Open Conference Systems, 50th Scientific meeting of the Italian Statistical Society

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Filtering outliers in time series of electricity prices
Ilaria Lucrezia Amerise

Last modified: 2018-05-18


In this paper, we describe a tool for detecting outliers in electricity prices. The tool consists primarily of a filtering procedure (Whitaker smoother) that removes unpredictable effects and captures long-term smooth variations. In order to identify outliers, we compare the observed prices with smoothed ones. If the differencebetween the two exceeds a predetermined limit, the corresponding prices are considered anomalous and candidates for an appropriate statistical treatment. The new tool is compared with another method based on local regression.


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