Abstract

Electricity price forecasting (EPF) is a branch of energy forecasting on the interface between econometrics/statistics and engineering, which focuses on predicting the spot and forward prices in wholesale electricity markets. Over the last 25 years, a variety of methods and ideas have been tried, with varying degrees of success. In this chapter we offer a tutorial review of EPF with an emphasis on models and forecast evaluation techniques for point, probabilistic, and ensemble predictions.