Type of Publication: Article in Journal

Multivariate probabilistic CRPS learning with an application to day-ahead electricity prices

Author(s):

Berrisch, Jonathan; Ziel, Florian

Title of Journal:

International Journal of Forecasting

Publication Date:

2024

Keywords:

Combination, Aggregation, Ensembling, Online, Multivariate, Probabilistic, Forecasting, Quantile, Time series, Distribution, Density, Prediction, Splines

Digital Object Identifier (DOI):

doi:10.1016/j.ijforecast.2024.01.005

Link to complete version:

https://arxiv.org/abs/2303.10019

Citation:

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Abstract

This paper presents a new method for combining (or aggregating or ensembling) multivariate probabilistic forecasts, considering dependencies between quantiles and marginals through a smoothing procedure that allows for online learning. We discuss two smoothing methods: dimensionality reduction using Basis matrices and penalized smoothing. The new online learning algorithm generalizes the standard CRPS learning framework into multivariate dimensions. It is based on Bernstein Online Aggregation (BOA) and yields optimal asymptotic learning properties. The procedure uses horizontal aggregation, i.e., aggregation across quantiles. We provide an in-depth discussion on possible extensions of the algorithm and several nested cases related to the existing literature on online forecast combination. We apply the proposed methodology to forecasting day-ahead electricity prices, which are 24-dimensional distributional forecasts. The proposed method yields significant improvements over uniform combination in terms of continuous ranked probability score (CRPS). We discuss the temporal evolution of the weights and hyperparameters and present the results of reduced versions of the preferred model. A fast C＋＋implementation of the proposed algorithm is provided in the open-source R-Package profoc on CRAN.