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Wednesday, June 29 • 10:30am - 10:48am
OPERA: Online Prediction by ExpeRts Aggregation

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We present an R package for prediction of time series based on online robust aggregation of a finite set of forecasts (machine learning method, statistical model, physical model, human expertise, ...). More formally, we consider a sequence of observations y(1), …, y(t), to be predicted element by element. At each time instance t, a finite set of experts provide prediction x(k,t) of the next observation y(t). Several methods are implemented to combine these expert forecasts according to their past performance (several loss functions are implemented to measure it). These combining methods satisfy robust finite time theoretical performance guarantees. We demonstrate on different examples from energy markets (electricity demand, electricity prices, solar and wind power time series) the interest of this approach both in terms of forecasting performance and time series analysis.

Moderators
avatar for Peter Hickey

Peter Hickey

Postdoc, Department of Biostatistics, Johns Hopkins University

Speakers
avatar for Yannig  Goude

Yannig Goude

EDF R&D/ University Paris-Sud


Attendees (30)