Time series forecasting with applications in macroeconomics and energy
Keywords: Probabilistic modelling
Nonlinear and nonparametric methodologies
Short-term load forecasting
Conditional kernel density estimation
Rule-based forecasting

The aim of this study is to develop novel forecasting methodologies. The applications of our proposed models lie in two different areas: macroeconomics and energy. Though we consider two very different applications, the common underlying theme of this thesis is to develop novel methodologies that are not only accurate, but are also parsimonious.
For macroeconomic time series, we focus on generating forecasts for the US Gross National Product (GNP). The contribution of our study on macroeconomic forecasting lies in proposing a novel nonlinear and nonparametric method, called weighted random analogue prediction (WRAP) method. The out-of-sample forecasting ability of WRAP is evaluated by employing a range of different performance scores, which measure its accuracy in generating both point and density forecasts. We show that WRAP outperforms some of the most commonly used models for forecasting the GNP time series. For energy, we focus on two different applications: (1) Generating accurate short-term forecasts for the total electricity demand (load) for Great Britain. (2) Modelling Irish electricity smart meter data (consumption) for both residential consumers and small and medium-sized enterprises (SMEs), using methods based on kernel density (KD) and conditional kernel density (CKD) estimation.
To model load, we propose methods based on a commonly used statistical dimension reduction technique, called singular value decomposition (SVD). Specifically, we propose two novel methods, namely, discount weighted (DW) intraday and DW intraweek SVD-based exponential smoothing methods. We show that the proposed methods are competitive with some of the most commonly used models for load forecasting, and also lead to a substantial reduction in the dimension of the model.
The load time series exhibits a prominent intraday, intraweek and intrayear seasonality. However, most existing studies accommodate the ‘double seasonality’ while modelling short-term load, focussing only on the intraday and intraweek seasonal effects. The methods considered in this study accommodate the ‘triple seasonality’ in load, by capturing not only intraday and intraweek seasonal cycles, but also intrayear seasonality.
For modelling load, we also propose a novel rule-based approach, with emphasis on special days. The load observed on special days, e.g. public holidays, is substantially lower compared to load observed on normal working days. Special day effects have often been ignored during the modelling process, which leads to large forecast errors on special days, and also on normal working days that lie in the vicinity of special days. The contribution of this study lies in adapting some of the most commonly used seasonal methods to model load for both normal and special days in a coherent and unified framework, using a rule-based approach. We show that the post-sample error across special days for the rule-based methods are less than half, compared to their original counterparts that ignore special day effects.
For modelling electricity smart meter data, we investigate a range of different methods based on KD and CKD estimation. Over the coming decade, electricity smart meters are scheduled to replace the conventional electronic meters, in both US and Europe. Future estimates of consumption can help the consumer identify and reduce excess consumption, while such estimates can help the supplier devise innovative tariff strategies. To the best of our knowledge, there are no existing studies which focus on generating density forecasts of electricity consumption from smart meter data. In this study, we evaluate the density, quantile and point forecast accuracy of different methods across one thousand consumption time series, recorded from both residential consumers and SMEs. We show that the KD and CKD methods accommodate the seasonality in consumption, and correctly distinguish weekdays from weekends.
For each application, our comprehensive empirical comparison of the existing and proposed methods was undertaken using multiple performance scores. The results show strong potential for the models proposed in this thesis.