Short term price forecasting in deregulated electricity markets: A review of statistical models and key issues

Purpose – Several research papers related to electricity price forecasting have been reported in the leading journals in last 20 years. The purpose of this paper is to present a comprehensive survey and comparison of these techniques.Design/methodology/approach – The present article provides an overview of the statistical short‐term price forecasting (STPF) models. The basic theory of these models, their further classification and their suitability to STPF has been discussed. Quantitative evaluation of the performance of these models in the framework of accuracy achieved and computation time taken has been performed. Some important observations of the literature survey and key issues regarding STPF methodologies are analyzed.Findings – It has been observed that price forecasting accuracy of the reported models in day‐ahead markets is better as compared to that in real time markets. From a comparative analysis perspective, there is no hard evidence of out‐performance of one model over all other models on a...

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