The application discloses a kind of power spot market
electricity price prediction model establishment method, it is related to
electric power technical field.The application is by collecting the time-sharing
electricity price of day-ahead market, real-time market;Utilize similar day to fill in missing value, isolated forest
algorithm detects abnormal value;ARIMA
data model is constructed, and periodicity is captured Price;Reasonable correction is carried out to negative
electricity price prediction value, and prediction output is adjusted in combination with price upper limit, and probability prediction form provides
prediction interval;Setting prediction error early warning threshold, model is re-estimated every week, and the adaptability of model to
market change is maintained;The present application is based on the mature theoretical framework of
time series analysis, parameter has clear mathematical explanation, and complete "
white box" model, prediction process is explainable, each component can be separated and analyzed, non-stationarity of
electricity price sequence is effectively eliminated by difference
processing (d parameter), can adapt to the trend change and seasonal fluctuation of
electric power market price, especially good at modeling autocorrelation characteristics of
electricity price.