A kernel-copula embedding statistic equals zero exactly when causal dependence between X and Y is stable and is strictly positive otherwise, with a near-linear estimator and convergence rates provided.
Computational Statistics & Data Analysis , volume=
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Quantile-based trading strategies for battery arbitrage fail to incentivize honest probabilistic forecasts and ignore price dependence, while stochastic programs using full distributions better connect forecast accuracy to economic value.
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Detecting Changes in Causal Dependence with Kernels and Copulas
A kernel-copula embedding statistic equals zero exactly when causal dependence between X and Y is stable and is strictly positive otherwise, with a near-linear estimator and convergence rates provided.
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Probabilistic Forecasting for Day-ahead Electricity Prices, Battery Trading Strategies and the Economic Evaluation of Predictive Accuracy
Quantile-based trading strategies for battery arbitrage fail to incentivize honest probabilistic forecasts and ignore price dependence, while stochastic programs using full distributions better connect forecast accuracy to economic value.