Quantile combination for the EEM Wind Power Forecasting Competition

Browell, Jethro and Gilbert, Ciaran and Tawn, Rosemary and May, Leo; (2020) Quantile combination for the EEM Wind Power Forecasting Competition. In: 2020 17th International Conference on the European Energy Market (EEM). IEEE, Piscataway, NJ.. ISBN 9781728169200 (https://doi.org/10.1109/EEM49802.2020.9221942)

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Combining forecasts is an established strategy for improving predictions and is employed here to produce probabilistic forecasts of regional wind power production in Sweden, finishing in second place in the EEM20 Wind Power Forecasting Competition. We combine quantile forecasts from two models with different characteristics: a ‘discrete’ tree-based model and ‘smooth’ generalised additive model. Quantiles are combined via linear weighting and the resulting combination is superior than both constituent forecasts in all four regions considered.