Forecasting models

This subpackage provides an easy interface to two state-of-the-art forecasting models in the field of electricity price forecasting:

For the LEAR model, the subpackage provides an interface to perform estimation, daily recalibration, and prediction. For DNN model, it provides an interface to perform estimation, hyperparameter optimization, daily recalibration, and prediction.

A more detailed explanations of the models can be obtained in:

  1. Lago, G. Marcjasz, B. De Schutter, R. Weron. “Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark”. Renewable and Sustainable Energy Reviews (2020). Under Review.