Abstract. Reliable forecasting of wind power generation is crucial to optimal control of costs in generation of electricity with respect to the electricity demand. Here, we propose and analyze stochastic wind power forecast models described by parametrized stochastic differential equations, which introduce appropriate fluctuations in numerical forecast outputs. We use an approximate maximum likelihood method to infer the model parameters taking into account the time correlated sets of data. Furthermore, we study the validity and sensitivity of the parameters for each model. We applied our models to Uruguayan wind power production as determined by historical data and corresponding numerical forecasts for the period of March 1 to May 31, 2016.

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The limiting distributions of statistics used to test hypotheses about parameters on the boundary of their domains may provide very poor approximations to the finite‐sample behaviour of these statistics, even for very large samples. We review theoretical work on this problem, describe hard and soft boundaries and iceberg estimators, and give examples highlighting how the limiting results greatly underestimate the probability that the parameter lies on its boundary even in very large samples. We propose and evaluate some simple remedies for this difficulty based on normal approximation for the profile score function, and then outline how higher order approximations yield excellent results in a range of hard and soft boundary examples. We use the approach to develop an accurate test for the need for a spline component in a linear mixed model.