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