Bandwidth selection by cross-validation for forecasting long memory financial time series

The paper addresses the issue of choice of bandwidth in the application of semiparametric estimation of the long memory parameter in a univariate time series process. The focus is on the properties of forecasts from the long memory model. A variety of cross-validation methods based on out of sample forecasting properties are proposed. These procedures are used for the choice of bandwidth and subsequent model selection. Simulation evidence is presented that demonstrates the advantage of the proposed new methodology.

Validation of non‑stationary precipitation series for site‑specific impact assessment: comparison of two statistical downscaling techniques

Statistical downscaling (SD) methods have become a popular, low-cost and accessible means of bridging the gap between the coarse spatial resolution at which climate models output climate scenarios and the finer spatial scale at which impact modellers require these scenarios, with various different SD techniques used for a wide range of applications across the world. This paper compares the Generator for Point Climate Change (GPCC) model and the Statistical DownScaling Model (SDSM)—two contrasting SD methods—in terms of their ability to generate precipitation series under non-stationary conditions across ten contrasting global climates. The mean, maximum and a selection of distribution statistics as well as the cumulative frequencies of dry and wet spells for four different temporal resolutions were compared between the models and the observed series for a validation period. Results indicate that both methods can generate daily precipitation series that generally closely mirror observed series for a wide range of non-stationary climates. However, GPCC tends to overestimate higher precipitation amounts, whilst SDSM tends to underestimate these. This infers that GPCC is more likely to overestimate the effects of precipitation on a given impact sector, whilst SDSM is likely to underestimate the effects. GPCC performs better than SDSM in reproducing wet and dry day frequency, which is a key advantage for many impact sectors. Overall, the mixed performance of the two methods illustrates the importance of users performing a thorough validation in order to determine the influence of simulated precipitation on their chosen impact sector.

Hybrid probabilistic wind power forecasting using temporally local Gaussian process

The demand for sustainable development has resulted in a rapid growth in wind power worldwide. Despite various approaches have been proposed to improve the accuracy and to overcome the uncertainties associated with traditional methods, the stochastic and variable nature of wind still remains the most challenging issue in accurately forecasting wind power. This paper presents a hybrid deterministic-probabilistic method where a temporally local ‘moving window’ technique is used in Gaussian Process to examine estimated forecasting errors. This temporally local Gaussian Process employs less measurement data while faster and better predicts wind power at two wind farms, one in the USA and the other in Ireland. Statistical analysis on the results shows that the method can substantially reduce the forecasting error while more likely generate Gaussian-distributed residuals, particularly for short-term forecast horizons due to its capability to handle the time-varying characteristics of wind power.

A methodology to analyse the impact of offshore wind forecasting error on electricity markets

Currently wind power is dominated by onshore wind farms in the British Isles, but both the United Kingdom and the Republic of Ireland have high renewable energy targets, expected to come mostly from wind power. However, as the demand for wind power grows to ensure security of energy supply, as a potentially cheaper alternative to fossil fuels and to meet greenhouse gas emissions reduction targets offshore wind power will grow rapidly as the availability of suitable onshore sites decrease. However, wind is variable and stochastic by nature and thus difficult to schedule. In order to plan for these uncertainties market operators use wind forecasting tools, reserve plant and ancillary service agreements. Onshore wind power forecasting techniques have improved dramatically and continue to advance, but offshore wind power forecasting is more difficult due to limited datasets and knowledge. So as the amount of offshore wind power increases in the British Isles robust forecasting and planning techniques are even more critical. This paper presents a methodology to investigate the impacts of better offshore wind forecasting on the operation and management of the single wholesale electricity market in the Republic of Ireland and Northern Ireland using PLEXOS for Power Systems. © 2013 IEEE.

Special condition wind power forecasting based on Gaussian process and similar historical data

Due to the variability of wind power, it is imperative to accurately and timely forecast the wind generation to enhance the flexibility and reliability of the operation and control of real-time power. Special events such as ramps, spikes are hard to predict with traditional methods using solely recently measured data. In this paper, a new Gaussian Process model with hybrid training data taken from both the local time and historic dataset is proposed and applied to make short-term predictions from 10 minutes to one hour ahead. A key idea is that the similar pattern data in history are properly selected and embedded in Gaussian Process model to make predictions. The results of the proposed algorithms are compared to those of standard Gaussian Process model and the persistence model. It is shown that the proposed method not only reduces magnitude error but also phase error.

Electric vehicle capacity forecasting model with application to load levelling

There are many uncertainties in forecasting the charging and discharging capacity required by electric vehicles (EVs) often as a consequence of stochastic usage and intermittent travel. In terms of large-scale EV integration in future power networks this paper develops a capacity forecasting model which considers eight particular uncertainties in three categories. Using the model, a typical application of EVs to load levelling is presented and exemplified using a UK 2020 case study. The results presented in this paper demonstrate that the proposed model is accurate for charge and discharge prediction and a feasible basis for steady-state analysis required for large-scale EV integration.

Forecasting invasions: resource use by mussels informs invasion patterns along the South African coast

Invasive species are often more able to rapidly and efficiently utilise resources than natives, and comparing per capita resource use at different resource densities among invaders and trophically analogous natives could allow for reliable predictions of invasiveness. In South Africa, invasion by the Mediterranean mussel Mytilus galloprovincialis has transformed wave-exposed shores, negatively affecting native mussel species. Currently, South Africa is experiencing a second mussel invasion with the recent detection of the South American Semimytilus algosus. We tested per capita uptake of an algal resource by invading M. galloprovincialis, S. algosus, and the native Aulacomya atra at different algal concentrations and temperatures, representing the west and south coasts of South Africa, to examine whether their per capita resource use could be a predictor of their spread and subsequent invasiveness. Regardless of temperature, M. galloprovincialis was the most efficient consumer, significantly reducing algal cells compared to the other species when the resource was presented in both low and high starting densities. Furthermore, these findings aligned with a greater biomass of M. galloprovincialis on the shore in comparison with the other species. Resource use by the new invader S. algosus was dependent on the density of resource and, although this species was efficient at low algal concentrations at cooler temperatures, this pattern broke down at higher algal densities. This was once more reflected in lower biomass in surveys of this species along the cool west coast. We therefore forecast that S. algosus will be become established along the south coast; however, we also predict that M. galloprovincialis will maintain dominance on these shores.

Building sandstone surface modification by biofilm and iron precipitation: emerging block-scale heterogeneity and system response

Stone surfaces are sensitive to their environment. This means that they will often respond to exposure conditions by manifesting a change in surface characteristics. Such changes can be more than simply aesthetic, creating surface/subsurface heterogeneity in stone at the block scale, promoting stress gradients to be set up as surface response to, for example, temperature fluctuations, can diverge from subsurface response. This paper reports preliminary experiments investigating the potential of biofilms and iron precipitation as surface-modifiers on stone, exploring the idea of block-scale surface-to-depth heterogeneity, and investigating how physical alteration in the surface and near-surface zone can have implications for subsurface response and potentially for long-term decay patterns. Salt weathering simulations on fresh and surface-modified stone suggest that even subtle surface modification can have significant implications for moisture uptake and retention, salt concentration and distribution from surface to depth, over the period of the experimental run. The accumulation of salt may increase the retention of moisture, by modifying vapour pressure differentials and the rate of evaporation.
Temperature fluctuation experiments suggest that the presence of a biofilm can have an impact on energy transfer processes that occur at the stone surface (for example, buffering against temperature fluctuation), affecting surface-to-depth stress gradients. Ultimately, fresh and surface-modified blocks mask different kinds of system, which respond to inputs differently because of different storage mechanisms, encouraging divergent behaviour between fresh and surface modified stone over time.

The Baltic Dry Index: cyclicalities, forecasting and hedging strategies

The cyclical properties of the Baltic Dry Index (BDI) and their implications for forecasting performance are investigated. We find that changes in the BDI can lead to permanent shocks to trade of major exporting economies. In our forecasting exercise, we show that commodities and trigonometric regression can lead to improved predictions and then use our forecasting results to perform an investment exercise and to show how they can be used for improved risk management in the freight sector.