activity
20222025
most citedLASSO Principal Component Averaging -- a fully automated approach for point forecast pooling

19 citations · 83 across the 11 of their papers we have counts for

collaborators

11 papers

q-fin.CP2025★ 3 cited

Statistical and economic evaluation of forecasts in electricity markets: beyond RMSE and MAE

Katarzyna Maciejowska, Arkadiusz Lipiecki, Bartosz Uniejewski

Electricity price forecasts are typically evaluated using accuracy measures such as RMSE and MAE, although these metrics often fail to reflect their economic value in operational d…

stat.AP2025★ 1 cited

Variance Stabilizing Transformations for Electricity Price Forecasting in Periods of Increased Volatility

Bartosz Uniejewski

Accurate day-ahead electricity price forecasts are critical for power system operation and market participation, yet growing renewable penetration and recent crises have caused unp…

q-fin.ST2025★ 8 cited

Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market

Katarzyna Chęć, Bartosz Uniejewski, Rafał Weron

Recent studies provide evidence that decomposing the electricity price into the long-term seasonal component (LTSC) and the remaining part, predicting both separately, and then com…

stat.AP2025★ 2 cited

The role of probabilistic load and renewable prediction in enhancing day-ahead electricity price forecasts

Bartosz Uniejewski, Florian Ziel

The increasing penetration of renewable energy sources (RES) has amplified volatility in electricity markets, while demand variability continues to challenge system stability. Trad…

econ.EM2024

Ranking probabilistic forecasting models with different loss functions

Tomasz Serafin, Bartosz Uniejewski

In this study, we introduced various statistical performance metrics, based on the pinball loss and the empirical coverage, for the ranking of probabilistic forecasting models. We…

stat.AP2024★ 7 cited

Regularization for electricity price forecasting

Bartosz Uniejewski

The most commonly used form of regularization typically involves defining the penalty function as a L1 or L2 norm. However, numerous alternative approaches remain untested in pract…

q-fin.ST2024★ 18 cited

Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression

Arkadiusz Lipiecki, Bartosz Uniejewski, Rafał Weron

Operational decisions relying on predictive distributions of electricity prices can result in significantly higher profits compared to those based solely on point forecasts. Howeve…

stat.AP2023★ 8 cited

Probabilistic forecasting with a hybrid Factor-QRA approach: Application to electricity trading

Katarzyna Maciejowska, Tomasz Serafin, Bartosz Uniejewski

This paper presents a novel hybrid approach for constricting probabilistic forecasts that combines both the Quantile Regression Averaging (QRA) method and the factor-based averagin…

stat.AP2023★ 6 cited

Smoothing Quantile Regression Averaging: A new approach to probabilistic forecasting of electricity prices

Bartosz Uniejewski

Accurate short-term price forecasting is essential for daily operations in electricity markets. This article introduces a new method, called Smoothing Quantile Regression (SQR) Ave…

stat.AP2022★ 19 cited

LASSO Principal Component Averaging -- a fully automated approach for point forecast pooling

Bartosz Uniejewski, Katarzyna Maciejowska

This paper develops a novel, fully automated forecast averaging scheme, which combines LASSO estimation method with Principal Component Averaging (PCA). LASSO-PCA (LPCA) explores a…

q-fin.ST2022★ 11 cited

Forecasting Electricity Prices

Katarzyna Maciejowska, Bartosz Uniejewski, Rafał Weron

Forecasting electricity prices is a challenging task and an active area of research since the 1990s and the deregulation of the traditionally monopolistic and government-controlled…