电价预测及其价格钉分析.pdfVIP

中国科技论文在线 电价预测及其价格钉分析 胡建明，马开良，牛明飞** （兰州大学数学与统计学院，兰州730000 ） 5 摘要：对于电力系统，随着电力行业结构化改革，电价也变成所有市场参与者的重要信号并 且成为电力市场各种商业活动的焦点。由于电价的波动性，非平稳性等，现有单一模型难以 获得满意的预测精度，本文提出基于季节调整和ARMA 相结合的模型以期获得更好的预测 表现. 结果表明，相对于其他传统模型和未使用聚合经验模态分解的预测方法，所提方法能 10 够在电价预测方面取得更优的预测结果。另外，本文提出基于极大似然估计法的模型来估计 价格钉出现的可能性。此方法相对简单，但预测效果相对比较理想。 关键词：电价；价格钉；SARIMA；季节指数调整；预测。 中图分类号：TK-9 15 Prediction of electricity price and analysis of price spike HU Jianming, MA Kailiang, NIU Mingfei (School of Mathematics and Statistics, Lanzhou University, Lanzhou 730000) Abstract: For electric power system, along with the electric power industry restructuration, the electricity price becomes an important signal to all market participants and the focus of 20 commercial activities in electricity market. Because of the volatility and non-stationarity of price, the existing single model is difficult to obtain satisfactory forecasting precision; this paper presents empirical mode decomposition method based on aggregation, seasonal adjustment and ARMA combination model in order to obtain a better prediction performance. The results show that, compared with other traditional model and other forecasting methods without ensemble 25 empirical mode decomposition, the proposed method can achieve better prediction results in electricity price forecasting In addition, this paper puts forward the model based on maximum likelihood estimation method to estimate price spike occurrence. This method is relatively simple, but the prediction effect is relative ideal. Key words: ele