An Adaptive Functional Autoregressive Forecast Model to Predict Electricity Price Curves
用于电价曲线预测的自适应函数型自回归模型
We propose an adaptive functional autoregressive (AFAR) forecast model to predict electricity price curves. With time-varying operators, the AFAR model can be safely used in both stationary and nonstationary situations. A closed-form maximum likelihood (ML) estimator is derived under stationarity. The result is further extended for nonstationarity, where the time-dependent operators are adaptively estimated under local homogeneity. We provide theoretical results of the ML…