Using conditional kernel density estimation for wind power density forecasting

Of the various renewable energy resources, wind power is widely recognized as one of the most promising. The management of wind farms and electricity systems can benefit greatly from the availability of estimates of the probability distribution of wind power generation. However, most research has focused on point forecasting of wind power. In this paper, we develop an approach to producing density forecasts for the wind power generated at individual wind farms. Our interest is in intraday data and prediction from 1 to 72 hours ahead. We model wind power in terms of wind speed and wind direction. In this framework, there are two key uncertainties. First, there is the inherent uncertainty in wind speed and direction, and we model this using a bivariate VARMA-GARCH (vector autoregressive moving average-generalized autoregressive conditional heteroscedastic) model, with a Student t distribution, in the Cartesian space of wind speed and direction. Second, there is the stochastic nature of the relationship of wind power to wind speed (described by the power curve), and to wind direction. We model this using conditional kernel density (CKD) estimation, which enables a nonparametric modeling of the conditional density of wind power. Using Monte Carlo simulation of the VARMA-GARCH model and CKD estimation, density forecasts of wind speed and direction are converted to wind power density forecasts. Our work is novel in several respects: previous wind power studies have not modeled a stochastic power curve; to accommodate time evolution in the power curve, we incorporate a time decay factor within the CKD method; and the CKD method is conditional on a density, rather than a single value. The new approach is evaluated using datasets from four Greek wind farms

Assessing spatiotemporal correlations from data for short-term traffic prediction using multi-task learning

Traffic flow prediction is a fundamental problem for efficient transportation control and management. However, most current data-driven traffic prediction work found in the literature have focused on predicting traffic from an individual task perspective, and have not fully leveraged the implicit knowledge present in a road-network through space and time correlations. Such correlations are now far easier to isolate due to the recent profusion of traffic data sources and more specifically their wide geographic spread. In this paper, we take a multi-task learning (MTL) approach whose fundamental aim is to improve the generalization performance by leveraging the domain-specific information contained in related tasks that are jointly learned. In addition, another common factor found in the literature is that a historical dataset is used for the calibration and the assessment of the proposed approach, without dealing in any explicit or implicit way with the frequent challenges found in real-time prediction. In contrast, we adopt a different approach which faces this problem from a point of view of streams of data, and thus the learning procedure is undertaken online, giving greater importance to the most recent data, making data-driven decisions online, and undoing decisions which are no longer optimal. In the experiments presented we achieve a more compact and consistent knowledge in the form of rules automatically extracted from data, while maintaining or even improving, in some cases, the performance over single-task learning (STL).Peer ReviewedPostprint (published version

Large Vector Auto Regressions

One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and financial variables, which has been shown to lead to significant improvements for forecasting, for example, by the dynamic factor models. A challenging issue is to determine which variables and (their) lags are relevant, especially when there is a mixture of serial correlation (temporal dynamics), high dimensional (spatial) dependence structure and moderate sample size (relative to dimensionality and lags). To this end, an \textit{integrated} solution that addresses these three challenges simultaneously is appealing. We study the large vector auto regressions here with three types of estimates. We treat each variable's own lags different from other variables' lags, distinguish various lags over time, and is able to select the variables and lags simultaneously. We first show the consequences of using Lasso type estimate directly for time series without considering the temporal dependence. In contrast, our proposed method can still produce an estimate as efficient as an \textit{oracle} under such scenarios. The tuning parameters are chosen via a data driven "rolling scheme" method to optimize the forecasting performance. A macroeconomic and financial forecasting problem is considered to illustrate its superiority over existing estimators

Foreign Exchange Rate Effect on International Gaming Demand: An examination from an Upscale Las Vegas Casino

Las Vegas has developed into one of the world’s top tourist destinations, and the international market has become a vital stream of the city’s revenue. The objective of this study was to understand the foreign exchange rate as a determinant for international gaming demand in the Las Vegas gaming industry. This study applied the econometric modeling method of panel data analysis to secondary data originated from a Las Vegas Strip casino property. This study attempted to validate the foreign exchange effect through empirical investigation. Results of this study showed that foreign exchange rate has an impact on international gaming demand