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Workshop: Time Series Workshop

Morning Poster Session: VIKING: Variational Bayesian Variance Tracking Winning a Post-Covid Day-Ahead Electricity Load Forecasting Competition

Joseph de Vilmarest


We present a novel variational bayesian approach for time series forecasting following from a state-space representation, named VIKING (Variational BayesIan Variance TracKING. The method is illustrated with the procedure used to win a recent competition on post-covid electricity load forecasting.