Title: Design of a non-linear time series prediction model for daily electricity demand forecasting

Authors: S. Uma; A. Chitra; J. Suganthi

Addresses: Department of Computer Science and Engineering, Karpagam College of Engineering, Coimbatore 641032, Tamil Nadu, India ' Department of Computer Science and Engineering, PSG College of Technology, Peelamedu, Coimbatore 641004, Tamil Nadu, India ' Department of Computer Science and Engineering, Hindusthan College of Engineering and Technology, Coimbatore, 641032, Tamil Nadu, India

Abstract: Non-linear time series prediction has been a challenging task and important area of research in all branches of science and technology. Though several techniques are used for the pattern prediction problem, identifying unknown, valid information such as patterns and relationships from large time series databases is difficult, due to the presence of noise and high dimensionality. Hence a mathematical model is proposed to provide an effective solution for non-linear time series prediction. The advantage of this model is in handling noise and high dimensionality. The experimental comparison of the proposed model with traditional models like auto regressive integrated moving average (ARIMA) and generalised auto regressive conditional heteroskedastic (GARCH) models on different time series datasets has proved that the prediction accuracy of the proposed model is better than the models taken for comparison. In this paper, the comparison results in forecasting the electricity power demand is discussed.

Keywords: time series prediction; demand forecasting; generalised auto regressive conditional heteroskedastic; GARCH; auto regressive integrated moving average; ARIMA; nonlinear modelling; daily electricity demand.

DOI: 10.1504/IJBIR.2013.053633

International Journal of Business Innovation and Research, 2013 Vol.7 No.3, pp.298 - 317

Published online: 27 Dec 2013 *

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