Sequence of nonparametric models for GEFCom2014 probabilistic electric load forecasting

Ekaterina Mangalova and Olesya Shesterneva

International Journal of Forecasting, 2016, vol. 32, issue 3, 1023-1028

Abstract: The probabilistic forecasting method proposed in this paper is based on the use of the sequence of Nadaraya–Watson estimators. It allows estimates of quantiles to be obtained without assumptions as to the probability distribution. The effectiveness of the approach is demonstrated during the Global Energy Forecasting Competition 2014 in the probabilistic electric load forecasting track.

Keywords: Probabilistic forecasting; Nadaraya–Watson estimator; Quantile estimation; Pinball loss function; Sequence of estimators (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:32:y:2016:i:3:p:1023-1028

DOI: 10.1016/j.ijforecast.2015.11.001

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