Evaluation of Nonparametric Probabilistic Forecasts of Wind Power |
| | Abstract | Predictions of wind power production for horizons up to 48-72 hour ahead comprise a highly valuable input to the methods for the daily management or trading of wind generation. Today, users of wind power predictions are not only provided with point predictions, which are estimates of the most likely outcome for each look-ahead time, but also with uncertainty estimates given by probabilistic forecasts. In order to avoid assumptions on the shape of predictive distributions, these probabilistic predictions are produced from nonparametric methods, and then take the form of a single or a set of quantile forecasts. The required and desirable properties of such probabilistic forecasts are defined and a framework for their evaluation is proposed. This framework is applied for evaluating the quality of two statistical methods producing full predictive distributions from point predictions of wind power. These distributions are defined by 18 quantile forecasts with nominal proportions spanning the unit interval. The relevance and interest of the introduced evaluation framework are consequently discussed. | | Keywords | wind power, uncertainty, probabilistic forecasting, quantile forecasts, quality evaluation, reliability, sharpness, resolution, skill | | Type | Technical report | | Year | 2007 | | Publisher | Informatics and Mathematical Modelling, Technical University of Denmark, DTU | | Address | Richard Petersens Plads, Building 321, DK-2800 Kgs. Lyngby | | Series | IMM-Technical Report-2007-02 | | Electronic version(s) | [pdf] | | BibTeX data | [bibtex] | | IMM Group(s) | Mathematical Statistics |
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