Assessing energy forecasting inaccuracy by simultaneously considering temporal and absolute errors. (15th June 2017) - Frías-Paredes, Laura
Highlights: A new method to match time series is defined to assess energy forecasting accuracy. This method relies in a new family of step patterns that optimizes the MAE. A new definition of the Temporal Distortion Index between two series is provided. A parametric extension controls both the temporal distortion index and the MAE. Pareto optimal transformations of the forecast series are obtained for both indexes. Abstract: Recent years have seen a growing trend in wind and solar energy generation globally and it is expected that an important percentage of total energy production comes from these energy sources. However, they present inherent variability that implies fluctuations in energy generation that are difficult to forecast. Thus, forecasting errors have a considerable role in the impacts and costs of renewable energy integration, management, and commercialization. This study presents an important advance in the task of analyzing prediction models, in particular, in the timing component of prediction error, which improves previous pioneering results. A new method to match time series is defined in order to assess energy forecasting accuracy. This method relies on a new family of step patterns, an essential component of the algorithm to evaluate the temporal distortion index (TDI). This family minimizes the mean absolute error (MAE) of the transformation with respect to the reference series (the real energy series) and also allows detailed control of the temporal distortion entailed in the prediction series. The simultaneous consideration of temporal and absolute errors allows the use of Pareto frontiers as characteristic error curves. Real examples of wind energy forecasts are used to illustrate the results.