Predictive Densities for Day-Ahead Electricity Prices Using Time-Adaptive Quantile Regression

• Published in: Energies (Basel) Vol. 7; no. 9; pp. 5523 - 5547
• Main Authors: Jónsson, Tryggvi, Pinson, Pierre, Madsen, Henrik, Nielsen, Henrik
• Format: Journal Article
• Language: English
• Published: Basel MDPI AG 01.09.2014
• Subjects: Alternative energy sources; density forecasting; Electricity; electricity prices; Forecasting; non-stationarity; quantile regression; Stochastic models; stochastic processes; Denmark

A large part of the decision-making problems actors of the power system are facing on a daily basis requires scenarios for day-ahead electricity market prices. These scenarios are most likely to be generated based on marginal predictive densities for such prices, then enhanced with a temporal depend...