LAPSE:2019.0130
Published Article
LAPSE:2019.0130
Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting
January 7, 2019
In day-ahead electricity price forecasting (EPF) variable selection is a crucial issue. Conducting an empirical study involving state-of-the-art parsimonious expert models as benchmarks, datasets from three major power markets and five classes of automated selection and shrinkage procedures (single-step elimination, stepwise regression, ridge regression, lasso and elastic nets), we show that using the latter two classes can bring significant accuracy gains compared to commonly-used EPF models. In particular, one of the elastic nets, a class that has not been considered in EPF before, stands out as the best performing model overall.
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Keywords
autoregression, day-ahead market, elastic net, electricity price forecasting, lasso, ridge regression, stepwise regression, variable selection
Subject
Suggested Citation
Uniejewski B, Nowotarski J, Weron R. Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting. (2019). LAPSE:2019.0130
Author Affiliations
Uniejewski B: Department of Operations Research, Wrocław University of Technology, 50-370 Wrocław, Poland
Nowotarski J: Department of Operations Research, Wrocław University of Technology, 50-370 Wrocław, Poland
Weron R: Department of Operations Research, Wrocław University of Technology, 50-370 Wrocław, Poland
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Nowotarski J: Department of Operations Research, Wrocław University of Technology, 50-370 Wrocław, Poland
Weron R: Department of Operations Research, Wrocław University of Technology, 50-370 Wrocław, Poland
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Journal Name
Energies
Volume
9
Issue
8
Article Number
E621
Year
2016
Publication Date
2016-08-05
Published Version
ISSN
1996-1073
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Original Submission
Other Meta
PII: en9080621, Publication Type: Journal Article
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Published Article
LAPSE:2019.0130
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doi:10.3390/en9080621
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[v1] (Original Submission)
Jan 7, 2019
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Jan 7, 2019
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https://psecommunity.org/LAPSE:2019.0130
Original Submitter
Calvin Tsay
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