Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting

Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting

The recent developments in combining point forecasts of day-ahead electricity prices across calibration windows have provided an extremely simple, yet a very efficient tool for improving predictive accuracy. Here, we consider two novel extensions of this concept to probabilistic forecasting: one bas...

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Bibliographic Details
Main Authors: Tomasz Serafin, Bartosz Uniejewski, Rafał Weron
Format: Article
Language:English
Published: MDPI AG 2019-07-01
Series:Energies
Subjects:
electricity price forecasting
predictive distribution
combining forecasts
average probability forecast
calibration window
autoregression
pinball score
conditional predictive ability
Online Access:https://www.mdpi.com/1996-1073/12/13/2561

Internet

https://www.mdpi.com/1996-1073/12/13/2561

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