A statistical approach for interval forecasting of the electricity price

Jun Hua Zhao, Zhao Yang Dong, Zhao Xu, Kit Po Wong

Research output: Journal article publicationJournal articleAcademic researchpeer-review

152 Citations (Scopus)


Electricity price forecasting is a difficult yet essential task for market participants in a deregulated electricity market. Rather than forecasting the value, market participants are sometimes more interested in forecasting the prediction interval of the electricity price. Forecasting the prediction interval is essential for estimating the uncertainty involved in the price and thus is highly useful for making generation bidding strategies and investment decisions. In this paper, a novel data mining-based approach is proposed to achieve two major objectives: 1) to accurately forecast the value of the electricity price series, which is widely accepted as a nonlinear time series; 2) to accurately estimate the prediction interval of the electricity price series. In the proposed approach, support vector machine (SVM) is employed to forecast the value of the price. To forecast the prediction interval, we construct a statistical model by introducing a heteroscedastic variance equation for the SVM. Maximum likelihood estimation (MLE) is used to estimate model parameters. Results from the case studies on real-world price data prove that the proposed method is highly effective compared with existing methods such as GARCH models.
Original languageEnglish
Pages (from-to)267-276
Number of pages10
JournalIEEE Transactions on Power Systems
Issue number2
Publication statusPublished - 1 May 2008


  • Data mining
  • Electricity market price forecasting
  • Interval forecasting
  • Support vector machine

ASJC Scopus subject areas

  • Energy Engineering and Power Technology
  • Electrical and Electronic Engineering


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