An improved ARIMA approach on electricity price forecasting with confidence interval

In the power market,electricity price has become the focus of attention of market participants.Accurate price forecast for all participants can provide important reference.As there are a lot of ways for price forecasting,this paper improves the existing theory of ARIMA model.On the basis of the current ARIMA price forecasting model,it uses run-length test to determine the sequence of price stability and the AIC criterion to determine the order of ARMA model.In the error forecasting,with an estimated range of statistical theory,this paper gives a confidence interval of the electricity price forecasting to better determine the sequence of the upper and lower price for power generations' bid for reference.