Probabilistic Electricity Price Forecasting on German Day-Ahead Market (2021-2023 Sub-sample)
39.835RMSELEAR-N(0, σ)
Evaluation results
| Method | Links | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| LEAR-N(0, σ)Dependence=Independent2025.04 | 39.835 | 27.237 | 20.459 | 7.093 | 1,443.811 | 121.033 | 213.973 | 128.804 | -0.182 | 192.967 | |
| LEAR-GARCHModel=GARCH2025.04 | 39.84 | 27.243 | 19.304 | 6.739 | 1,378.435 | 116.095 | 187.118 | 115.516 | -0.034 | 206.636 | |
| LEAR-N(0, Σ)Dependence=Full covariance2025.04 | 39.841 | 27.245 | 20.46 | 5.065 | 1,059.817 | 117.073 | 150.695 | 97.225 | -0.215 | 174.55 | |
| LEAR-CPMethodology=Conformal Prediction2025.04 | 39.931 | 27.391 | 21.507 | — | — | — | — | — | -0.742 | 77.465 | |
| ODR-GCDependence=Gaussian Copula2025.04 | 43.365 | 27.894 | 20.295 | 5.415 | 1,290.187 | 117.218 | 157.607 | 92.275 | 0.014 | 462.839 | |
| ODR-SPGCDependence=Single Parameter Gaussian Copula2025.04 | 43.45 | 27.915 | 20.309 | 5.425 | 1,289.995 | 117.308 | 157.499 | 92.349 | 0.021 | 462.912 | |
| ODR-INDDependence=Independent2025.04 | 46.157 | 28.885 | 21.092 | 7.228 | 1,712.213 | 127.073 | 192.533 | 116.117 | 0.029 | 521.962 | |
| MODR-OLS-CD-INDRegression=OLS, Decomposition=Cholesky (CD), Dependence=Independent2025.04 | 49.867 | 30.654 | 23.377 | 5.693 | 1,252.714 | 134.201 | 201.244 | 111.508 | -0.035 | 290.222 | |
| MODR-OLS-MCD-INDRegression=OLS, Decomposition=MCD, Dependence=Independent2025.04 | 49.915 | 30.639 | 23.357 | 5.81 | 1,286.812 | 133.948 | 211.612 | 111.628 | -0.045 | 295.708 | |
| MODR-OLS-LRA-INDRegression=OLS, Decomposition=Low-rank (LRA), Dependence=Independent2025.04 | 50.255 | 30.798 | 23.874 | 8.044 | 10 | 142.03 | 209.106 | 112.033 | -0.054 | 307.374 | |
| MODR-LASSO-LRA-ΣRegression=LASSO, Decomposition=Low-rank (LRA), Dependence=Full covariance2025.04 | 50.86 | 31.239 | 25.558 | 5.588 | 1,239.825 | 143.967 | 259.391 | 110.858 | -0.215 | 213.264 | |
| MODR-OLS-LRA-ΣRegression=OLS, Decomposition=Low-rank (LRA), Dependence=Full covariance2025.04 | 53.441 | 32.456 | 25.226 | 5.949 | 1,904.47 | 143.167 | 211.488 | 110.463 | -0.098 | 263.763 | |
| MODR-OLS-MCD-ΣRegression=OLS, Decomposition=MCD, Dependence=Full covariance2025.04 | 59.7 | 35.929 | 26.497 | 5.407 | 1,213.906 | 147.461 | 148.778 | 88.092 | -0.038 | 361.243 | |
| MODR-OLS-CD-ΣRegression=OLS, Decomposition=Cholesky (CD), Dependence=Full covariance2025.04 | 60.081 | 36.115 | 26.825 | 5.65 | 1,297.036 | 149.418 | 154.471 | 89.439 | 0.002 | 424.979 | |
| MODR-LASSO-MCD-ΣRegression=LASSO, Decomposition=MCD, Dependence=Full covariance2025.04 | 64.334 | 38.639 | 29.17 | 5.827 | 1,305.452 | 161.906 | 147.824 | 87.859 | -0.092 | 303.324 | |
| MODR-LASSO-CD-ΣRegression=LASSO, Decomposition=Cholesky (CD), Dependence=Full covariance2025.04 | 67.902 | 40.882 | 31.029 | 6.126 | 1,397.169 | 171.775 | 154.108 | 88.704 | -0.041 | 358.176 |