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Time series forecasting is currently used in various areas. Energy management is also one of the most prevalent application areas. As a matter of fact, energy suppliers and managers have to face with the energy mix problem. Electricity can be produced from fossil fuels, from nuclear energy, from bio-fuels or from renewable energy resources. Concerning electricity generation system based on solar irradiation, it is very important to know precisely the amount of electricity available for the different sources and at different horizons: minutes, hours, and days. Depending on the horizon, two main classes of methods can be used to forecast the solar irradiation: statistical time series forecasting methods for short to midterm horizons and numerical weather prediction methods for medium to long-term horizons. On this paper we focus only on statistical time series forecasting methods. The aim of this study is to assess if deep …