A Group Lasso multivariate model improves day-ahead electricity price forecasts on CAISO data by modeling temporal group effects and ranks second in an international challenge with limited inputs.
Supportunionrecoveryinhigh-dimensionalmultivariateregression.The Annals of Statistics, 39(1):1–47, February 2011
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Day-Ahead Electricity Price Forecasting Using a Multivariate Group Lasso Method
A Group Lasso multivariate model improves day-ahead electricity price forecasts on CAISO data by modeling temporal group effects and ranks second in an international challenge with limited inputs.