Title :
EM estimation of multivariate dynamic models for predicting electricity prices
Author :
López, Damián ; Juan, Jesus ; Carpio, Jaime
Author_Institution :
Univ. Politec. de Madrid, Madrid, Spain
Abstract :
In order to make short-term predictions of electricity prices, linear dynamic models in their state-space formulation have been studied. A computer implementation of the EM (Expectation - Maximization) algorithm has been made for maximum likelihood estimation for a Multivariate EWMA model, (exponentially smoothing). In this approach the problem includes a large number of parameters to be estimated as we have implemented the possibility of eliminating superfluous parameters. Finally, we present the results of the hourly spot price forecasts in Powernext, Nord Pool and OMEL markets.
Keywords :
expectation-maximisation algorithm; power markets; pricing; Nord Pool markets; OMEL markets; Powernext markets; electricity prices prediction; expectation-maximization algorithm; exponentially smoothing; linear dynamic models; maximum likelihood estimation; multivariate EWMA model; multivariate dynamic models; state-space formulation; Biological system modeling; Electricity; Predictive models; Forecasting; moving average processes; state space methods; time series;
Conference_Titel :
Energy Market (EEM), 2010 7th International Conference on the European
Conference_Location :
Madrid
Print_ISBN :
978-1-4244-6838-6
DOI :
10.1109/EEM.2010.5558693