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arXiv · 2501.17604

nabqr: Python package for improving probabilistic forecasts

Bastian Schmidt Jørgensena·Jan Kloppenborg Møller·Peter Nystrup·Henrik Madsen
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Abstract

We introduce the open-source Python package NABQR: Neural Adaptive Basis for (time-adaptive) Quantile Regression that provides reliable probabilistic forecasts. NABQR corrects ensembles (scenarios) with LSTM networks and then applies time-adaptive quantile regression to the corrected ensembles to obtain improved and more reliable forecasts. With the suggested package, accuracy improvements of up to 40% in mean absolute terms can be achieved in day-ahead forecasting of onshore and offshore wind power production in Denmark.

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Bastian Schmidt Jørgensena, Jan Kloppenborg Møller, Peter Nystrup, Henrik Madsen. 2025-01-29. nabqr: Python package for improving probabilistic forecasts. https://arxiv.org/abs/2501.17604

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