2 papers
cs.LG2024
On-line conformalized neural networks ensembles for probabilistic forecasting of day-ahead electricity prices
Alessandro Brusaferri, Andrea Ballarino, Luigi Grossi +1
Probabilistic electricity price forecasting (PEPF) is subject of increasing interest, following the demand for proper quantification of prediction uncertainty, to support the opera…
stat.CO2019
Evaluation of extremal properties of GARCH(p,q) processes
Fabrizio Laurini, Paul Fearnhead, Jonathan A. Tawn
Generalized autoregressive conditionally heteroskedastic (GARCH) processes are widely used for modelling features commonly found in observed financial returns. The extremal propert…