Predictive Densities for Day-Ahead Electricity Prices Using Time-Adaptive Quantile Regression

Predictive Densities for Day-Ahead Electricity Prices Using Time-Adaptive Quantile Regression

A large part of the decision-making problems actors of the power system are facing on a daily basis requires scenarios for day-ahead electricity market prices. These scenarios are most likely to be generated based on marginal predictive densities for such prices, then enhanced with a temporal depend...

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Bibliographic Details
Main Authors: Tryggvi Jónsson, Pierre Pinson, Henrik Madsen, Henrik Aalborg Nielsen
Format: Article
Language:English
Published: MDPI AG 2014-08-01
Series:Energies
Subjects:
stochastic processes
electricity prices
density forecasting
quantile regression
non-stationarity
Online Access:http://www.mdpi.com/1996-1073/7/9/5523

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