Andrew Bruce

A new method is proposed for forecasting electricity load-duration curves. The approach first for... more A new method is proposed for forecasting electricity load-duration curves. The approach first forecasts the load curve and then uses the resulting predictive densities to forecast the load-duration curve. A virtue of this procedure is that both load curves and load-duration curves can be predicted using the same model, and confidence intervals can be generated for both predictions. The procedure is applied to the problem of predicting New Zealand electricity consumption. A structural time-series model is used to forecast the load curve based on half-hourly data. The model is tailored to handle effects such as daylight savings, holidays and weekends, as well as trend, annual, weekly and daily cycles. Time-series methods, including Kalman filtering, smoothing and prediction, are used to fit the model and to achieve the desired forecasts of the load-duration curve.

WaveShrink: shrinkage functions and thresholds

SPIE Proceedings, 1995

Donoho and Johnstone's WaveShrink procedure has proven valuable for signal de-noising and non-par... more Donoho and Johnstone's WaveShrink procedure has proven valuable for signal de-noising and non-parametric regression. WaveShrink is based on the principle of shrinking wavelet coe cients towards zero to remove noise. WaveShrink has very broad asymptotic near-optimality properties. In this paper, we introduce a new shrinkage scheme, semisoft, which generalizes hard and soft shrinkage. We study the properties of the shrinkage functions, and demonstrate that semisoft shrinkage o ers advantages over both hard shrinkage (uniformly smaller risk and less sensitivity to small perturbations in the data) and soft shrinkage (smaller bias and overall L 2 risk). We also construct approximate pointwise con dence intervals for WaveShrink and address the problem of threshold selection.