CRPS Learning, 2021, Jonathan Berrisch & Florian Ziel
This paper treats how online learning algorithms can be used for the pointwise combination of probabilistic forecasts.
Modeling and probabilistic forecasting of natural gas prices, 2021, Jonathan Berrisch & Florian Ziel
This paper presents price forecasting studies for two essential European natural-gas products.
Projects
profoc - An R Package for Probabilistic Forecast Combination
This package implements methods which are proposed and discussed in CRPS Learning.
sstudentt - A python package implementing the skewed-student-t distribution
This package implements the skewed student-t distribution in python. Parameterized as described in Wurtz et. al (2006) [1]. An implementation in R is already existent [2].
Development
I develop most of my projects in a docker container that is publicly available for reuse and inspiration. This container makes it easy to reproduce results or develop projects like the profoc R package.
The most convenient way to start is using VS-Code. You can find instructions in the GitHub Repo. However, the bare-bone Docker Container is also available and sufficient.
The Repository is available on GitHub.
The docker container is also available on GitHub
References
.. [1] Wurtz, Y. Chalabi, and L. Luksan. Parameter estimation of arma models with garch/aparch errors. an r and splus software implementation. Journal of Statistical Software, 2006.
.. [2] R Implementation: https://www.gamlss.com/wp-content/uploads/2018/01/DistributionsForModellingLocationScaleandShape.pdf