Computing electricity spot price prediction intervals using quantile regression and forecast averaging

DOI10.1007/S00180-014-0523-0MaRDI QIDQ740072zbMATH OpenOpenAlexWikidataFDO

Authors Jakub Nowotarski, Rafał Weron

Publication date 12 August 2016

Published in Computational Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s00180-014-0523-0

zbMATH Keywords

quantile regressionprediction intervalelectricity spot priceforecasts combinationquantile regression averaging

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to economics (62P20)

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Cites work

• Electricity price forecasting through transfer function models
• Nonparametric maximum likelihood estimators for ar and ma time series
• Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models
• Regression Quantiles
• Review of guidelines for the use of combined forecasts

Cited in

(8)

• Estimation combining unbiased and possibly biased estimators
• Modeling seasonality and serial dependence of electricity price curves with warping functional autoregressive dynamics
• The combination forecasting of electricity price based on price spikes processing: a case study in South Australia
• A novel auto-regressive fractionally integrated moving average–least-squares support vector machine model for electricity spot prices prediction
• Editorial to the special issue on applicable semiparametrics of computational statistics
• scientific article; zbMATH DE number 7780127 (Why is no real title available?)
• Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data
• Easy Uncertainty Quantification (EasyUQ): Generating Predictive Distributions from Single-Valued Model Output

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