Investigating Calibration Challenges in Probabilistic Electricity Price Forecasting
As renewable energy integration increases market volatility, probabilistic electricity price forecasting has become essential for effective risk management. However, current-proper-scoring rules often prioritize forecast sharpness at the expense of calibration, leading to overconfident and statistically unreliable uncertainty estimates. This work highlights the critical gap between theoretical scoring and practical calibration, demonstrating that models can become mere proxies for deterministic forecasts when reliability is neglected. We conclude that future research must shift toward calibration-aware objectives and architectures to ensure the distributional integrity of energy market fo...
| Authors | Jan Niklas Lettner, Hadeer El Ashhab, Benjamin Schäfer |
|---|---|
| Primary category | cs.LG |
| Published | 8 June 2026 |
| Last updated at source | 8 June 2026 |
Silytics shows public metadata from arXiv and links to the original. Information may be incomplete or out of date. Last refreshed 17 October 2026. Licenses and terms of the original apply to the work itself. Not financial, legal or professional advice.