ENERGIES_9_621_FIGS: MATLAB codes and data for plotting figures from "Automated variable selection and shrinkage for day-ahead electricity price forecasting"

Bartosz Uniejewski, Jakub Nowotarski and Rafał Weron

HSC Software from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: These Matlab scripts plot Figures 1-7 from B. Uniejewski, J. Nowotarski, R. Weron (2016) Automated variable selection and shrinkage for day-ahead electricity price forecasting, Energies 9(8), 621 (http://dx.doi.org/10.3390/en9080621). The zip file includes four scripts (figs_*.m), one Diebold-Mariano test results file (*.mat) and three data files (*.txt) with electricity day-ahead prices from the GEFCom2014 competition, Nord Pool and the UK.

Language: MATLAB
Requires: MATLAB (tested on MATLAB ver. R2018a).
Keywords: Electricity spot price; Day-ahead price; Forecasting; Diebold-Mariano test (search for similar items in EconPapers)
Date: 2018-09-09
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