[HTML][HTML] Multivariate probabilistic crps learning with an application to day-ahead electricity prices
J Berrisch, F Ziel - International Journal of Forecasting, 2024 - Elsevier
This paper presents a new method for combining (or aggregating or ensembling)
multivariate probabilistic forecasts, considering dependencies between quantiles and …
multivariate probabilistic forecasts, considering dependencies between quantiles and …
[HTML][HTML] Bayesian hierarchical probabilistic forecasting of intraday electricity prices
D Nickelsen, G Müller - Applied Energy, 2025 - Elsevier
We address the need for forecasting methodologies that handle large uncertainties in
electricity prices for continuous intraday markets by incorporating parameter uncertainty and …
electricity prices for continuous intraday markets by incorporating parameter uncertainty and …
[HTML][HTML] Multivariate probabilistic forecasting of electricity prices with trading applications
This study extends recently introduced neural networks approach, based on a regularized
distributional multilayer perceptron (DMLP) technique for a multivariate case electricity price …
distributional multilayer perceptron (DMLP) technique for a multivariate case electricity price …
ReModels: Quantile Regression Averaging models
G Zakrzewski, K Skonieczka, M Małkiński… - arXiv preprint arXiv …, 2024 - arxiv.org
Electricity price forecasts play a crucial role in making key business decisions within the
electricity markets. A focal point in this domain are probabilistic predictions, which delineate …
electricity markets. A focal point in this domain are probabilistic predictions, which delineate …