Better modelling and forecasting of very short-term power fluctuations at large offshore wind farms may significantly enhance control and management strategies of their power output. The paper introduces a new methodology for modelling and forecasting such very short-term fluctuations. The proposed methodology is based on a Markov-switching autoregressive model with time-varying coefficients. An advantage of the method is that one can easily derive full predictive densities. The quality of this methodology is demonstrated from the test case of 2 large offshore wind farms in Denmark. The exercise consists in 1-step ahead forecasting exercise on time-series of wind generation with a time resolution of 10 minute. The quality of the introduced forecasting methodology and its interest for better understanding power fluctuations are finally discussed.
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