Bayesian Hierarchical Probabilistic Forecasting of Intraday Electricity Prices

arXiv:2403.05441v1 Announce Type: cross
Abstract: We present a first study of Bayesian forecasting of electricity prices traded on the German continuous intraday market which fully incorporates parameter uncertainty. Our target variable is the IDFull price index, forecasts are given in terms of posterior predictive distributions. For validation we use the exceedingly volatile electricity prices of 2022, which have hardly been the subject of forecasting studies before. As a benchmark model, we use all available intraday transactions at the time of …

abstract arxiv bayesian continuous cs.lg electricity forecasting german hierarchical index market posterior predictive price stat.ap study terms type uncertainty validation