4 papers
Copula-Based Time Series for Non-Gaussian and Non-Markovian Stationary Processes
Sven Pappert, Harry Joe
In the copula-based approach to univariate time series modeling, the finite dimensional temporal dependence of a stationary time series is captured by a copula. Recent studies inve…
Analyzing Uncertainty Quantification in Statistical and Deep Learning Models for Probabilistic Electricity Price Forecasting
Andreas Lebedev, Abhinav Das, Sven Pappert +1
Precise probabilistic forecasts are fundamental for energy risk management, and there is a wide range of both statistical and machine learning models for this purpose. Inherent to…
The Field Equations of Penalized non-Parametric Regression
Sven Pappert
We view penalized risks through the lens of the calculus of variations. We consider risks comprised of a fitness-term (e.g. MSE) and a gradient-based penalty. After establishing th…
Interval Forecasts for Gas Prices in the Face of Structural Breaks -- Statistical Models vs. Neural Networks
Stephan Schlüter, Sven Pappert, Martin Neumann
Reliable gas price forecasts are an essential information for gas and energy traders, for risk managers and also economists. However, ahead of the war in Ukraine Europe began to su…