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Statistical Analysis and Modeling for Detecting Regime Changes in Gas Nomination Time Series

In: Operations Research Proceedings 2021

Author

Listed:
  • Milena Petkovic

    (Zuse Institute Berlin)

  • Nazgul Zakiyeva

    (Zuse Institute Berlin)

  • Janina Zittel

    (Zuse Institute Berlin)

Abstract

As a result of the legislation for gas markets introduced by the European Union in 2005, separate independent companies have to conduct the transport and trading of natural gas. The current gas market of Germany, which has a market value of more than 54 billion USD, consists of Transmission System Operators (TSO), network users, and traders. Traders can nominate a certain amount of gas anytime and anywhere in the network. Such unrestricted access for the traders, on the other hand, increase the uncertainty in the gas supply management. Some customers’ behaviors may cause abrupt structural changes in gas flow time series. In particular, it is a challenging task for the TSO operators to predict gas nominations 6 to 10 h-ahead. In our study, we aim to investigate the regime changes in time series of nominations to predict the 6 to 10 h-ahead of gas nominations.

Suggested Citation

  • Milena Petkovic & Nazgul Zakiyeva & Janina Zittel, 2022. "Statistical Analysis and Modeling for Detecting Regime Changes in Gas Nomination Time Series," Lecture Notes in Operations Research, in: Norbert Trautmann & Mario Gnägi (ed.), Operations Research Proceedings 2021, pages 188-193, Springer.
    • Handle: RePEc:spr:lnopch:978-3-031-08623-6_29
    DOI: 10.1007/978-3-031-08623-6_29
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