most citedCalibration window selection based on change-point detection for forecasting electricity prices

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q-fin.ST2022★ 1 cited

Calibration window selection based on change-point detection for forecasting electricity prices

Julia Nasiadka, Weronika Nitka, Rafał Weron

We employ a recently proposed change-point detection algorithm, the Narrowest-Over-Threshold (NOT) method, to select subperiods of past observations that are similar to the current…