Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx
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We extend the neural basis expansion analysis (NBEATS) to incorporate exogenous factors. The resulting method, called NBEATSx, improves on a well performing deep learning model, extending its capabilities by including exogenous variables and allowing it to integrate multiple sources of useful information. To showcase the utility of the NBEATSx model, we conduct a comprehensive study of its application to electricity price forecasting (EPF) tasks across a broad range of years and markets. We observe state-of-the-art performance, significantly improving the forecast accuracy by nearly 20 the original NBEATS model, and by up to 5 statistical and machine learning methods specialized for these tasks. Additionally, the proposed neural network has an interpretable configuration that can structurally decompose time series, visualizing the relative impact of trend and seasonal components and revealing the modeled processes' interactions with exogenous factors.
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