In this paper we assess the short-term forecasting power of different time series models in the electricity spot market. In particular we calibrate AR/ARX ("X" stands for exogenous/fundamental variable—system load in our study), AR/ARX-GARCH, TAR/TARX and Markov regime-switching models to...

Rainer Göb, Kristina Lurz and Antonio Pievatolo (hereinafter GLP) address a very important issue in power systems management—load forecasting. Generally, load forecasting is concerned with the accurate prediction of the electric load (or demand) for specific geographical locations and over...

In vielen Anwendungen ist es notwendig, die stochastische Schwankungen der maximalen Abweichungen der nichtparametrischen Schätzer von Quantil zu wissen, zB um die verschiedene parametrische Modelle zu überprüfen. Einheitliche Konfidenzbänder sind daher für nichtparametrische Quantil...