Wind power production data at temporal resolutions of a few minutes exhibits successive periods with fluctuations of various dynamic nature and magnitude, which cannot be explained (so far) by the evolution of some explanatory variable. Our proposal is to capture this regime-switching behaviour with an approach relying on Markov-Switching AutoRegressive (MSAR) models. An appropriate parameterization of the model coefficients is introduced, along with an adaptive estimation method allowing to accommodate long-term variations in the process characteristics. The objective criterion to be recursively optimized is based on penalized maximum-likelihood, with exponential forgetting of past observations. MSAR models are then employed for 1-step-ahead point forecasting of 10-minute resolution time-series of wind power at two large offshore wind farms. They are favourably compared against persistence and AutoRegressive (AR) models. It is finally shown that the main interest of MSAR models lies in their ability to generate interval/density forecasts of significantly higher skill.
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Technical University of Denmark, DTU Informatics, Building 321, 2009