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Quantile regression for the qualifying match of GEFCom2017 probabilistic load forecasting

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  • Ziel, Florian

Abstract

We present a simple quantile regression-based forecasting method that was applied in the probabilistic load forecasting framework of the Global Energy Forecasting Competition 2017 (GEFCom2017). The hourly load data are log transformed and split into a long-term trend component and a remainder term. The key forecasting element is the quantile regression approach for the remainder term, which takes into account both weekly and annual seasonalities, such as their interactions. Temperature information is used only for stabilizing the forecast of the long-term trend component. Information on public holidays is ignored. However, the forecasting method still placed second in the open data track and fourth in the definite data track, which is remarkable given the simplicity of the model. The method also outperforms the Vanilla benchmark consistently.

Suggested Citation

  • Ziel, Florian, 2019. "Quantile regression for the qualifying match of GEFCom2017 probabilistic load forecasting," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1400-1408.
    • Handle: RePEc:eee:intfor:v:35:y:2019:i:4:p:1400-1408
    DOI: 10.1016/j.ijforecast.2018.07.004
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    References listed on IDEAS

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    1. Hong, Tao & Pinson, Pierre & Fan, Shu & Zareipour, Hamidreza & Troccoli, Alberto & Hyndman, Rob J., 2016. "Probabilistic energy forecasting: Global Energy Forecasting Competition 2014 and beyond," International Journal of Forecasting, Elsevier, vol. 32(3), pages 896-913.
    2. Ziel, Florian & Weron, Rafał, 2018. "Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks," Energy Economics, Elsevier, vol. 70(C), pages 396-420.
    3. Gaillard, Pierre & Goude, Yannig & Nedellec, Raphaël, 2016. "Additive models and robust aggregation for GEFCom2014 probabilistic electric load and electricity price forecasting," International Journal of Forecasting, Elsevier, vol. 32(3), pages 1038-1050.
    4. Ziel, Florian & Liu, Bidong, 2016. "Lasso estimation for GEFCom2014 probabilistic electric load forecasting," International Journal of Forecasting, Elsevier, vol. 32(3), pages 1029-1037.
    5. Ziel, Florian & Croonenbroeck, Carsten & Ambach, Daniel, 2016. "Forecasting wind power – Modeling periodic and non-linear effects under conditional heteroscedasticity," Applied Energy, Elsevier, vol. 177(C), pages 285-297.
    6. Maciejowska, Katarzyna & Nowotarski, Jakub, 2016. "A hybrid model for GEFCom2014 probabilistic electricity price forecasting," International Journal of Forecasting, Elsevier, vol. 32(3), pages 1051-1056.
    7. Haben, Stephen & Giasemidis, Georgios, 2016. "A hybrid model of kernel density estimation and quantile regression for GEFCom2014 probabilistic load forecasting," International Journal of Forecasting, Elsevier, vol. 32(3), pages 1017-1022.
    8. Souhaib Ben Taieb & James W. Taylor & Rob J. Hyndman, 2017. "Coherent Probabilistic Forecasts for Hierarchical Time Series," Monash Econometrics and Business Statistics Working Papers 3/17, Monash University, Department of Econometrics and Business Statistics.
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    Citations

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    Cited by:

    1. Monika Zimmermann & Florian Ziel, 2024. "Efficient mid-term forecasting of hourly electricity load using generalized additive models," Papers 2405.17070, arXiv.org.
    2. Xie, Xiangmin & Ding, Yuhao & Sun, Yuanyuan & Zhang, Zhisheng & Fan, Jianhua, 2024. "A novel time-series probabilistic forecasting method for multi-energy loads," Energy, Elsevier, vol. 306(C).
    3. Tomasz Serafin & Bartosz Uniejewski & Rafał Weron, 2019. "Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting," Energies, MDPI, vol. 12(13), pages 1-12, July.
    4. Mallen, Alex T. & Lange, Henning & Kutz, J. Nathan, 2024. "Deep Probabilistic Koopman: Long-term time-series forecasting under periodic uncertainties," International Journal of Forecasting, Elsevier, vol. 40(3), pages 859-868.
    5. Rostami-Tabar, Bahman & Ziel, Florian, 2022. "Anticipating special events in Emergency Department forecasting," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1197-1213.
    6. Jahns, Christopher & Stein, Tobias & Höckner, Jonas & Weber, Christoph, 2023. "Prevention of strategic behaviour in local flexibility markets using market monitoring – Concept, application example and limitations," Energy Policy, Elsevier, vol. 174(C).
    7. Florian Ziel, 2020. "Load Nowcasting: Predicting Actuals with Limited Data," Energies, MDPI, vol. 13(6), pages 1-15, March.
    8. Monika Zimmermann & Florian Ziel, 2024. "Spatial Weather, Socio-Economic and Political Risks in Probabilistic Load Forecasting," Papers 2408.00507, arXiv.org, revised Dec 2024.

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