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We study the problem of modelling high-dimensional, heavy-tailed time series data via a factor-adjusted vector autoregressive (VAR) model, which simultaneously accounts for pervasive co-movements of the variables by a handful of factors, as…
Short-term probabilistic wind power forecasting can provide critical quantified uncertainty information of wind generation for power system operation and control. As the complicated characteristics of wind power prediction error, it would…
The volatile nature of wind power generation creates challenges in achieving secure power grid operations. It is, therefore, necessary to make accurate wind power prediction and its uncertainty quantification. Wind power forecasting usually…
The reduced-rank vector autoregressive (VAR) model can be interpreted as a supervised factor model, where two factor modelings are simultaneously applied to response and predictor spaces. This article introduces a new model, called vector…
Analysis of multivariate time series is a common problem in areas like finance and economics. The classical tool for this purpose are vector autoregressive models. These however are limited to the modeling of linear and symmetric…
Many economic variables feature changes in their conditional mean and volatility, and Time Varying Vector Autoregressive Models are often used to handle such complexity in the data. Unfortunately, when the number of series grows, they…
Obtaining reliable estimates of conditional covariance matrices is an important task of heteroskedastic multivariate time series. In portfolio optimization and financial risk management, it is crucial to provide measures of uncertainty and…
Cointegration analysis is used to estimate the long-run equilibrium relations between several time series. The coefficients of these long-run equilibrium relations are the cointegrating vectors. In this paper, we provide a sparse estimator…
In this paper, the variable wind power is incorporated into the dynamic model for long-term stability analysis. A theory-based method is proposed for power systems with wind power to conduct long-term stability analysis, which is able to…
Photovoltaic and wind power forecasts in power systems with a high share of renewable energy are essential in several applications. These include stable grid operation, profitable power trading, and forward-looking system planning. However,…
In multivariate time series, the estimation of the covariance matrix of the observation innovations plays an important role in forecasting as it enables the computation of the standardized forecast error vectors as well as it enables the…
In the wind energy industry, it is of great importance to develop models that accurately forecast the power output of a wind turbine, as such predictions are used for wind farm location assessment or power pricing and bidding, monitoring,…
In this article we present an approach that enables joint wind speed and wind power forecasts for a wind park. We combine a multivariate seasonal time varying threshold autoregressive moving average (TVARMA) model with a power threshold…
With the expansion of renewables in the electricity mix, power grid variability will increase, hence a need to robustify the system to guarantee its security. Therefore, Transport System Operators (TSOs) must conduct analyses to simulate…
We present a regime-switching vector-autoregressive method for very-short-term wind speed forecasting at multiple locations with regimes based on large-scale meteorological phenomena. Statistical methods short-term wind forecasting…
We show that the mixed causal-noncausal Vector Autoregressive (VAR) processes satisfy the Markov property in both calendar and reverse time. Based on that property, we introduce closed-form formulas of forward and backward predictive…
Here we dispel the lingering myth that Partial Directed Coherence is a Vector Autoregressive (VAR) Modelling dependent concept. In fact, our examples show that it is spectral factorization that lies at its heart, for which VAR modelling is…
The paper makes a thermal predictive analysis of the electric power system security for a day ahead. This predictive analysis is set as a thermal computation of the expected security. This computation is obtained by cointegrating the daily…
We consider reduced-rank modeling of the white noise covariance matrix in a large dimensional vector autoregressive (VAR) model. We first propose the reduced-rank covariance estimator under the setting where independent observations are…
The heterogeneous autoregressive (HAR) model is revised by modeling the joint distribution of the four partial-volatility terms therein involved. Namely, today's, yesterday's, last week's and last month's volatility components. The joint…