The emphasis in this work is placed on generating space-time trajectories (also referred to as scenarios) of wind power generation. This calls for prediction of multivariate densities describing wind power generation at a number of distributed locations and for a number of successive lead times. A modelling approach taking advantage of sparsity of precision matrices is introduced for the description of the underlying space-time dependence structure. The proposed parametrization of the dependence structure accounts for such important process characteristics as non-constant conditional precisions and direction-dependent cross-correlations. Accounting for the space-time effects is shown to be crucial for generating high quality scenarios.
Wind energy; Scenarios; Trajectories; Space-time; Precision matrix; Directional CAR