Cross-temporal aggregation:Improving the forecast accuracy of hierarchical electricity consumption

Spiliotis, Evangelos and Petropoulos, Fotios and Kourentzes, Nikolaos and Assimakopoulos, Vassilios (2020) Cross-temporal aggregation:Improving the forecast accuracy of hierarchical electricity consumption. Applied Energy, 261. ISSN 0306-2619

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Achieving high accuracy in energy consumption forecasting is critical for improving energy management and planning. However, this requires the selection of appropriate forecasting models, able to capture the individual characteristics of the series to be predicted, which is a task that involves a lot of system and region level, not only the model selection problem is expanded to multiple time series, but we also require aggregation consistency of the forecasts across levels. Although hierarchical forecasting, such as the bottom-up, the top-down, and the optimal reconciliation methods, can address the aggregation consistency concerns, it does not resolve the model selection uncertainty. To address this issue, we rely on Multiple Temporal Aggregation (MTA), which has been shown to mitigate the model selection problem for low-frequency time series. We propose a modification of the Multiple Aggregation Prediction Algorithm, a special implementation of MTA, for high-frequency time series to better handle the undesirable effect of seasonality shrinkage that MTA implies and combine it with conventional cross-sectional hierarchical forecasting. The impact of incorporating temporal aggregation in hierarchical forecasting is empirically assessed using a real data set from five bank branches. We show that the proposed MTA approach, combined with the optimal reconciliation method, demonstrates superior accuracy, aggregation consistency, and reliable automatic forecasting.

Item Type:
Journal Article
Journal or Publication Title:
Applied Energy
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This is the author’s version of a work that was accepted for publication in Applied Energy. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Applied Energy, 261, 2020 DOI: 10.1016/j.apenergy.2019.114339
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Deposited On:
07 Jan 2020 14:35
Last Modified:
07 May 2021 04:38