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电网技术  2010 

基于加权双高斯分布的广义自回归条件异方差边际电价预测模型

, PP. 139-144

Keywords: 系统边际电价,加权双高斯分布,广义自回归条件异方差,电价预测

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Abstract:

研究电力市场系统边际电价(systemmarginalprice,SMP)条件方差的变化规律及残差的统计分布特征,据此引入广义自回归条件异方差(generalizedauto-regressiveconditionalheteroskedasticity,GARCH)模型,并建立了基于加权双高斯(weigheddoubleGaussian,WDG)分布假设的GARCH模型(GARCH-WDG)对系统边际电价的变化规律进行研究。美国PJM市场和澳大利亚NSW市场的实际数据表明,GARCH模型对电价的估计和预测均有良好的效果,GARCH-WDG模型则进一步改善了GARCH模型的性能。

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