A New High-Dimensional Time Series Approach for Wind Speed, Wind Direction and Air Pressure Forecasting

TL;DR

This paper introduces a novel high-dimensional multivariate time series model combining TVARX and TARCHX with LASSO for joint short-term forecasting of wind speed, direction, and air pressure, improving accuracy and computational efficiency.

Contribution

It develops a new high-dimensional approach integrating TVARX and TARCHX models with LASSO for joint wind variable forecasting, addressing heteroscedasticity and interactions.

Findings

Accurate short-term forecasts for wind speed, direction, and air pressure.

Effective prediction intervals up to twenty-four hours.

Fast computation due to high-dimensional shrinkage technique.

Abstract

Many wind speed forecasting approaches have been proposed in literature. In this paper a new statistical approach for jointly predicting wind speed, wind direction and air pressure is introduced. The wind direction and the air pressure are important to extend the forecasting accuracy of wind speed forecasts. A good forecast for the wind direction helps to bring the turbine into the predominant wind direction. We combine a multivariate seasonal time varying threshold autoregressive model with interactions (TVARX) with a threshold seasonal autoregressive conditional heteroscedastic (TARCHX) model. The model includes periodicity, conditional heteroscedasticity, interactions of different dependent variables and a complex autoregressive structure with non-linear impacts. In contrast to ordinary likelihood estimation approaches, we apply a high-dimensional shrinkage technique instead of a distributional assumption for the dependent variables. The iteratively re-weighted least absolute shrinkage and selection operator (LASSO) method allows to capture conditional heteroscedasticity and a comparatively fast computing time. The proposed approach yields accurate predictions of wind speed, wind direction and air pressure for a short-term period. Prediction intervals up to twenty-four hours are presented.