摘要
基于正态分布假设的时间序列分析模型不能有效地处理电价的有偏厚尾性,在对电力市场现货电价的影响因素和波动规律综合分析的基础上,提出了一种基于有偏学生t分布ARMAX模型的短期电价预测方法。该方法可同时考虑电价分布的有偏厚尾性、多重周期性及其与负荷之间的非线性相关性。对PJM电力市场历史数据的算例研究表明,该方法计算量小,待估参数少。
The model of time series analysis with normal distribution fails to effectively address the skewness and heavytail of electricity spot price. With comprehensive consideration of the various modulating factors and the fluctuation rules of electricity spot price, a short-term electricity price forecasting method based on ARMAX model with skewed student-t distribution is proposed in this paper, in which the skewness, heavytail multi-tycle of the spot price and nonlinear relationship with load can be fully taken into account. The numerical example based on the historical data of the PJM market shows that the method can reduce the computation load, lessen the estimated parameters.
出处
《电网与清洁能源》
2011年第2期19-23,27,共6页
Power System and Clean Energy
基金
河南省教育厅自然科学研究计划(2010B120002)
关键词
电价预测
ARMAX模型
有偏t分布
有偏厚尾
electricity price forecast
ARMAX model, skewedstudent-t distribution
skewness heavy-tail
