(This post is syndicated from Hyndsight)
The latest issue of the IJF is a bumper issue with over 500 pages of forecasting insights.
The GEFCom2014 papers are included in a special section on probabilistic energy forecasting, guest edited by Tao Hong and Pierre Pinson. This is a major milestone in energy forecasting research with the focus on probabilistic forecasting and forecast evaluation done using a quantile scoring method. Only a few years ago I was having to explain to energy professionals why you couldn’t use a MAPE to evaluate a percentile forecast. With this special section, we now have a tutorial review on probabilistic electric load forecasting by Tao Hong and Shu Fan, which should help everyone get up to speed with current forecasting approaches, evaluation methods and common misunderstandings. The section also contains a large number of very high quality articles showing how to do state-of-the-art density forecasting for electricity load, electricity price, solar and wind power. Moreover, we have some benchmarks on publicly available data sets so future researchers can easily compare their methods against these published results.
In addition to the special section on probabilistic energy forecasting, there is an invited review paper on call centre forecasting by Ibrahim, Ye, L’Ecuyer and Shen. This is an important area in practice, and this paper provides a helpful review of the literature, a summary of the key issues in building good models, and suggests some possible future research directions.
There is also an invited paper from Blasques, Koopman, Łasak and Lucas on “In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models” with some great discussion from Catherine Forbes and Pierre Perron. This was the subject of Siem Jan Koopman’s ISF talk in 2014.
Finally, there are 18 regular contributed papers, more than we normally publish in a whole issue, on topics ranging from forecasting excess stock returns to demographics of households, from forecasting food prices, to evaluating forecasts of counts and intermittent demand. Check them all out on ScienceDirect.