Predictive distributions that mimic frequencies over a restricted subdomain
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DOI: 10.1007/s10203-020-00281-z
Abstract: A predictive distribution over a sequence of $$N+1$$ N + 1 events is said to be “frequency mimicking” whenever the probability for the final event conditioned on the outcome of the first N events equals… read more here.
Keywords: frequency; frequencies restricted; frequency mimicking; distributions mimic ... See more keywords
Nonparametric predictive distributions based on conformal prediction
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DOI: 10.1007/s10994-018-5755-8
Abstract: This paper applies conformal prediction to derive predictive distributions that are valid under a nonparametric assumption. Namely, we introduce and explore predictive distribution functions that always satisfy a natural property of validity in terms of… read more here.
Keywords: conformal prediction; distributions based; based conformal; nonparametric predictive ... See more keywords
On the importance of the long-term seasonal component in day-ahead electricity price forecasting
Sign Up to like & getrecommendations! Published in 2019 at "Energy Economics"
DOI: 10.1016/j.eneco.2018.02.007
Abstract: A recent electricity price forecasting study has shown that the Seasonal Component AutoRegressive (SCAR) modeling framework, which consists of decomposing a series of spot prices into a trend-seasonal and a stochastic component, modeling them independently… read more here.
Keywords: seasonal component; price forecasting; predictive distributions; scar ... See more keywords