Short-term electricity price forecasting considering heavy-tailed features

The model of time series analysis with normal distribution can not effectively deal with the heavy-tail features of electricity spot price. With comprehensive consideration of the various influencing factors and the fluctuation rules of the electricity spot price, a short-term electricity price forecasting model based on the time series analysis ARMAX is proposed, in which the heavy-tail features, multicycle properties and non-linear relationship among load and spot price can be fully taken into account. The numerical example based on the historical data of the PJM market shows that the model can hold less computational cost, parsimonious scale of estimated parameters and high practical application value.