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Probabilistic wind speed forecasting using Bayesian model averaging with truncated normal components

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  • Baran, Sándor

Abstract

Bayesian model averaging (BMA) is a statistical method for post-processing forecast ensembles of atmospheric variables, obtained from multiple runs of numerical weather prediction models, in order to create calibrated predictive probability density functions (PDFs). The BMA predictive PDF of the future weather quantity is the mixture of the individual PDFs corresponding to the ensemble members and the weights and model parameters are estimated using forecast ensembles and validating observations from a given training period. A BMA model for calibrating wind speed forecasts is introduced using truncated normal distributions as conditional PDFs and the method is applied to the ALADIN-HUNEPS ensemble of the Hungarian Meteorological Service and to the University of Washington Mesoscale Ensemble. Three parameter estimation methods are proposed and each of the corresponding models outperforms the traditional gamma BMA model both in calibration and in accuracy of predictions.

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  • Baran, Sándor, 2014. "Probabilistic wind speed forecasting using Bayesian model averaging with truncated normal components," Computational Statistics & Data Analysis, Elsevier, vol. 75(C), pages 227-238.
    • Handle: RePEc:eee:csdana:v:75:y:2014:i:c:p:227-238
    DOI: 10.1016/j.csda.2014.02.013
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    1. Thordis L. Thorarinsdottir & Tilmann Gneiting, 2010. "Probabilistic forecasts of wind speed: ensemble model output statistics by using heteroscedastic censored regression," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 173(2), pages 371-388, April.
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    Cited by:

    1. Hu, Jianming & Wang, Jianzhou, 2015. "Short-term wind speed prediction using empirical wavelet transform and Gaussian process regression," Energy, Elsevier, vol. 93(P2), pages 1456-1466.
    2. Zhao, Jing & Guo, Zhenhai & Guo, Yanling & Lin, Wantao & Zhu, Wenjin, 2021. "A self-organizing forecast of day-ahead wind speed: Selective ensemble strategy based on numerical weather predictions," Energy, Elsevier, vol. 218(C).
    3. Li, Chaoshun & Xiao, Zhengguang & Xia, Xin & Zou, Wen & Zhang, Chu, 2018. "A hybrid model based on synchronous optimisation for multi-step short-term wind speed forecasting," Applied Energy, Elsevier, vol. 215(C), pages 131-144.
    4. Błażejowski, Marcin & Kwiatkowski, Jacek, 2015. "Bayesian Model Averaging and Jointness Measures for gretl," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 68(i05).
    5. Wang, Jianzhou & Hu, Jianming, 2015. "A robust combination approach for short-term wind speed forecasting and analysis – Combination of the ARIMA (Autoregressive Integrated Moving Average), ELM (Extreme Learning Machine), SVM (Support Vec," Energy, Elsevier, vol. 93(P1), pages 41-56.
    6. Bettina Grün & Paul Hofmarcher, 2021. "Identifying groups of determinants in Bayesian model averaging using Dirichlet process clustering," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(3), pages 1018-1045, September.
    7. Sungwon Kim & Meysam Alizamir & Nam Won Kim & Ozgur Kisi, 2020. "Bayesian Model Averaging: A Unique Model Enhancing Forecasting Accuracy for Daily Streamflow Based on Different Antecedent Time Series," Sustainability, MDPI, vol. 12(22), pages 1-22, November.
    8. Liu, Guangbiao & Zhou, Jianzhong & Jia, Benjun & He, Feifei & Yang, Yuqi & Sun, Na, 2019. "Advance short-term wind energy quality assessment based on instantaneous standard deviation and variogram of wind speed by a hybrid method," Applied Energy, Elsevier, vol. 238(C), pages 643-667.
    9. Lei Zhang & Lun Xie & Qinkai Han & Zhiliang Wang & Chen Huang, 2020. "Probability Density Forecasting of Wind Speed Based on Quantile Regression and Kernel Density Estimation," Energies, MDPI, vol. 13(22), pages 1-24, November.
    10. Liu, Hui & Tian, Hongqi & Liang, Xifeng & Li, Yanfei, 2015. "New wind speed forecasting approaches using fast ensemble empirical model decomposition, genetic algorithm, Mind Evolutionary Algorithm and Artificial Neural Networks," Renewable Energy, Elsevier, vol. 83(C), pages 1066-1075.
    11. Wang, Xiaoqian & Hyndman, Rob J. & Li, Feng & Kang, Yanfei, 2023. "Forecast combinations: An over 50-year review," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1518-1547.
    12. Peter Tankov & Laura Tinsi, 2021. "Decision making with dynamic probabilistic forecasts," Papers 2106.16047, arXiv.org.
    13. Sebastian Lerch & Sándor Baran, 2017. "Similarity-based semilocal estimation of post-processing models," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 66(1), pages 29-51, January.

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