Stealing Accuracy: Predicting Day-ahead Electricity Prices with Temporal Hierarchy Forecasting (THieF)
利用时间层级预测提高日前电价预测精度:THieF
We introduce the concept of temporal hierarchy forecasting (THieF) in predicting day-ahead electricity prices and show that reconciling forecasts for hourly products and 2- to 24-hour blocks can significantly (up to 13%) improve accuracy at all levels. These results remain consistent throughout a challenging 4-year test period (2021-2024) in the German and Spanish power markets and across model architectures, including linear regression, shallow feedforward neural networks,…