Adaptive exponential smoothing methods allow a smoothing parameter to change over time, in order to adapt to changes in the characteristics of the time series. However, these methods have tended to produce unstable forecasts and have performed poorly in empirical studies. This paper presents a...

Density forecasts for weather variables are useful for the many industries exposed to weather risk. Weather ensemble predictions are generated from atmospheric models and consist of multiple future scenarios for a weather variable. The distribution of the scenarios can be used as a density...