We examine possible accuracy gains from using factor models, quantile regression and forecast averaging for computing interval forecasts of electricity spot prices. We extend the Quantile Regression Averaging (QRA) approach of Nowotarski and Weron (2014) and use principal component analysis to...

This paper provides detailed information on Team Poland’s approach in the electricity price forecasting track of GEFCom2014. A new hybrid model is proposed, consisting of four major blocks: point forecasting, pre-filtering, quantile regression modeling and post-processing. This universal model...

Majority of the load forecasting literature has been on point forecasting, which provides the expected value for each step throughout the forecast horizon. In the smart grid era, the electricity demand is more active and less predictable than ever before. As a result, probabilistic load...

We examine possible accuracy gains from forecast averaging in the context of interval forecasts of electricity spot prices. First, we test whether constructing empirical prediction intervals (PI) from combined electricity spot price forecasts leads to better forecasts than those obtained from...

We evaluate a recently proposed method for constructing prediction intervals, which utilizes the concept of quantile regression (QR) and a pool of point forecasts of different time series models.We find that in terms of interval forecasting of Nord Pool day-ahead prices the new QR-based approach...

A variety of methods and ideas have been tried for electricity price forecasting (EPF) over the last 15 years, with varying degrees of success. This review article aims at explaining the complexity of available solutions, their strengths and weaknesses, and the opportunities and treats that the...

A variety of methods and ideas have been tried for electricity price forecasting (EPF), with varying degrees of success. This review article aims at explaining the complexity of available solutions, their strengths and weaknesses, and the opportunities and treats that the forecasting tools offer...

In this paper we present an evaluation framework for predictions of binary events in probabilistic electricity price forecasting. It employs the MSE-equivalent QPS together with the DM test and allows for further insights about deficiencies of the considered models. Additionally, techniques from...

In this paper we present an evaluation framework for predictions of binary events in probabilistic electricity price forecasting. It employs the MSE-equivalent QPS together with the DM test and allows for further insights about deficiencies of the considered models. Additionally, techniques from...