Adaptive modelling and forecasting of offshore wind power fluctuations with Markov-switching autoregressive models
Article first published online: 10 SEP 2010
Copyright © 2010 John Wiley & Sons, Ltd.
Journal of Forecasting
Volume 31, Issue 4, pages 281–313, July 2012
How to Cite
Pinson, P. and Madsen, H. (2012), Adaptive modelling and forecasting of offshore wind power fluctuations with Markov-switching autoregressive models. J. Forecast., 31: 281–313. doi: 10.1002/for.1194
- Issue published online: 11 MAY 2012
- Article first published online: 10 SEP 2010
- wind power forecasting;
- regime switching;
- adaptive estimation;
- point forecasting;
- interval forecasting
Wind power production data at temporal resolutions of a few minutes exhibit successive periods with fluctuations of various dynamic nature and magnitude, which cannot be explained (so far) by the evolution of some explanatory variable. Our proposal is to capture this regime-switching behaviour with an approach relying on Markov-switching autoregressive (MSAR) models. An appropriate parameterization of the model coefficients is introduced, along with an adaptive estimation method allowing accommodation of long-term variations in the process characteristics. The objective criterion to be recursively optimized is based on penalized maximum likelihood, with exponential forgetting of past observations. MSAR models are then employed for one-step-ahead point forecasting of 10 min resolution time series of wind power at two large offshore wind farms. They are favourably compared against persistence and autoregressive models. It is finally shown that the main interest of MSAR models lies in their ability to generate interval/density forecasts of significantly higher skill. Copyright © 2010 John Wiley & Sons, Ltd.