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构建了一种日前市场时段电价矢量自回归(VAR)模型,并对时段电价之间的影响进行了分析。该模型较好地表示了日前市场的独特规则,即同时确定次日所有时段电价。以澳大利亚新南威尔士2007年数据为基础,通过增广的迪基—福勒检验和Box-PierceQ统计量检验,说明了电价VAR模型的适用性;利用Granger-因果检验和脉冲响应方法,获得了一些有用的结果:在构建时段电价模型时,忽略任何时段电价都会引起预测精度的下降,而各个时段电价之间的影响则互不相同,影响最大的是峰负荷时段的电价,最容易受到其他时段影响的是低谷时段的电价。
This paper constructs a VAR model of day-ahead electricity price, and analyzes the influence of electricity price in different time periods. The model better represents the unique rules of the market so far, that is, to determine the price of electricity for all hours of the next day. Based on 2007 data from New South Wales, Australia, the applicability of the VAR model for electricity prices is illustrated by the augmented Dickey-Fowler test and the Box-PierceQ statistical test. Using the Granger causality test and impulse response method, Some useful results: When constructing the electricity price model, neglecting the price of electricity at any time will lead to the decrease of the forecasting accuracy, while the impact of electricity price will be different from time to time. The most influential factor is the electricity price during the peak load period, which is the most vulnerable to other The impact of the period is the trough period of electricity prices.