In a four-year out-of-sample comparison across six European power markets, BMT matches LASSO and Elastic Net forecast accuracy while selecting roughly 90% fewer variables.
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A Comparison of High-Dimensional Variable Selection Procedures for Electricity Spot Price Forecasting
In a four-year out-of-sample comparison across six European power markets, BMT matches LASSO and Elastic Net forecast accuracy while selecting roughly 90% fewer variables.