Online Multivariate Regularized Distributional Regression for High-dimensional Probabilistic Electricity Price Forecasting

arXiv:2504.02518 · stat.ML, econ.EM, q-fin.ST, stat.AP, stat.CO · Submitted 2025-04-03 · Read on arXiv

stat.ML, econ.EM, q-fin.ST, stat.AP, stat.CO

Submitted: 2025-04-03

Updated: 2026-09-01

Comments: Revised Version August 2026. 34 pages incl. appendix, 10 figures, 6 tables, 14

Code: https://github.com/simon-hirsch/online-mv-distreg

License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/

Terminology

• Regularization — 39× in this paper · explained in 3 episodes
• Copula — 26× in this paper · explained in 2 episodes
• Accuracy — 19× in this paper · explained in 1 episode
• Probabilistic Forecasting — 16× in this paper · explained in 3 episodes
• Calibration — 13× in this paper · explained in 7 episodes
• Conformal Prediction — 11× in this paper · explained in 5 episodes
• Benchmark — 8× in this paper · explained in 2 episodes
• Energy Score — 5× in this paper
• Dawid-Sebastiani Score — 2× in this paper
• Distribution Shift — 2× in this paper · explained in 5 episodes
• Generative AI — 2× in this paper · explained in 2 episodes
• Variogram Score — 2× in this paper
• Adam — 1× in this paper · explained in 2 episodes
• Akaikes Information Criterion — 1× in this paper
• Bayesian Information Criterion — 1× in this paper
• Benchmarking — 1× in this paper · explained in 3 episodes
• Core — 1× in this paper · explained in 2 episodes
• Feature Engineering — 1× in this paper · explained in 3 episodes
• Hannan-Quinn Information Criterion — 1× in this paper
• Log Score — 1× in this paper
• Longitudinal Data — 1× in this paper · explained in 2 episodes
• Loss Function — 1× in this paper · explained in 2 episodes
• Robustness — 1× in this paper · explained in 5 episodes
• Time Series Forecasting — 1× in this paper · explained in 3 episodes
• Uncertainty Quantification — 1× in this paper · explained in 8 episodes

Sources

• NBMLSS: probabilistic forecasting of electricity prices via Neural Basis Models for Location Scale and Shape
• Asymmetric Penalties Underlie Proper Loss Functions in Probabilistic Forecasting
• Probabilistic intraday electricity price forecasting using generative machine learning
• Scalable Fitting Methods for Multivariate Gaussian Additive Models with Covariate-dependent Covariance Matrices
• Online Distributional Regression
• Multiple split approach -- multidimensional probabilistic forecasting of electricity markets
• Multi-Target XGBoostLSS Regression
• Multivariate Forecasting Evaluation: On Sensitive and Strictly Proper Scoring Rules

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