Forecasting natural gas prices with spatio-temporal copula-based time series models

DOI10.1007/978-3-031-40209-8_15MaRDI QIDQ6609962FDOQ6609962

Authors: Sven Pappert, Antonia Arsova 

Publication date: 24 September 2024

zbMATH Keywords

copuladependence modelingprobabilistic forecastingdeep neural networkenergy forecasting

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06)

Cites Work

• Pair-copula constructions of multiple dependence
• Dependence modeling with copulas
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Title not available (Why is that?)
• Stationary vine copula models for multivariate time series
• Estimation of copula-based semiparametric time series models
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• The t Copula and Related Copulas
• Modeling longitudinal data using a pair-copula decomposition of serial dependence
• Vine copula specifications for stationary multivariate Markov chains
• Copulas and temporal dependence
• Forecasting time series with multivariate copulas
• The Probability Integral Transform and Related Results
• Sampling Archimedean copulas
• Deep learning: an introduction for applied mathematicians
• COPAR -- multivariate time series modeling using the copula autoregressive model

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