Hydrological time series forecasting play a crucial role in the Brazilian Power System since most of the power generated comes from hydroelectric power plants. A minor improvement in the predictive ability of water inflows time series might lead both to: (i) lower costs to final consumers; and (ii) higher power reliability. This paper explores Periodic Gamma Autoregressive Models (PGAR) to model brazilian water inflows time series. This type of time series has some features which seem to be more adaptable to Gamma models, like nonnegative random values and asymmetric pattern. The main purpose of this study is to compare periodic Normal and Lognormal models to PGAR. The results suggest that: (i) both Gamma and Lognormal models perform better than Normal model; and (ii) the Gamma model is a good alternative to the Lognormal model.
Accepté le :
DOI : 10.1051/ro/2016035
Mots-clés : Periodic gamma autoregressive models, time series analysis, water resources management
@article{RO_2017__51_2_469_0, author = {Braga, Diogo and Calmon, Wilson}, title = {Periodic {Gamma} {Autoregressive} {Model:} {An} application to the {Brazilian} hydroelectric system}, journal = {RAIRO - Operations Research - Recherche Op\'erationnelle}, pages = {469--483}, publisher = {EDP-Sciences}, volume = {51}, number = {2}, year = {2017}, doi = {10.1051/ro/2016035}, zbl = {1368.62299}, mrnumber = {3657435}, language = {en}, url = {http://www.numdam.org/articles/10.1051/ro/2016035/} }
TY - JOUR AU - Braga, Diogo AU - Calmon, Wilson TI - Periodic Gamma Autoregressive Model: An application to the Brazilian hydroelectric system JO - RAIRO - Operations Research - Recherche Opérationnelle PY - 2017 SP - 469 EP - 483 VL - 51 IS - 2 PB - EDP-Sciences UR - http://www.numdam.org/articles/10.1051/ro/2016035/ DO - 10.1051/ro/2016035 LA - en ID - RO_2017__51_2_469_0 ER -
%0 Journal Article %A Braga, Diogo %A Calmon, Wilson %T Periodic Gamma Autoregressive Model: An application to the Brazilian hydroelectric system %J RAIRO - Operations Research - Recherche Opérationnelle %D 2017 %P 469-483 %V 51 %N 2 %I EDP-Sciences %U http://www.numdam.org/articles/10.1051/ro/2016035/ %R 10.1051/ro/2016035 %G en %F RO_2017__51_2_469_0
Braga, Diogo; Calmon, Wilson. Periodic Gamma Autoregressive Model: An application to the Brazilian hydroelectric system. RAIRO - Operations Research - Recherche Opérationnelle, Tome 51 (2017) no. 2, pp. 469-483. doi : 10.1051/ro/2016035. http://www.numdam.org/articles/10.1051/ro/2016035/
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