Data Improving in Time Series Using ARX and ANN Models
Institute of Electrical and Electronics Engineers (IEEE)
IEEE Transactions on Power Systems
Anomalous data can negatively impact energy forecasting by causing model parameters to be incorrectly estimated. This paper presents two approaches for the detection and imputation of anomalies in time series data. Autoregressive with exogenous inputs (ARX) and artificial neural network (ANN) models are used to extract the characteristics of time series. Anomalies are detected by performing hypothesis testing on the extrema of the residuals, and the anomalous data points are imputed using the ARX and ANN models. Because the anomalies affect the model coefficients, the data cleaning process is performed iteratively. The models are re-learned on “cleaner” data after an anomaly is imputed. The anomalous data are reimputed to each iteration using the updated ARX and ANN models. The ARX and ANN data cleaning models are evaluated on natural gas time series data. This paper demonstrates that the proposed approaches are able to identify and impute anomalous data points. Forecasting models learned on the unclean data and the cleaned data are tested on an uncleaned out-of-sample dataset. The forecasting model learned on the cleaned data outperforms the model learned on the unclean data with 1.67% improvement in the mean absolute percentage errors and a 32.8% improvement in the root mean squared error. Existing challenges include correctly identifying specific types of anomalies such as negative flows.