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  • Spiliotis_2019_Cross_temporal_aggregation__Improving_the_forecast_accuracy_of_hierarchical_electricity_consumption

    Rights statement: This is the author’s version of a work that was accepted for publication in Applied Energy. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Applied Energy, 261, 2020 DOI: 10.1016/j.apenergy.2019.114339

    Accepted author manuscript, 419 KB, PDF document

    Embargo ends: 21/12/20

    Available under license: CC BY-NC-ND

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Cross-temporal aggregation: Improving the forecast accuracy of hierarchical electricity consumption

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Article number114339
<mark>Journal publication date</mark>1/03/2020
<mark>Journal</mark>Applied Energy
Volume261
Number of pages12
Publication statusPublished
Early online date21/12/19
Original languageEnglish

Abstract

Achieving high accuracy in energy consumption forecasting is critical for improving energy management and planning. However, this requires the selection of appropriate forecasting models, able to capture the individual characteristics of the series to be predicted, which is a task that involves a lot of system and region level, not only the model selection problem is expanded to multiple time series, but we also require aggregation consistency of the forecasts across levels. Although hierarchical forecasting, such as the bottom-up, the top-down, and the optimal reconciliation methods, can address the aggregation consistency concerns, it does not resolve the model selection uncertainty. To address this issue, we rely on Multiple Temporal Aggregation (MTA), which has been shown to mitigate the model selection problem for low-frequency time series. We propose a modification of the Multiple Aggregation Prediction Algorithm, a special implementation of MTA, for high-frequency time series to better handle the undesirable effect of seasonality shrinkage that MTA implies and combine it with conventional cross-sectional hierarchical forecasting. The impact of incorporating temporal aggregation in hierarchical forecasting is empirically assessed using a real data set from five bank branches. We show that the proposed MTA approach, combined with the optimal reconciliation method, demonstrates superior accuracy, aggregation consistency, and reliable automatic forecasting.

Bibliographic note

This is the author’s version of a work that was accepted for publication in Applied Energy. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Applied Energy, 261, 2020 DOI: 10.1016/j.apenergy.2019.114339