Physical Sciences and Mathematics Commons^™

A Comparison Of Periodic Autoregressive And Dynamic Factor Models In Intraday Energy Demand Forecasting, Thomas Mestekemper, Goeran Kauermann, Michael Smith

Michael Stanley Smith

We suggest a new approach for forecasting energy demand at an intraday resolution. Demand in each intraday period is modeled using semiparametric regression smoothing to account for calendar and weather components. Residual serial dependence is captured by one of two multivariate stationary time series models, with dimension equal to the number of intraday periods. These are a periodic autoregression and a dynamic factor model. We show the benefits of our approach in the forecasting of district heating demand in a steam network in Germany and aggregate electricity demand in the state of Victoria, Australia. In both studies, accounting for weather …