Short-Term Forecasting of Electricity Demand

In this blog I will use a modified exponential smoothing method called TBATS (which is an acronym for Trigonometric, Box-Cox Transformation, ARMA Errors, Trend and Seasonality) model for short-term electricity demand forecasting. This is a new approach published by De Livera et al. in the Journal of American Statistical Association. The article contains intricate mathematical details. The data for the analysis is available from the website of Independent Electricity System Operator which is responsible for power distribution in Ontario Canada. The original dataset comprised hourly demand time series from 2002 until 2014.