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20162026
most citedFrom point forecasts to multivariate probabilistic forecasts: The Schaake shuffle for day-ahead electricity price forecasting

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stat.ME2016

Predictive Inference Based on Markov Chain Monte Carlo Output

Fabian Krüger, Sebastian Lerch, Thordis L. Thorarinsdottir +1

In Bayesian inference, predictive distributions are typically in the form of samples generated via Markov chain Monte Carlo (MCMC) or related algorithms. In this paper, we conduct…