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Construction of an informative hierarchical prior for a small sample with the help of historical data and application to electricity load forecasting

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  • Tristan Launay
  • Anne Philippe
  • Sophie Lamarche

Abstract

We are interested in the estimation and prediction of a parametric model on a short dataset upon which it is expected to overfit and perform badly. To overcome the lack of data (relatively to the dimension of the model), we propose the construction of an informative hierarchical Bayesian prior based on another longer dataset which is assumed to share some similarities with the original, short dataset. We illustrate the performance of our prior on simulated datasets from two standard models. We then apply the methodology to a working model for the electricity load forecasting on real datasets, where it leads to a substantial improvement of the quality of the predictions. Copyright Sociedad de Estadística e Investigación Operativa 2015

Suggested Citation

  • Tristan Launay & Anne Philippe & Sophie Lamarche, 2015. "Construction of an informative hierarchical prior for a small sample with the help of historical data and application to electricity load forecasting," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(2), pages 361-385, June.
    • Handle: RePEc:spr:testjl:v:24:y:2015:i:2:p:361-385
    DOI: 10.1007/s11749-014-0416-0
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    References listed on IDEAS

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    1. Ramanathan, Ramu & Engle, Robert & Granger, Clive W. J. & Vahid-Araghi, Farshid & Brace, Casey, 1997. "Shorte-run forecasts of electricity loads and peaks," International Journal of Forecasting, Elsevier, vol. 13(2), pages 161-174, June.
    2. Dordonnat, V. & Koopman, S.J. & Ooms, M. & Dessertaine, A. & Collet, J., 2008. "An hourly periodic state space model for modelling French national electricity load," International Journal of Forecasting, Elsevier, vol. 24(4), pages 566-587.
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    5. J W Taylor, 2003. "Short-term electricity demand forecasting using double seasonal exponential smoothing," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 54(8), pages 799-805, August.
    6. Hyndman, Rob J. & Khandakar, Yeasmin, 2008. "Automatic Time Series Forecasting: The forecast Package for R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 27(i03).
    7. Smith, Michael, 2000. "Modeling and Short-term Forecasting of New South Wales Electricity System Load," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(4), pages 465-478, October.
    8. repec:dau:papers:123456789/1908 is not listed on IDEAS
    9. Soares, Lacir J. & Medeiros, Marcelo C., 2008. "Modeling and forecasting short-term electricity load: A comparison of methods with an application to Brazilian data," International Journal of Forecasting, Elsevier, vol. 24(4), pages 630-644.
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    Cited by:

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