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20202026
most citedQuantifying Uncertainty with a Derivative Tracking SDE Model and Application to Wind Power Forecast Data

8 citations · 8 across the 2 of their papers we have counts for

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stat.ME2020★ 8 cited

Quantifying Uncertainty with a Derivative Tracking SDE Model and Application to Wind Power Forecast Data

Renzo Caballero, Ahmed Kebaier, Marco Scavino +1

We develop a data-driven methodology based on parametric Itô's Stochastic Differential Equations (SDEs) to capture the real asymmetric dynamics of forecast errors. Our SDE framewor…