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.

An analysis of implied volatility jump dynamics: Novel functional data representation in crude oil markets

The predominant fear in capital markets is that of a price spike. Commodity markets differ in that there is a fear of both upward and down jumps, this results in implied volatility curves displaying distinct shapes when compared to equity markets. The use of a novel functional data analysis (FDA) approach, provides a framework to produce and interpret functional objects that characterise the underlying dynamics of oil future options. We use the FDA framework to examine implied volatility, jump risk, and pricing dynamics within crude oil markets. Examining a WTI crude oil sample for the 2007–2013 period, which includes the global financial crisis and the Arab Spring, strong evidence is found of converse jump dynamics during periods of demand and supply side weakness. This is used as a basis for an FDA-derived Merton (1976) jump diffusion optimised delta hedging strategy, which exhibits superior portfolio management results over traditional methods.

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.

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.

SETAR nonlinearity, nonstationarity and forecasting

Tese de dout., Métodos Quantitativos Aplicados à Economia e à Gestão, Faculdade de Economia, Universidade do Algarve, 2008

Application of WRF-Chem to Forecasting PM10 Concentration over Poland

The meteorological and chemical transport model WRF-Chem was implemented to forecast PM10 concentrations over Poland. WRF-Chem version 3.5 was configured with three one way nested domains using the GFS meteorological data and the TNO MACC II emissions. Forecasts, with 48h lead time, were run for a winter and summer period 2014. WRF-Chem in general captures the variability in observed PM10 concentrations, but underestimates some peak concentrations during winter-time. The peaks coincide with either stable atmospheric condition during nighttime in the lower part of the planetary boundary layer or on days with very low surface temperatures. Such episodes lead to increased combustion in residential heating, where hard coal is the main fuel in Poland. This suggests that a key to improvement in the model performance for the peak concentrations is to focus on the simulation of PBL processes and the distribution of emissions with high resolution in WRF-Chem.

Forecasting Methodologies for Ganoderma Spore Concentration Using Combined Statistical Approaches and Model Evaluations

High concentration levels of Ganoderma spp. spores were observed in Worcester, UK, during 2006–2010.These basidiospores are known to cause sensitization due to the allergen content and their small dimensions. This enables them to penetrate the lower part of the respiratory tract in humans. Establishment of a link between occurring symptoms of sensitization to Ganoderma spp. and other basidiospores is challenging due to lack of information regarding spore concentration in the air. Hence, aerobiological monitoring should be conducted, and if possible extended with the construction of forecast models. Daily mean concentration of allergenic Ganoderma spp. spores in the atmosphere of Worcester was measured using 7-day volumetric spore sampler through five consecutive years. The relationships between the presence of spores in the air and the weather parameters were examined. Forecast models were constructed for Ganoderma spp. spores using advanced statistical techniques, i.e. multivariate regression trees and artificial neural networks. Dew point temperature along with maximumtemperature was the most important factor influencing the presence of spores in the air of Worcester. Based on these two major factors and several others of lesser importance, thresholds for certain levels of fungal spore concentration, i.e. low (0–49 s m−3), moderate(50–99 s m−3), high (100–149 s m−3) and very high (150forecasting model, which was accurate (correlation between observed and predicted values varied from rs=0.57 to rs=0.68).

Forecasting overseas visitors into the United Kingdom using continuous time and autoregressive fractional integrated moving average models with discrete data

This paper applies Gaussian estimation methods to continuous time models for modelling overseas visitors into the UK. The use of continuous time modelling is widely used in economics and finance but not in tourism forecasting. Using monthly data for 1986–2010, various continuous time models are estimated and compared to autoregressive integrated moving average (ARIMA) and autoregressive fractionally integrated moving average (ARFIMA) models. Dynamic forecasts are obtained over different periods. The empirical results show that the ARIMA model performs very well, but that the constant elasticity of variance (CEV) continuous time model has the lowest root mean squared error (RMSE) over a short period.

Evaluating monthly volatility forecasts using proxies at different frequencies

This paper analyses the forecastability of stock returns monthly volatility. The forecast obtained from GARCH and AGARCH models with Normal and Student's t errors are evaluated with respect to proxies for the unobserved volatility obtained through sampling at different frequencies. It is found that aggregation of daily multi-step ahead GARCH-type forecasts provide rather accurate predictions of monthly volatility.