3 papers
stat.ME2022
Robust estimation for Threshold Autoregressive Moving-Average models
Greta Goracci, Davide Ferrari, Simone Giannerini +1
Threshold autoregressive moving-average (TARMA) models are popular in time series analysis due to their ability to parsimoniously describe several complex dynamical features. Howev…
stat.AP2022
A Multivariate Dependence Analysis for Electricity Prices, Demand and Renewable Energy Sources
Fabrizio Durante, Angelica Gianfreda, Francesco Ravazzolo +1
This paper examines the dependence between electricity prices, demand, and renewable energy sources by means of a multivariate copula model {while studying Germany, the widest stud…
stat.ME2020
Proper scoring rules for evaluating asymmetry in density forecasting
Matteo Iacopini, Francesco Ravazzolo, Luca Rossini
This paper proposes a novel asymmetric continuous probabilistic score (ACPS) for evaluating and comparing density forecasts. It extends the proposed score and defines a weighted ve…