Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.536591
Title: Techniques to improve forecasting models : applications to energy demand and price
Author: Nguyen, Thi Hang
Awarding Body: Aston University
Current Institution: Aston University
Date of Award: 2010
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Abstract:
This thesis is a study of three techniques to improve performance of some standard fore-casting models, application to the energy demand and prices. We focus on forecasting demand and price one-day ahead. First, the wavelet transform was used as a pre-processing procedure with two approaches: multicomponent-forecasts and direct-forecasts. We have empirically compared these approaches and found that the former consistently outperformed the latter. Second, adaptive models were introduced to continuously update model parameters in the testing period by combining ?lters with standard forecasting methods. Among these adaptive models, the adaptive LR-GARCH model was proposed for the fi?rst time in the thesis. Third, with regard to noise distributions of the dependent variables in the forecasting models, we used either Gaussian or Student-t distributions. This thesis proposed a novel algorithm to infer parameters of Student-t noise models. The method is an extension of earlier work for models that are linear in parameters to the non-linear multilayer perceptron. Therefore, the proposed method broadens the range of models that can use a Student-t noise distribution. Because these techniques cannot stand alone, they must be combined with prediction models to improve their performance. We combined these techniques with some standard forecasting models: multilayer perceptron, radial basis functions, linear regression, and linear regression with GARCH. These techniques and forecasting models were applied to two datasets from the UK energy markets: daily electricity demand (which is stationary) and gas forward prices (non-stationary). The results showed that these techniques provided good improvement to prediction performance.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.536591  DOI: Not available
Keywords: Engineering ; Electronic and Electrical Engineering
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