This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
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636
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Type:
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Contributed
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Date/Time:
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Thursday, August 5, 2010 : 8:30 AM to 10:20 AM
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Sponsor:
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Section on Statistical Computing
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Abstract - #308350 |
Title:
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Aggregation of Sleeping Predictors to Forecast Electricity Consumption
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Author(s):
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Yannig Goude*+ and Stoltz Gilles and Marie Devaine
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Companies:
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EDF R&D and CNRS and ENS ulm
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Address:
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1 avenue du général de gaulle, clamart, 92140, FRANCE
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Keywords:
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forecasting ;
electricity load ;
combining ;
sleeping experts
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Abstract:
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We consider the issue of on-line combining a set of "sleeping experts". In this problem, the statistician has access to a set of experts to build his own forecast. This experts are said to be "sleeping experts" as they do not provide a forecast continuously. We propose new algorithms based on exponential weights and new oracle bounds in that case. This framework fits particularly well with a lot of industrial forecasting problems and especially to electricity load forecasting: due to software evolution, scientific innovation, data changes or even human intervention in this process, we are faced with the difficulty to observe a constant set of experts during a sufficently large period of time. We apply our algorithms on two data sets: the french and slovakian electricity load. We obtain significant improvement over the operational forecasts.
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