Análise do erro de previsão de vazões mensais com diferentes horizontes de previsão

Este trabalho aborda o problema de previsão para séries de vazões médias mensais, no qual denomina-se de horizonte de previsão (h), o intervalo de tempo que separa a última observação usada no ajuste do modelo de previsão e o valor futuro a ser previsto. A análise do erro de previsão é feita em função deste horizonte de previsão. Estas séries possuem um comportamento periódico na média, na variância e na função de autocorrelação. Portanto, considera-se a abordagem amplamente usada para a modelagem destas séries que consiste inicialmente em remover a periodicidade na média e na variância das séries de vazões e em seguida calcular uma série padronizada para a qual são ajustados modelos estocásticos. Neste estudo considera-se para a série padronizada os modelos autorregressivos periódicos PAR (p m). As ordens p m dos modelos ajustados para cada mês são determinadas usando os seguintes critérios: a análise clássica da função de autocorrelação parcial periódica (FACPPe); usando-se o Bayesian Information Criterion (BIC) proposto em (MecLeod, 1994); e com a análise da FACPPe proposta em (Stedinger, 2001). Os erros de previsão são calculados, na escala original da série de vazão, em função dos parâmetros dos modelos ajustados e avaliados para horizontes de previsão h variando de 1 a 12 meses. Estes erros são comparados com as estimativas das variâncias das vazões para o mês que está sendo previsto. Como resultado tem-se uma avaliação da capacidade de previsão, em meses, dos modelos ajustados para cada mês.

Improving photovoltaics grid integration through short time forecasting and self-consumption

The uncertainty associated to the forecast of photovoltaic generation is a major drawback for the widespread introduction of this technology into electricity grids. This uncertainty is a challenge in the design and operation of electrical systems that include photovoltaic generation. Demand-Side Management (DSM) techniques are widely used to modify energy consumption. If local photovoltaic generation is available, DSM techniques can use generation forecast to schedule the local consumption. On the other hand, local storage systems can be used to separate electricity availability from instantaneous generation; therefore, the effects of forecast error in the electrical system are reduced. The effects of uncertainty associated to the forecast of photovoltaic generation in a residential electrical system equipped with DSM techniques and a local storage system are analyzed in this paper. The study has been performed in a solar house that is able to displace a residential user?s load pattern, manage local storage and estimate forecasts of electricity generation. A series of real experiments and simulations have carried out on the house. The results of this experiments show that the use of Demand Side Management (DSM) and local storage reduces to 2% the uncertainty on the energy exchanged with the grid. In the case that the photovoltaic system would operate as a pure electricity generator feeding all generated electricity into grid, the uncertainty would raise to around 40%.

Impact of the Corporate Law Economic Reform Program Act 1999 on initial public offering prospectus earnings forecasts

Commencing 13 March 2000, the Corporate Law Economic Reform Program Act 1999 (Cth) introduced changes to the regulation of corporate fundraising in Australia. In particular, it effected a reduction in the litigation risk associated with initial public offering prospectus disclosure. We find that the change is associated with a reduction in forecast frequency and an increase in forecast value relevance, but not with forecast error or bias. These results confirm previous findings that changes in litigation risk affect the level but not the quality of disclosure. They also suggest that the reforms' objectives of reducing fundraising costs while improving investor protection, have been achieved.

Essays on mixed-frequency data : forecasting and unit root testing

Doutoramento em Economia

Forecast impact of targeted observations: sensitivity to observation error and proximity to steep orography

For a targeted observations case, the dependence of the size of the forecast impact on the targeted dropsonde observation error in the data assimilation is assessed. The targeted observations were made in the lee of Greenland; the dependence of the impact on the proximity of the observations to the Greenland coast is also investigated. Experiments were conducted using the Met Office Unified Model (MetUM), over a limited-area domain at 24-km grid spacing, with a four-dimensional variational data assimilation (4D-Var) scheme. Reducing the operational dropsonde observation errors by one-half increases the maximum forecast improvement from 5% to 7%–10%, measured in terms of total energy. However, the largest impact is seen by replacing two dropsondes on the Greenland coast with two farther from the steep orography; this increases the maximum forecast improvement from 5% to 18% for an 18-h forecast (using operational observation errors). Forecast degradation caused by two dropsonde observations on the Greenland coast is shown to arise from spreading of data by the background errors up the steep slope of Greenland. Removing boundary layer data from these dropsondes reduces the forecast degradation, but it is only a partial solution to this problem. Although only from one case study, these results suggest that observations positioned within a correlation length scale of steep orography may degrade the forecast through the anomalous upslope spreading of analysis increments along terrain-following model levels.

Adaptive learning in multiagent systems: a forecasting methodology based on error analysis

Electricity markets are complex environments, involving a large number of different entities, playing in a dynamic scene to obtain the best advantages and profits. MASCEM is a multi-agent electricity market simu-lator to model market players and simulate their operation in the market. Market players are entities with specific characteristics and objectives, making their decisions and interacting with other players. MASCEM pro-vides several dynamic strategies for agents’ behaviour. This paper presents a method that aims to provide market players strategic bidding capabilities, allowing them to obtain the higher possible gains out of the market. This method uses an auxiliary forecasting tool, e.g. an Artificial Neural Net-work, to predict the electricity market prices, and analyses its forecasting error patterns. Through the recognition of such patterns occurrence, the method predicts the expected error for the next forecast, and uses it to adapt the actual forecast. The goal is to approximate the forecast to the real value, reducing the forecasting error.

Quantitative market and sales forecast accuracy analysis

The main objective of this master’s thesis was to quantitatively study the reliability of market and sales forecasts of a certain company by measuring bias, precision and accuracy of these forecasts by comparing forecasts against actual values. Secondly, the differences of bias, precision and accuracy between markets were explained by various macroeconomic variables and market characteristics. Accuracy and precision of the forecasts seems to vary significantly depending on the market that is being forecasted, the variable that is being forecasted, the estimation period, the length of the estimated period, the forecast horizon and the granularity of the data. High inflation, low income level and high year-on-year market volatility seems to be related with higher annual market forecast uncertainty and high year-on-year sales volatility with higher sales forecast uncertainty. When quarterly market size is forecasted, correlation between macroeconomic variables and forecast errors reduces. Uncertainty of the sales forecasts cannot be explained with macroeconomic variables. Longer forecasts are more uncertain, shorter estimated period leads to higher uncertainty, and usually more recent market forecasts are less uncertain. Sales forecasts seem to be more uncertain than market forecasts, because they incorporate both market size and market share risks. When lead time is more than one year, forecast risk seems to grow as a function of root forecast horizon. When lead time is less than year, sequential error terms are typically correlated, and therefore forecast errors are trending or mean-reverting. The bias of forecasts seems to change in cycles, and therefore the future forecasts cannot be systematically adjusted with it. The MASE cannot be used to measure whether the forecast can anticipate year-on-year volatility. Instead, we constructed a new relative accuracy measure to cope with this particular situation.

Short-Term Load Forecast Of A Low Loadfactor Power System For Optimization Of Merit Order Dispatch Using Adaptive Learning Algorithm

Short term load forecasting is one of the key inputs to optimize the management of power system. Almost 60-65% of revenue expenditure of a distribution company is against power purchase. Cost of power depends on source of power. Hence any optimization strategy involves optimization in scheduling power from various sources. As the scheduling involves many technical and commercial considerations and constraints, the efficiency in scheduling depends on the accuracy of load forecast. Load forecasting is a topic much visited in research world and a number of papers using different techniques are already presented. The accuracy of forecast for the purpose of merit order dispatch decisions depends on the extent of the permissible variation in generation limits. For a system with low load factor, the peak and the off peak trough are prominent and the forecast should be able to identify these points to more accuracy rather than minimizing the error in the energy content. In this paper an attempt is made to apply Artificial Neural Network (ANN) with supervised learning based approach to make short term load forecasting for a power system with comparatively low load factor. Such power systems are usual in tropical areas with concentrated rainy season for a considerable period of the year

Using the R-MAPE index as a resistant measure of forecast accuracy

Resumen tomado de la publicación

Forecast calibration and combination: a simple Bayesian approach for ENSO

This study presents a new simple approach for combining empirical with raw (i.e., not bias corrected) coupled model ensemble forecasts in order to make more skillful interval forecasts of ENSO. A Bayesian normal model has been used to combine empirical and raw coupled model December SST Niño-3.4 index forecasts started at the end of the preceding July (5-month lead time). The empirical forecasts were obtained by linear regression between December and the preceding July Niño-3.4 index values over the period 1950–2001. Coupled model ensemble forecasts for the period 1987–99 were provided by ECMWF, as part of the Development of a European Multimodel Ensemble System for Seasonal to Interannual Prediction (DEMETER) project. Empirical and raw coupled model ensemble forecasts alone have similar mean absolute error forecast skill score, compared to climatological forecasts, of around 50% over the period 1987–99. The combined forecast gives an increased skill score of 74% and provides a well-calibrated and reliable estimate of forecast uncertainty.

Evaluating the ability of a numerical weather prediction model to forecast tracer concentrations during ETEX 2

In this paper the meteorological processes responsible for transporting tracer during the second ETEX (European Tracer EXperiment) release are determined using the UK Met Office Unified Model (UM). The UM predicted distribution of tracer is also compared with observations from the ETEX campaign. The dominant meteorological process is a warm conveyor belt which transports large amounts of tracer away from the surface up to a height of 4 km over a 36 h period. Convection is also an important process, transporting tracer to heights of up to 8 km. Potential sources of error when using an operational numerical weather prediction model to forecast air quality are also investigated. These potential sources of error include model dynamics, model resolution and model physics. In the UM a semi-Lagrangian monotonic advection scheme is used with cubic polynomial interpolation. This can predict unrealistic negative values of tracer which are subsequently set to zero, and hence results in an overprediction of tracer concentrations. In order to conserve mass in the UM tracer simulations it was necessary to include a flux corrected transport method. Model resolution can also affect the accuracy of predicted tracer distributions. Low resolution simulations (50 km grid length) were unable to resolve a change in wind direction observed during ETEX 2, this led to an error in the transport direction and hence an error in tracer distribution. High resolution simulations (12 km grid length) captured the change in wind direction and hence produced a tracer distribution that compared better with the observations. The representation of convective mixing was found to have a large effect on the vertical transport of tracer. Turning off the convective mixing parameterisation in the UM significantly reduced the vertical transport of tracer. Finally, air quality forecasts were found to be sensitive to the timing of synoptic scale features. Errors in the position of the cold front relative to the tracer release location of only 1 h resulted in changes in the predicted tracer concentrations that were of the same order of magnitude as the absolute tracer concentrations.

A new error measure for forecasts of household-level, high resolution electrical energy consumption

As low carbon technologies become more pervasive, distribution network operators are looking to support the expected changes in the demands on the low voltage networks through the smarter control of storage devices. Accurate forecasts of demand at the single household-level, or of small aggregations of households, can improve the peak demand reduction brought about through such devices by helping to plan the appropriate charging and discharging cycles. However, before such methods can be developed, validation measures are required which can assess the accuracy and usefulness of forecasts of volatile and noisy household-level demand. In this paper we introduce a new forecast verification error measure that reduces the so called “double penalty” effect, incurred by forecasts whose features are displaced in space or time, compared to traditional point-wise metrics, such as Mean Absolute Error and p-norms in general. The measure that we propose is based on finding a restricted permutation of the original forecast that minimises the point wise error, according to a given metric. We illustrate the advantages of our error measure using half-hourly domestic household electrical energy usage data recorded by smart meters and discuss the effect of the permutation restriction.

A 27 day persistence model of near-Earth solar wind conditions: a long lead-time forecast and a benchmark for dynamical models

Geomagnetic activity has long been known to exhibit approximately 27 day periodicity, resulting from solar wind structures repeating each solar rotation. Thus a very simple near-Earth solar wind forecast is 27 day persistence, wherein the near-Earth solar wind conditions today are assumed to be identical to those 27 days previously. Effective use of such a persistence model as a forecast tool, however, requires the performance and uncertainty to be fully characterized. The first half of this study determines which solar wind parameters can be reliably forecast by persistence and how the forecast skill varies with the solar cycle. The second half of the study shows how persistence can provide a useful benchmark for more sophisticated forecast schemes, namely physics-based numerical models. Point-by-point assessment methods, such as correlation and mean-square error, find persistence skill comparable to numerical models during solar minimum, despite the 27 day lead time of persistence forecasts, versus 2–5 days for numerical schemes. At solar maximum, however, the dynamic nature of the corona means 27 day persistence is no longer a good approximation and skill scores suggest persistence is out-performed by numerical models for almost all solar wind parameters. But point-by-point assessment techniques are not always a reliable indicator of usefulness as a forecast tool. An event-based assessment method, which focusses key solar wind structures, finds persistence to be the most valuable forecast throughout the solar cycle. This reiterates the fact that the means of assessing the “best” forecast model must be specifically tailored to its intended use.

Representation of model error in a convective-scale ensemble prediction system

In this paper ensembles of forecasts (of up to six hours) are studied from a convection-permitting model with a representation of model error due to unresolved processes. The ensemble prediction system (EPS) used is an experimental convection-permitting version of the UK Met Office’s 24- member Global and Regional Ensemble Prediction System (MOGREPS). The method of representing model error variability, which perturbs parameters within the model’s parameterisation schemes, has been modified and we investigate the impact of applying this scheme in different ways. These are: a control ensemble where all ensemble members have the same parameter values; an ensemble where the parameters are different between members, but fixed in time; and ensembles where the parameters are updated randomly every 30 or 60 min. The choice of parameters and their ranges of variability have been determined from expert opinion and parameter sensitivity tests. A case of frontal rain over the southern UK has been chosen, which has a multi-banded rainfall structure. The consequences of including model error variability in the case studied are mixed and are summarised as follows. The multiple banding, evident in the radar, is not captured for any single member. However, the single band is positioned in some members where a secondary band is present in the radar. This is found for all ensembles studied. Adding model error variability with fixed parameters in time does increase the ensemble spread for near-surface variables like wind and temperature, but can actually decrease the spread of the rainfall. Perturbing the parameters periodically throughout the forecast does not further increase the spread and exhibits “jumpiness” in the spread at times when the parameters are perturbed. Adding model error variability gives an improvement in forecast skill after the first 2–3 h of the forecast for near-surface temperature and relative humidity. For precipitation skill scores, adding model error variability has the effect of improving the skill in the first 1–2 h of the forecast, but then of reducing the skill after that. Complementary experiments were performed where the only difference between members was the set of parameter values (i.e. no initial condition variability). The resulting spread was found to be significantly less than the spread from initial condition variability alone.

Implications of model error for numerical climate prediction

Numerical climate models constitute the best available tools to tackle the problem of climate prediction. Two assumptions lie at the heart of their suitability: (1) a climate attractor exists, and (2) the numerical climate model's attractor lies on the actual climate attractor, or at least on the projection of the climate attractor on the model's phase space. In this contribution, the Lorenz '63 system is used both as a prototype system and as an imperfect model to investigate the implications of the second assumption. By comparing results drawn from the Lorenz '63 system and from numerical weather and climate models, the implications of using imperfect models for the prediction of weather and climate are discussed. It is shown that the imperfect model's orbit and the system's orbit are essentially different, purely due to model error and not to sensitivity to initial conditions. Furthermore, if a model is a perfect model, then the attractor, reconstructed by sampling a collection of initialised model orbits (forecast orbits), will be invariant to forecast lead time. This conclusion provides an alternative method for the assessment of climate models.