Exponential smoothing methods do not involve a formal procedure for identifying the underlying data generating process. The issue is then whether prediction intervals should be estimated by a theoretical approach, with the assumption that the method is optimal in some sense, or by an empirical...

This paper uses minute-by-minute British electricity demand observations to evaluate methods for prediction between 10 and 30 minutes ahead. Such very short lead times are important for the real-time scheduling of electricity generation. We consider methods designed to capture both the...