Journal article

Bayesian density forecasting of intraday electricity prices using multivariate skew t distributions

Anastasios Panagiotelis, Michael Smith

INTERNATIONAL JOURNAL OF FORECASTING | ELSEVIER | Published : 2008

Abstract

Electricity spot prices exhibit strong time series properties, including substantial periodicity, both inter-day and intraday serial correlation, heavy tails and skewness. In this paper we capture these characteristics using a first order vector autoregressive model with exogenous effects and a skew t distributed disturbance. The vector is longitudinal, in that it comprises observations on the spot price at intervals during a day. A band two inverse scale matrix is employed for the disturbance, as well as a sparse autoregressive coefficient matrix. This corresponds to a parsimonious dependency structure that directly relates an observation to the two immediately prior, and the observation at..

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University of Melbourne Researchers