices time series models weighting ensemble modeling a novel time series ensemble approach |
| url | https://doi.org/10.3934/math.20241067 https://hdl.handle.net/20.500.15037/420 |
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