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[Submitted on 21 Nov 2024] View a PDF of the paper titled NBMLSS: probabilistic forecasting of electricity prices via Neural Basis Models for Location Scale and Shape, by Alessandro Brusaferri and Danial Ramin and Andrea Ballarino View PDF HTML (experimental) Abstract:Forecasters using flexible neural networks (NN) in multi-horizon distributional regression setups often struggle to gain detailed insights into the underlying mechanisms that lead to the predicted feature-conditioned distribution parameters. In this work, we deploy a Neural Basis Model for Location, Scale and Shape, that blends the principled interpretability of GAMLSS with a computationally scalable shared basis decomposition, combined by linear…