Short-run electricity load forecasting with combinations of stationary wavelet transforms

- Day-ahead forecast of electricity load is performed in the French wholesale Market.
- The aggregate load is decomposed in subseries with stationary wavelet transforms.
- New boundary treatments are proposed for the wavelet decomposition.
- Combining forecasts including the wavelet predictions beats individual predictors.

Short-term forecasting of electricity load is an essential issue for the management of power systems and for energy trading. Specific modeling approaches are needed given the strong seasonality and volatility in load data. In this paper, we investigate the benefit of combining stationary wavelet transforms to produce one day-ahead forecasts of half-hourly electric load in France. First, we assess the advantage of decomposing the aggregate load into several subseries with a wavelet transform. Each component is predicted separately and aggregated to get the final forecast. One innovation of this paper is to propose several approaches to deal with the boundary problem which is particularly detrimental in electricity load forecasting. Second, we examine the benefit of combining forecasts over individual models. An extensive out-of-sample evaluation shows that a careful treatment of the border effect is required in the multiresolution analysis. Combinations including the wavelet predictions provide the most accurate forecasts. This result is valid with several assumptions about the forecast error in temperature and for different types of hours (peak, normal, off-peak), different days of the week and various forecasting periods.