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Title: | Avaliação da capacidade preditiva de modelos ARIMA e VAR-VEC: o caso da demanda por energia elétrica no Rio Grande do Sul |
Other Titles: | Evaluation of the predictive capacity of ARIMA and VAR-VEC models: the case of electricity demand in Rio Grande do Sul |
Keywords: | Séries temporais Modelo Box-Jenkins Modelo de vetores autorregressivos Modelo de correção de erros vetoriais Time series Box-Jenkins model Autoregressive vector model Error correction vector model |
Issue Date: | 2022 |
Publisher: | Universidade Nove de Julho (UNINOVE) |
Citation: | NUNES, G. dos S. et al. Avaliação da capacidade preditiva de modelos ARIMA e VAR-VEC: o caso da demanda por energia elétrica no Rio Grande do Sul. Exacta, [S.l.], v. 20, n. 2, p. 307-335, abr./jun. 2022. DOI: 10.5585/exactaep.2021.17357. |
Abstract: | This paper presents the modelling of electricity demand in State of Rio Grande do Sul for the three main consumer sectors: residential, commercial and industrial, through the autoregressive vector model, complemented by the error correction vector model. In this approach, we also considered information regarding energy tariff, GDP, appliances and electrical material and equipment prices. The predictive capacity of all fitted models was compared to the Box-Jenkins framework, specifically, with the autoregressive integrated moving average (ARIMA) models. All models were fitted using data from 1971 to 2010, and their validation were performed from 2011 up to 2017. In general, for all three consumer sections, the best predictive capacity was returned by the ARIMA models. Nevertheless, the other models performed better on one-step-ahead predictions. |
URI: | http://repositorio.ufla.br/jspui/handle/1/54372 |
Appears in Collections: | DES - Artigos publicados em periódicos |
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ARTIGO_Avaliação da capacidade preditiva de modelos ARIMA e VAR-VEC o caso da demanda por energia elétrica no Rio Grande do Sul.pdf | 1,08 MB | Adobe PDF | View/Open |
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