63 Commits

Author SHA1 Message Date
e0f6337a96 Use local fonts 2025-06-03 10:42:48 +02:00
8c34c03d0b Update .gitignore (include svg's) 2025-06-03 10:41:03 +02:00
5d5fd300ad Add svg, update ondir_flow diagram 2025-06-03 10:40:44 +02:00
52dda50048 Add + Update motivation slides 2025-06-01 18:49:18 +02:00
ce7b930b9a Add overview and motivation slides 2025-06-01 17:43:50 +02:00
91f578bcf1 Knot placement details, cross referencing etc. 2025-06-01 12:09:05 +02:00
78b6846eef Technical improvements 2025-06-01 10:56:07 +02:00
7be31d0b01 Update CPRS learning application slides 2025-06-01 10:16:30 +02:00
3e58060e75 Add ngas paper plot 2025-05-31 16:23:03 +02:00
9c90536f9f Add overview slides and cleanup bib 2025-05-31 12:08:20 +02:00
5a1f509b8a Add pointer extension 2025-05-30 15:01:46 +02:00
31b168acec Add custom.html 2025-05-29 09:37:31 +02:00
6411fa3079 Move knots app into subdirectory 2025-05-26 19:44:23 +02:00
bf246e2713 Table consistency, VolDep progress 2025-05-25 20:25:24 +02:00
e4021df6d2 Finalize CRPS + MCRS begin working on VolDep 2025-05-25 17:24:06 +02:00
301eccdd5b Add weights_preprocessed from crps learning 2025-05-25 15:36:09 +02:00
08760180ef Upodate presentation (CRPS Simulations) 2025-05-25 15:18:45 +02:00
c11bc691af Update quantile loss gif crps learning 2025-05-25 14:46:18 +02:00
de5573e171 Add css colors, improve crps slides 2025-05-25 14:35:46 +02:00
42663f73b9 Update gifs in CRPS Learning 2025-05-25 12:55:39 +02:00
839f7fb82e Add weights_kstep.gif 2025-05-25 12:41:37 +02:00
0630311e00 Remove submodule 2025-05-25 12:40:17 +02:00
068f0fb44c Move mathjax javascript into additional file 2025-05-25 10:48:21 +02:00
b8530bc227 Adjust aspect ratio to 16:9, improve equation numbering, begin consolidating crps slides 2025-05-25 00:14:06 +02:00
37f76d4f1d Add pngs's to version control 2025-05-24 22:30:15 +02:00
5c98bf64ae Reorganize files 2025-05-24 21:47:05 +02:00
37b1a68d0c Finalize knot-placement plot 2025-05-24 19:46:58 +02:00
d1c77def49 Update gitignore 2025-05-24 19:22:59 +02:00
02a9c80b19 Remove crps learning submodule 2025-05-24 19:21:42 +02:00
6a93f94d4b Dummy commit to test hook 2025-05-24 13:07:48 +02:00
5dec1e78ff Make curves smoooooooth 2025-05-24 00:06:24 +02:00
c96022c7b2 Add interactive plot to the slides 2025-05-23 23:45:45 +02:00
b6f7263b12 Update app.qmd 2025-05-23 23:17:00 +02:00
5639c11809 Improve readability of the code 2025-05-23 23:09:49 +02:00
f2358a326b Move update logic out of main code 2025-05-23 23:09:49 +02:00
8681d7b374 Simplify code 2025-05-23 23:09:49 +02:00
82639a8b3a Move inputs into one loop 2025-05-23 23:09:49 +02:00
2411b24e29 Update DGP + app 2025-05-23 23:09:49 +02:00
83219fd607 Align input width and plot width 2025-05-23 23:09:49 +02:00
64325b8e0f Update nonc input 2025-05-23 23:09:48 +02:00
122a77fcfa Update tailweight input 2025-05-23 23:09:48 +02:00
d8f476013a Fix sigma input range 2025-05-23 23:09:48 +02:00
116cf87539 Update sigma input 2025-05-23 23:09:48 +02:00
13b2c2e71f Fix mu slider 2025-05-23 23:09:48 +02:00
70f138f28f Update app.qmd (add inputs) 2025-05-23 23:09:48 +02:00
56bd816568 Update app (controls) 2025-05-23 23:09:48 +02:00
8c58fb857a Adjust input size. 2025-05-23 23:09:48 +02:00
56410ce775 Update app 2025-05-23 23:09:48 +02:00
de3f7ca407 Simplify data basis 2025-05-23 23:09:47 +02:00
cc509316d0 Completely fancify 2025-05-23 23:09:47 +02:00
aff2d4f4cc Add nice transitions 2025-05-23 23:09:47 +02:00
63691f53b1 Make it d3 2025-05-23 23:09:47 +02:00
38c3e5d931 Init simple web-app 2025-05-23 23:09:47 +02:00
c7a5519e0f Update slides (cleanup, adjust background colour, begin eq numbering) 2025-05-23 23:08:03 +02:00
5b58a7d4c2 Add pre-commit hook 2025-05-23 22:24:09 +02:00
b5963e1d54 Show .git folder 2025-05-23 22:23:47 +02:00
993e01d4e8 Add sydney theme 2025-05-20 23:12:12 +02:00
f4cfddfd4e Finally fix alignment issues (and more improvements to tables) 2025-05-20 23:12:04 +02:00
8a0cf4564b Update powerfoc results table 2025-05-19 23:37:41 +02:00
751337eb5c Add mcrps results html table 2025-05-19 22:38:26 +02:00
00ce3d9dd9 Add voldep slides 2025-05-18 20:30:26 +02:00
6fed9201f5 Add ggforce to flake 2025-05-18 20:30:05 +02:00
9cf52e5d46 Add multivariate crps learning slides 2025-05-18 15:43:15 +02:00
84 changed files with 24988 additions and 2113 deletions

7
.githooks/pre-commit Normal file
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@@ -0,0 +1,7 @@
#!/bin/sh
echo "Start pre-commit hook"
# Copy current state into sciebo on every commit
# This excludes .directories and .files inside of bernstein_paper
cp -r ./25_07_phd_defense/* ~/sciebo/PHD-Presentation-Backup

6
.gitignore vendored
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@@ -60,12 +60,10 @@ data/*
*.py.ipynb *.py.ipynb
# Potentially large but not binary # Potentially large but not binary
*.svg # *.svg
# Binary files # Binary files
*.pdf *.pdf
*.jpg
*.png
*.zip *.zip
*.gz *.gz
*.tar *.tar
@@ -86,3 +84,5 @@ data/*
# Ignore html files for now # Ignore html files for now
# TODO: Remove later # TODO: Remove later
*.html *.html
index_cache
index_files

3
.gitmodules vendored
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@@ -1,3 +0,0 @@
[submodule "02_crps_learning"]
path = 02_crps_learning
url = git@git.uni-due.de:dsee/papers/crps-learning-code.git

8
.vscode/settings.json vendored Normal file
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@@ -0,0 +1,8 @@
{
"files.autoSave": "off",
"files.exclude": {
"**/.git": false,
".git": false
},
"todo-tree.tree.hideTreeWhenEmpty": false
}

Submodule 02_crps_learning deleted from bc6d15048c

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@@ -1,31 +0,0 @@
text_size <- 16
width <- 12
height <- 6
# col_lightgray <- "#e7e7e7"
# col_blue <- "#F24159"
# col_b_smooth <- "#F7CE14"
# col_p_smooth <- "#58A64A"
# col_pointwise <- "#772395"
# col_b_constant <- "#BF236D"
# col_p_constant <- "#F6912E"
# col_optimum <- "#666666"
# https://www.schemecolor.com/retro-rainbow-pastels.php
col_lightgray <- "#e7e7e7"
col_blue <- "#F24159"
col_b_smooth <- "#5391AE"
col_p_smooth <- "#85B464"
col_pointwise <- "#E2D269"
col_b_constant <- "#7A4E8A"
col_p_constant <- "#BC677B"
col_optimum <- "#666666"
col_auto <- "#EA915E"
T_selection <- c(32, 128, 512)
# Lambda grid
lamgrid <- c(-Inf, 2^(-15:25))
# Gamma grid
gammagrid <- sort(1 - sqrt(seq(0, 0.99, .05)))

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@article{aastveit2014nowcasting,
title = {Nowcasting GDP in real time: A density combination approach},
author = {Aastveit, Knut Are and Gerdrup, Karsten R and Jore, Anne Sofie and Thorsrud, Leif Anders},
journal = {Journal of Business \& Economic Statistics},
volume = {32},
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year = {2014},
publisher = {Taylor \& Francis}
}
@incollection{aastveit2019evolution,
title = {The Evolution of Forecast Density Combinations in Economics},
author = {Aastveit, Knut Are and Mitchell, James and Ravazzolo, Francesco and van Dijk, Herman K},
booktitle = {Oxford Research Encyclopedia of Economics and Finance},
year = {2019}
}
@article{atiya2020does,
title = {Why does forecast combination work so well?},
author = {Atiya, Amir F},
journal = {International Journal of Forecasting},
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year = {2020},
publisher = {Elsevier}
}
@article{atsalakis2016using,
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@article{bai2020does,
title = {Does crude oil futures price really help to predict spot oil price? New evidence from density forecasting},
author = {Bai, Lan and Li, Xiafei and Wei, Yu and Wei, Guiwu},
journal = {International Journal of Finance \& Economics},
year = {2020},
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@article{benz2009modeling,
title = {Modeling the price dynamics of CO2 emission allowances},
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@article{biau2011sequential,
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@inproceedings{bousquet2001tracking,
title = {Tracking a small set of experts by mixing past posteriors},
author = {Bousquet, Olivier and Warmuth, Manfred K},
booktitle = {International Conference on Computational Learning Theory},
pages = {31--47},
year = {2001},
organization = {Springer}
}
@article{bregere2020online,
title = {Online hierarchical forecasting for power consumption data},
author = {Br{\'e}g{\`e}re, Margaux and Huard, Malo},
journal = {arXiv preprint arXiv:2003.00585},
year = {2020}
}
@article{busetti2017quantile,
title = {Quantile aggregation of density forecasts},
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@book{cesa2006prediction,
title = {Prediction, learning, and games},
author = {Cesa-Bianchi, Nicolo and Lugosi, G{\'a}bor},
year = {2006},
publisher = {Cambridge university press}
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@article{cesa2012mirror,
title = {Mirror descent meets fixed share (and feels no regret)},
author = {Cesa-Bianchi, Nicolo and Gaillard, Pierre and Lugosi, G{\'a}bor and Stoltz, Gilles},
journal = {Advances in Neural Information Processing Systems},
volume = {25},
pages = {980--988},
year = {2012}
}
@article{cheng2015forecasting,
title = {Forecasting with factor-augmented regression: A frequentist model averaging approach},
author = {Cheng, Xu and Hansen, Bruce E},
journal = {Journal of Econometrics},
volume = {186},
number = {2},
pages = {280--293},
year = {2015},
publisher = {Elsevier}
}
@article{chernozhukov2010quantile,
title = {Quantile and probability curves without crossing},
author = {Chernozhukov, Victor and Fern{\'a}ndez-Val, Iv{\'a}n and Galichon, Alfred},
journal = {Econometrica},
volume = {78},
number = {3},
pages = {1093--1125},
year = {2010},
publisher = {Wiley Online Library}
}
@article{devaine2013forecasting,
title = {Forecasting electricity consumption by aggregating specialized experts},
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journal = {Machine Learning},
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number = {2},
pages = {231--260},
year = {2013},
publisher = {Springer}
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@article{dutta2018modeling,
title = {Modeling and forecasting the volatility of carbon emission market: The role of outliers, time-varying jumps and oil price risk},
author = {Dutta, Anupam},
journal = {Journal of Cleaner Production},
volume = {172},
pages = {2773--2781},
year = {2018},
publisher = {Elsevier}
}
@article{eddelbuettel2014rcpparmadillo,
title = {RcppArmadillo: Accelerating R with high-performance C++ linear algebra},
author = {Eddelbuettel, Dirk and Sanderson, Conrad},
journal = {Computational Statistics \& Data Analysis},
volume = {71},
pages = {1054--1063},
year = {2014},
publisher = {Elsevier}
}
@article{fragoso2018bayesian,
title = {Bayesian model averaging: A systematic review and conceptual classification},
author = {Fragoso, Tiago M and Bertoli, Wesley and Louzada, Francisco},
journal = {International Statistical Review},
volume = {86},
number = {1},
pages = {1--28},
year = {2018},
publisher = {Wiley Online Library}
}
@inproceedings{gaillard2014second,
title = {A second-order bound with excess losses},
author = {Gaillard, Pierre and Stoltz, Gilles and Van Erven, Tim},
booktitle = {Conference on Learning Theory},
pages = {176--196},
year = {2014},
organization = {PMLR}
}
@incollection{gaillard2015forecasting,
title = {Forecasting electricity consumption by aggregating experts; how to design a good set of experts},
author = {Gaillard, Pierre and Goude, Yannig},
booktitle = {Modeling and stochastic learning for forecasting in high dimensions},
pages = {95--115},
year = {2015},
publisher = {Springer}
}
@inproceedings{gaillard2018efficient,
title = {Efficient online algorithms for fast-rate regret bounds under sparsity},
author = {Gaillard, Pierre and Wintenberger, Olivier},
booktitle = {Advances in Neural Information Processing Systems},
pages = {7026--7036},
year = {2018}
}
@article{garcia2020short,
title = {Short-term European Union Allowance price forecasting with artificial neural networks},
author = {Garc{\'\i}a, Agust{\'\i}n and Jaramillo-Mor{\'a}n, Miguel A},
journal = {Entrepreneurship and Sustainability Issues},
volume = {8},
number = {1},
pages = {261},
year = {2020}
}
@article{gneiting2007strictly,
title = {Strictly proper scoring rules, prediction, and estimation},
author = {Gneiting, Tilmann and Raftery, Adrian E},
journal = {Journal of the American statistical Association},
volume = {102},
number = {477},
pages = {359--378},
year = {2007},
publisher = {Taylor \& Francis}
}
@article{gneiting2011comparing,
title = {Comparing density forecasts using threshold-and quantile-weighted scoring rules},
author = {Gneiting, Tilmann and Ranjan, Roopesh},
journal = {Journal of Business \& Economic Statistics},
volume = {29},
number = {3},
pages = {411--422},
year = {2011},
publisher = {Taylor \& Francis}
}
@article{gneiting2011making,
title = {Making and evaluating point forecasts},
author = {Gneiting, Tilmann},
journal = {Journal of the American Statistical Association},
volume = {106},
number = {494},
pages = {746--762},
year = {2011},
publisher = {Taylor \& Francis}
}
@article{gneiting2011quantiles,
title = {Quantiles as optimal point forecasts},
author = {Gneiting, Tilmann},
journal = {International Journal of forecasting},
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number = {2},
pages = {197--207},
year = {2011},
publisher = {Elsevier}
}
@article{hansen2008least,
title = {Least-squares forecast averaging},
author = {Hansen, Bruce E},
journal = {Journal of Econometrics},
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number = {2},
pages = {342--350},
year = {2008},
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}
@article{hao2020modelling,
title = {Modelling of carbon price in two real carbon trading markets},
author = {Hao, Yan and Tian, Chengshi and Wu, Chunying},
journal = {Journal of Cleaner Production},
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}
@article{he1997quantile,
title = {Quantile curves without crossing},
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@article{herbster1998tracking,
title = {Tracking the best expert},
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@article{hsiao2014there,
title = {Is there an optimal forecast combination?},
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@book{hyndman2018forecasting,
title = {Forecasting: principles and practice},
author = {Hyndman, Rob J and Athanasopoulos, George},
year = {2018},
publisher = {OTexts}
}
@article{jore2010combining,
title = {Combining forecast densities from VARs with uncertain instabilities},
author = {Jore, Anne Sofie and Mitchell, James and Vahey, Shaun P},
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@inproceedings{kakade2008generalization,
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@article{kapetanios2015generalised,
title = {Generalised density forecast combinations},
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@inproceedings{koolen2015second,
title = {Second-order quantile methods for experts and combinatorial games},
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@article{koop2013forecasting,
title = {Forecasting the European carbon market},
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@article{korotin2019integral,
title = {Integral Mixabilty: a Tool for Efficient Online Aggregation of Functional and Probabilistic Forecasts},
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}
@inproceedings{korotin2020mixing,
title = {Mixing past predictions},
author = {Korotin, Alexander and Vyugin, Vladimir and Burnaev, Evgeny},
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}
@article{lichtendahl2013better,
title = {Is it better to average probabilities or quantiles?},
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@article{lin2018multi,
title = {A multi-model combination approach for probabilistic wind power forecasting},
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@article{littlestone1994weighted,
title = {The weighted majority algorithm},
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@article{lu2015jackknife,
title = {Jackknife model averaging for quantile regressions},
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}
@article{maciejowska2020pca,
title = {PCA Forecast Averaging—Predicting Day-Ahead and Intraday Electricity Prices},
author = {Maciejowska, Katarzyna and Uniejewski, Bartosz and Serafin, Tomasz},
journal = {Energies},
volume = {13},
number = {14},
pages = {3530},
year = {2020},
publisher = {Multidisciplinary Digital Publishing Institute}
}
@article{mhammedi2019lipschitz,
title = {Lipschitz adaptivity with multiple learning rates in online learning},
author = {Mhammedi, Zakaria and Koolen, Wouter M and Van Erven, Tim},
journal = {arXiv preprint arXiv:1902.10797},
year = {2019}
}
@article{nowotarski2018recent,
title = {Recent advances in electricity price forecasting: A review of probabilistic forecasting},
author = {Nowotarski, Jakub and Weron, Rafa{\l}},
journal = {Renewable and Sustainable Energy Reviews},
volume = {81},
pages = {1548--1568},
year = {2018},
publisher = {Elsevier}
}
@article{opschoor2017combining,
title = {Combining density forecasts using focused scoring rules},
author = {Opschoor, Anne and Van Dijk, Dick and van der Wel, Michel},
journal = {Journal of Applied Econometrics},
volume = {32},
number = {7},
pages = {1298--1313},
year = {2017},
publisher = {Wiley Online Library}
}
@article{petropoulos2020forecasting,
title = {Forecasting: theory and practice},
author = {Petropoulos, Fotios and Apiletti, Daniele and Assimakopoulos, Vassilios and Babai, Mohamed Zied and Barrow, Devon K and Bergmeir, Christoph and Bessa, Ricardo J and Boylan, John E and Browell, Jethro and Carnevale, Claudio and others},
journal = {arXiv preprint arXiv:2012.03854},
year = {2020}
}
@article{raftery2005using,
title = {Using Bayesian model averaging to calibrate forecast ensembles},
author = {Raftery, Adrian E and Gneiting, Tilmann and Balabdaoui, Fadoua and Polakowski, Michael},
journal = {Monthly weather review},
volume = {133},
number = {5},
pages = {1155--1174},
year = {2005}
}
@article{segnon2017modeling,
title = {Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models},
author = {Segnon, Mawuli and Lux, Thomas and Gupta, Rangan},
journal = {Renewable and Sustainable Energy Reviews},
volume = {69},
pages = {692--704},
year = {2017},
publisher = {Elsevier}
}
@article{thorey2017online,
title = {Online learning with the Continuous Ranked Probability Score for ensemble forecasting},
author = {Thorey, Jean and Mallet, Vivien and Baudin, Paul},
journal = {Quarterly Journal of the Royal Meteorological Society},
volume = {143},
number = {702},
pages = {521--529},
year = {2017},
publisher = {Wiley Online Library}
}
@article{thorey2018ensemble,
title = {Ensemble forecast of photovoltaic power with online CRPS learning},
author = {Thorey, Jean and Chaussin, Christophe and Mallet, Vivien},
journal = {International Journal of Forecasting},
volume = {34},
number = {4},
pages = {762--773},
year = {2018},
publisher = {Elsevier}
}
@article{tu2011markowitz,
title = {Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies},
author = {Tu, Jun and Zhou, Guofu},
journal = {Journal of Financial Economics},
volume = {99},
number = {1},
pages = {204--215},
year = {2011},
publisher = {Elsevier}
}
@article{v2020online,
title = {Online Aggregation of Probabilistic Forecasts Based on the Continuous Ranked Probability Score},
author = {Vyugin, VV and Trunov, VG},
journal = {Journal of Communications Technology and Electronics},
volume = {65},
number = {6},
pages = {662--676},
year = {2020},
publisher = {Springer}
}
@article{van2018probabilistic,
title = {Probabilistic forecasting of solar power, electricity consumption and net load: Investigating the effect of seasons, aggregation and penetration on prediction intervals},
author = {Van der Meer, DW and Munkhammar, Joakim and Wid{\'e}n, Joakim},
journal = {Solar Energy},
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year = {2018},
publisher = {Elsevier}
}
@article{vovk1990aggregating,
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year = {1990}
}
@book{wahba1990spline,
title = {Spline models for observational data},
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title = {Smoothing splines: methods and applications},
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@article{wang2019jackknife,
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@article{wintenberger2017optimal,
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}
@article{zamo2020sequential,
title = {Sequential Aggregation of Probabilistic Forecasts--Applicaton to Wind Speed Ensemble Forecasts},
author = {Zamo, Micha{\"e}l and Bel, Liliane and Mestre, Olivier},
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@article{zhang2020load,
title = {Load probability density forecasting by transforming and combining quantile forecasts},
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journal = {Applied Energy},
volume = {277},
pages = {115600},
year = {2020},
publisher = {Elsevier}
}

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81
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56
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title: Pointer
author: Posit Software, PBC
version: 0.1.0
quarto-required: ">=1.2.198"
contributes:
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script: pointer.js
stylesheet: pointer.css
config:
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key: "q"
color: "red"
pointerSize: 16
alwaysVisible: false

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apa-old-doi-prefix.csl Normal file
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<?xml version="1.0" encoding="utf-8"?>
<style xmlns="http://purl.org/net/xbiblio/csl" class="in-text" version="1.0" demote-non-dropping-particle="never">
<info>
<title>American Psychological Association 6th edition ("DOI:" DOI prefix)</title>
<title-short>APA</title-short>
<id>http://www.zotero.org/styles/apa-old-doi-prefix</id>
<link href="http://www.zotero.org/styles/apa-old-doi-prefix" rel="self"/>
<link href="http://owl.english.purdue.edu/owl/resource/560/01/" rel="documentation"/>
<author>
<name>Simon Kornblith</name>
<email>simon@simonster.com</email>
</author>
<contributor>
<name>Bruce D'Arcus</name>
</contributor>
<contributor>
<name>Curtis M. Humphrey</name>
</contributor>
<contributor>
<name>Richard Karnesky</name>
<email>karnesky+zotero@gmail.com</email>
<uri>http://arc.nucapt.northwestern.edu/Richard_Karnesky</uri>
</contributor>
<contributor>
<name>Sebastian Karcher</name>
</contributor>
<contributor>
<name> Brenton M. Wiernik</name>
<email>zotero@wiernik.org</email>
</contributor>
<category citation-format="author-date"/>
<category field="psychology"/>
<category field="generic-base"/>
<updated>2017-09-05T01:06:39+00:00</updated>
<rights license="http://creativecommons.org/licenses/by-sa/3.0/">This work is licensed under a Creative Commons Attribution-ShareAlike 3.0 License</rights>
</info>
<locale xml:lang="en">
<terms>
<term name="editortranslator" form="short">
<single>ed. &amp; trans.</single>
<multiple>eds. &amp; trans.</multiple>
</term>
<term name="translator" form="short">
<single>trans.</single>
<multiple>trans.</multiple>
</term>
</terms>
</locale>
<macro name="container-contributors">
<choose>
<if type="chapter paper-conference entry-dictionary entry-encyclopedia" match="any">
<group delimiter=", ">
<names variable="container-author" delimiter=", ">
<name and="symbol" initialize-with=". " delimiter=", "/>
<label form="short" prefix=" (" text-case="title" suffix=")"/>
</names>
<names variable="editor translator" delimiter=", ">
<name and="symbol" initialize-with=". " delimiter=", "/>
<label form="short" prefix=" (" text-case="title" suffix=")"/>
</names>
</group>
</if>
</choose>
</macro>
<macro name="secondary-contributors">
<choose>
<if type="article-journal chapter paper-conference entry-dictionary entry-encyclopedia" match="none">
<group delimiter=", " prefix=" (" suffix=")">
<names variable="container-author" delimiter=", ">
<name and="symbol" initialize-with=". " delimiter=", "/>
<label form="short" prefix=", " text-case="title"/>
</names>
<names variable="editor translator" delimiter=", ">
<name and="symbol" initialize-with=". " delimiter=", "/>
<label form="short" prefix=", " text-case="title"/>
</names>
</group>
</if>
</choose>
</macro>
<macro name="author">
<names variable="author">
<name name-as-sort-order="all" and="symbol" sort-separator=", " initialize-with="." delimiter=", " delimiter-precedes-last="always"/>
<label form="short" prefix=" (" suffix=")" text-case="capitalize-first"/>
<substitute>
<names variable="editor"/>
<names variable="translator"/>
<choose>
<if type="report">
<text variable="publisher"/>
<text macro="title"/>
</if>
<else>
<text macro="title"/>
</else>
</choose>
</substitute>
</names>
</macro>
<macro name="author-short">
<choose>
<if type="patent" variable="number" match="all">
<text macro="patent-number"/>
</if>
<else>
<names variable="author">
<name form="short" and="symbol" delimiter=", " initialize-with=". "/>
<substitute>
<names variable="editor"/>
<names variable="translator"/>
<choose>
<if type="report">
<text variable="publisher"/>
<text variable="title" form="short" font-style="italic"/>
</if>
<else-if type="legal_case">
<text variable="title" font-style="italic"/>
</else-if>
<else-if type="book graphic motion_picture song" match="any">
<text variable="title" form="short" font-style="italic"/>
</else-if>
<else-if type="bill legislation" match="any">
<text variable="title" form="short"/>
</else-if>
<else-if variable="reviewed-author">
<choose>
<if variable="reviewed-title" match="none">
<text variable="title" form="short" font-style="italic" prefix="Review of "/>
</if>
<else>
<text variable="title" form="short" quotes="true"/>
</else>
</choose>
</else-if>
<else>
<text variable="title" form="short" quotes="true"/>
</else>
</choose>
</substitute>
</names>
</else>
</choose>
</macro>
<macro name="patent-number">
<!-- genre: U.S. Patent number: 123,445-->
<group delimiter=" ">
<group delimiter=" ">
<text variable="genre"/>
<text term="issue" form="short" text-case="capitalize-first"/>
</group>
<text variable="number"/>
</group>
</macro>
<macro name="access">
<choose>
<if type="thesis report" match="any">
<choose>
<if variable="DOI" match="any">
<text variable="DOI" prefix="DOI: /"/>
</if>
<else-if variable="URL" match="any">
<group>
<text variable="URL"/>
</group>
</else-if>
<else-if variable="archive" match="any">
<group>
<text term="retrieved" text-case="capitalize-first" suffix=" "/>
<text term="from" suffix=" "/>
<text variable="archive" suffix="."/>
<text variable="archive_location" prefix=" (" suffix=")"/>
</group>
</else-if>
</choose>
</if>
<else>
<choose>
<if variable="DOI">
<text variable="DOI" prefix="DOI: "/>
</if>
<else>
<choose>
<if type="post post-weblog webpage" match="any">
<group delimiter=" ">
<text term="retrieved" text-case="capitalize-first" suffix=" "/>
<group>
<date variable="accessed" form="text" suffix=", "/>
</group>
<text term="from"/>
<text variable="URL"/>
</group>
</if>
<else>
<group>
<text variable="URL"/>
</group>
</else>
</choose>
</else>
</choose>
</else>
</choose>
</macro>
<macro name="title">
<choose>
<if type="book graphic manuscript motion_picture report song speech thesis" match="any">
<choose>
<if variable="version" type="book" match="all">
<!---This is a hack until we have a computer program type -->
<text variable="title"/>
</if>
<else>
<text variable="title" font-style="italic"/>
</else>
</choose>
</if>
<else-if variable="reviewed-author">
<choose>
<if variable="reviewed-title">
<group delimiter=" ">
<text variable="title"/>
<group delimiter=", " prefix="[" suffix="]">
<text variable="reviewed-title" font-style="italic" prefix="Review of "/>
<names variable="reviewed-author" delimiter=", ">
<label form="verb-short" suffix=" "/>
<name and="symbol" initialize-with=". " delimiter=", "/>
</names>
</group>
</group>
</if>
<else>
<!-- assume `title` is title of reviewed work -->
<group delimiter=", " prefix="[" suffix="]">
<text variable="title" font-style="italic" prefix="Review of "/>
<names variable="reviewed-author" delimiter=", ">
<label form="verb-short" suffix=" "/>
<name and="symbol" initialize-with=". " delimiter=", "/>
</names>
</group>
</else>
</choose>
</else-if>
<else-if type="patent" variable="number" match="all">
<text macro="patent-number" font-style="italic"/>
</else-if>
<else>
<text variable="title"/>
</else>
</choose>
</macro>
<macro name="title-plus-extra">
<text macro="title"/>
<choose>
<if type="report thesis" match="any">
<group prefix=" (" suffix=")" delimiter=", ">
<group delimiter=" ">
<choose>
<if variable="genre" match="any">
<text variable="genre"/>
</if>
<else>
<text variable="collection-title"/>
</else>
</choose>
<text variable="number" prefix="No. "/>
</group>
<group delimiter=" ">
<text term="version" text-case="capitalize-first"/>
<text variable="version"/>
</group>
<text macro="edition"/>
</group>
</if>
<else-if type="post-weblog webpage" match="any">
<text variable="genre" prefix=" [" suffix="]"/>
</else-if>
<else-if variable="version">
<group delimiter=" " prefix=" (" suffix=")">
<text term="version" text-case="capitalize-first"/>
<text variable="version"/>
</group>
</else-if>
</choose>
<text macro="format" prefix=" [" suffix="]"/>
</macro>
<macro name="format">
<choose>
<if match="any" variable="medium">
<text variable="medium" text-case="capitalize-first"/>
</if>
<else-if type="dataset" match="any">
<text value="Data set"/>
</else-if>
</choose>
</macro>
<macro name="publisher">
<choose>
<if type="report" match="any">
<group delimiter=": ">
<text variable="publisher-place"/>
<text variable="publisher"/>
</group>
</if>
<else-if type="thesis" match="any">
<group delimiter=", ">
<text variable="publisher"/>
<text variable="publisher-place"/>
</group>
</else-if>
<else-if type="patent">
<group delimiter=": ">
<text variable="publisher-place"/>
<choose>
<if variable="publisher">
<text variable="publisher"/>
</if>
<else>
<text variable="authority"/>
</else>
</choose>
</group>
</else-if>
<else-if type="post-weblog webpage" match="none">
<group delimiter=", ">
<choose>
<if variable="event version" type="speech motion_picture" match="none">
<!-- Including version is to avoid printing the programming language for computerProgram /-->
<text variable="genre"/>
</if>
</choose>
<choose>
<if type="article-journal article-magazine article-newspaper" match="none">
<group delimiter=": ">
<choose>
<if variable="publisher-place">
<text variable="publisher-place"/>
</if>
<else>
<text variable="event-place"/>
</else>
</choose>
<text variable="publisher"/>
</group>
</if>
</choose>
</group>
</else-if>
</choose>
</macro>
<macro name="event">
<choose>
<if variable="container-title" match="none">
<choose>
<if variable="event">
<choose>
<if variable="genre" match="none">
<text term="presented at" text-case="capitalize-first" suffix=" "/>
<text variable="event"/>
</if>
<else>
<group delimiter=" ">
<text variable="genre" text-case="capitalize-first"/>
<text term="presented at"/>
<text variable="event"/>
</group>
</else>
</choose>
</if>
<else-if type="speech">
<text variable="genre" text-case="capitalize-first"/>
</else-if>
</choose>
</if>
</choose>
</macro>
<macro name="issued">
<choose>
<if type="bill legal_case legislation" match="none">
<choose>
<if variable="issued">
<group prefix=" (" suffix=")">
<date variable="issued">
<date-part name="year"/>
</date>
<text variable="year-suffix"/>
<choose>
<if type="speech" match="any">
<date variable="issued">
<date-part prefix=", " name="month"/>
</date>
</if>
<else-if type="article-journal bill book chapter graphic legal_case legislation motion_picture paper-conference report song dataset" match="none">
<date variable="issued">
<date-part prefix=", " name="month"/>
<date-part prefix=" " name="day"/>
</date>
</else-if>
</choose>
</group>
</if>
<else-if variable="status">
<group prefix=" (" suffix=")">
<text variable="status"/>
<text variable="year-suffix" prefix="-"/>
</group>
</else-if>
<else>
<group prefix=" (" suffix=")">
<text term="no date" form="short"/>
<text variable="year-suffix" prefix="-"/>
</group>
</else>
</choose>
</if>
</choose>
</macro>
<macro name="issued-sort">
<choose>
<if type="article-journal bill book chapter graphic legal_case legislation motion_picture paper-conference report song dataset" match="none">
<date variable="issued">
<date-part name="year"/>
<date-part name="month"/>
<date-part name="day"/>
</date>
</if>
<else>
<date variable="issued">
<date-part name="year"/>
</date>
</else>
</choose>
</macro>
<macro name="issued-year">
<choose>
<if variable="issued">
<group delimiter="/">
<date variable="original-date" form="text"/>
<group>
<date variable="issued">
<date-part name="year"/>
</date>
<text variable="year-suffix"/>
</group>
</group>
</if>
<else-if variable="status">
<text variable="status"/>
<text variable="year-suffix" prefix="-"/>
</else-if>
<else>
<text term="no date" form="short"/>
<text variable="year-suffix" prefix="-"/>
</else>
</choose>
</macro>
<macro name="edition">
<choose>
<if is-numeric="edition">
<group delimiter=" ">
<number variable="edition" form="ordinal"/>
<text term="edition" form="short"/>
</group>
</if>
<else>
<text variable="edition"/>
</else>
</choose>
</macro>
<macro name="locators">
<choose>
<if type="article-journal article-magazine" match="any">
<group prefix=", " delimiter=", ">
<group>
<text variable="volume" font-style="bold"/>
<text variable="issue" prefix="(" suffix=")"/>
</group>
<text variable="page"/>
</group>
<choose>
<!--for advanced online publication-->
<if variable="issued">
<choose>
<if variable="page issue" match="none">
<text variable="status" prefix=". "/>
</if>
</choose>
</if>
</choose>
</if>
<else-if type="article-newspaper">
<group delimiter=" " prefix=", ">
<label variable="page" form="short"/>
<text variable="page"/>
</group>
</else-if>
<else-if type="book graphic motion_picture report song chapter paper-conference entry-encyclopedia entry-dictionary" match="any">
<group prefix=" (" suffix=")" delimiter=", ">
<choose>
<if type="report" match="none">
<!-- edition for report is included in title-plus-extra /-->
<text macro="edition"/>
</if>
</choose>
<choose>
<if variable="volume" match="any">
<group>
<text term="volume" form="short" text-case="capitalize-first" suffix=" "/>
<number variable="volume" form="numeric"/>
</group>
</if>
<else>
<group>
<text term="volume" form="short" plural="true" text-case="capitalize-first" suffix=" "/>
<number variable="number-of-volumes" form="numeric" prefix="1&#8211;"/>
</group>
</else>
</choose>
<group>
<label variable="page" form="short" suffix=" "/>
<text variable="page"/>
</group>
</group>
</else-if>
<else-if type="legal_case">
<group prefix=" (" suffix=")" delimiter=" ">
<text variable="authority"/>
<choose>
<if variable="container-title" match="any">
<!--Only print year for cases published in reporters-->
<date variable="issued" form="numeric" date-parts="year"/>
</if>
<else>
<date variable="issued" form="text"/>
</else>
</choose>
</group>
</else-if>
<else-if type="bill legislation" match="any">
<date variable="issued" prefix=" (" suffix=")">
<date-part name="year"/>
</date>
</else-if>
</choose>
</macro>
<macro name="citation-locator">
<group>
<choose>
<if locator="chapter">
<label variable="locator" form="long" text-case="capitalize-first"/>
</if>
<else>
<label variable="locator" form="short"/>
</else>
</choose>
<text variable="locator" prefix=" "/>
</group>
</macro>
<macro name="container">
<choose>
<if type="post-weblog webpage" match="none">
<group>
<choose>
<if type="chapter paper-conference entry-encyclopedia" match="any">
<text term="in" text-case="capitalize-first" suffix=" "/>
</if>
</choose>
<group delimiter=", ">
<text macro="container-contributors"/>
<text macro="secondary-contributors"/>
<text macro="container-title"/>
</group>
</group>
</if>
</choose>
</macro>
<macro name="container-title">
<choose>
<if type="article article-journal article-magazine article-newspaper" match="any">
<text variable="container-title" font-style="italic" text-case="title"/>
</if>
<else-if type="bill legal_case legislation" match="none">
<text variable="container-title" font-style="italic"/>
</else-if>
</choose>
</macro>
<macro name="legal-cites">
<choose>
<if type="legal_case" match="any">
<group prefix=", " delimiter=" ">
<choose>
<if variable="container-title">
<text variable="volume"/>
<text variable="container-title"/>
<group delimiter=" ">
<!--change to label variable="section" as that becomes available -->
<text term="section" form="symbol"/>
<text variable="section"/>
</group>
<text variable="page"/>
</if>
<else>
<text variable="number" prefix="No. "/>
</else>
</choose>
</group>
</if>
<else-if type="bill legislation" match="any">
<group delimiter=", " prefix=", ">
<choose>
<if variable="number">
<!--There's a public law number-->
<text variable="number" prefix="Pub. L. No. "/>
<group delimiter=" ">
<!--change to label variable="section" as that becomes available -->
<text term="section" form="symbol"/>
<text variable="section"/>
</group>
<group delimiter=" ">
<text variable="volume"/>
<text variable="container-title"/>
<text variable="page-first"/>
</group>
</if>
<else>
<group delimiter=" ">
<text variable="volume"/>
<text variable="container-title"/>
<!--change to label variable="section" as that becomes available -->
<text term="section" form="symbol"/>
<text variable="section"/>
</group>
</else>
</choose>
</group>
</else-if>
</choose>
</macro>
<macro name="original-date">
<choose>
<if variable="original-date">
<group prefix="(" suffix=")" delimiter=" ">
<!---This should be localized-->
<text value="Original work published"/>
<date variable="original-date" form="text"/>
</group>
</if>
</choose>
</macro>
<citation et-al-min="3" et-al-use-first="1" et-al-subsequent-min="3" et-al-subsequent-use-first="1" disambiguate-add-year-suffix="true" disambiguate-add-names="true" disambiguate-add-givenname="true" collapse="year" givenname-disambiguation-rule="primary-name">
<sort>
<key macro="author"/>
<key macro="issued-sort"/>
</sort>
<layout prefix="(" suffix=")" delimiter="; ">
<group delimiter=", ">
<text macro="author-short"/>
<text macro="issued-year"/>
<text macro="citation-locator"/>
</group>
</layout>
</citation>
<bibliography hanging-indent="true" et-al-min="8" et-al-use-first="6" et-al-use-last="true" entry-spacing="0" line-spacing="2">
<sort>
<key macro="author"/>
<key macro="issued-sort" sort="ascending"/>
<key macro="title"/>
</sort>
<layout>
<group suffix=".">
<group delimiter=". ">
<text macro="author"/>
<text macro="issued"/>
<text macro="title-plus-extra"/>
<text macro="container"/>
</group>
<text macro="legal-cites"/>
<text macro="locators"/>
<group delimiter=", " prefix=". ">
<text macro="event"/>
<text macro="publisher"/>
</group>
</group>
<text macro="access" prefix=" "/>
<text macro="original-date" prefix=" "/>
</layout>
</bibliography>
</style>

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assets/01_common.R Normal file
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text_size <- 16
linesize <- 1
width <- 12
height <- 6
# col_lightgray <- "#e7e7e7"
# col_blue <- "#F24159"
# col_b_smooth <- "#F7CE14"
# col_p_smooth <- "#58A64A"
# col_pointwise <- "#772395"
# col_b_constant <- "#BF236D"
# col_p_constant <- "#F6912E"
# col_optimum <- "#666666"
# https://www.schemecolor.com/retro-rainbow-pastels.php
col_lightgray <- "#e7e7e7"
col_blue <- "#F24159"
col_b_smooth <- "#5391AE"
col_p_smooth <- "#85B464"
col_pointwise <- "#E2D269"
col_b_constant <- "#7A4E8A"
col_p_constant <- "#BC677B"
col_optimum <- "#666666"
col_auto <- "#EA915E"
T_selection <- c(32, 128, 512)
# Lambda grid
lamgrid <- c(-Inf, 2^(-15:25))
# Gamma grid
gammagrid <- sort(1 - sqrt(seq(0, 0.99, .05)))
material_pals <- c(
"red", "pink", "purple", "deep-purple", "indigo",
"blue", "light-blue", "cyan", "teal", "green", "light-green", "lime",
"yellow", "amber", "orange", "deep-orange", "brown", "grey", "blue-grey"
)
cols <- purrr::map(material_pals, ~ ggsci::pal_material(.x)(10)) %>%
purrr::reduce(cbind)
colnames(cols) <- material_pals
cols %>%
as_tibble() %>%
mutate(idx = as.factor(1:10)) %>%
pivot_longer(-idx, names_to = "var", values_to = "val") %>%
mutate(var = factor(var, levels = material_pals[19:1])) %>%
ggplot() +
xlab(NULL) +
ylab(NULL) +
geom_tile(aes(x = idx, y = var, fill = val)) +
scale_fill_identity() +
scale_x_discrete(expand = c(0, 0)) +
scale_y_discrete(expand = c(0, 0)) +
theme_minimal() -> plot_cols
col_gas <- "blue"
col_eua <- "green"
col_oil <- "amber"
col_coal <- "brown"
col_scale2 <- function(x, rng_t) {
ret <- x
for (i in seq_along(x)) {
if (x[i] < rng_t[1]) {
ret[i] <- col_scale(rng_t[1])
} else if (x[i] > rng_t[2]) {
ret[i] <- col_scale(rng_t[2])
} else {
ret[i] <- col_scale(x[i])
}
}
return(ret)
}
rng_t <- c(-5, 5)
h_sub <- c(1, 5, 30)
col_scale <- scales::gradient_n_pal(
c(
cols[5, "green"],
cols[5, "light-green"],
cols[5, "yellow"],
# cols[5, "amber"],
cols[5, "orange"],
# cols[5, "deep-orange"],
cols[5, "red"]
),
values = seq(rng_t[1], rng_t[2], length.out = 5)
)

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@article{berrisch2023modeling,
title = {Modeling volatility and dependence of European carbon and energy prices},
author = {Jonathan Berrisch and Sven Pappert and Florian Ziel and Antonia Arsova},
year = {2023},
month = {3},
journal = {Finance Research Letters},
publisher = {Elsevier BV},
volume = {52},
pages = {103503},
doi = {10.1016/j.frl.2022.103503},
issn = {1544-6123},
url = {https://arxiv.org/pdf/2208.14311},
abstract = {We study the prices of European Emission Allowances (EUA), whereby we analyze their uncertainty and dependencies on related energy prices (natural gas, coal, and oil). We propose a probabilistic multivariate conditional time series model with a VECM-Copula-GARCH structure which exploits key characteristics of the data. Data are normalized with respect to inflation and carbon emissions to allow for proper cross-series evaluation. The forecasting performance is evaluated in an extensive rolling-window forecasting study, covering eight years out-of-sample. We discuss our findings for both levels- and log-transformed data, focusing on time-varying correlations, and in view of the Russian invasion of Ukraine.},
keywords = {Carbon prices, Conditional volatility, Copula, Emission allowances, Energy markets, Forecasting, Multivariate modeling, Time series}
}
@article{marcjasz2022distributional,
title = {Distributional neural networks for electricity price forecasting},
author = {Marcjasz, Grzegorz and Narajewski, Micha{\l} and Weron, Rafa{\l} and Ziel, Florian},
journal = {Energy Economics},
volume = {125},
pages = {106843},
year = {2023},
doi = {10.1016/j.eneco.2023.106843},
publisher = {Elsevier}
}
@book{cesa2006prediction,
title = {{Prediction, learning, and games}},
author = {Cesa-Bianchi, Nicol{\`o} and Lugosi, G{\'a}bor},
year = {2006},
month = {3},
publisher = {Cambridge university press},
pages = {I--XII, 1--394},
doi = {10.1017/CBO9780511546921},
isbn = {978-0521841085}
}
@inproceedings{gaillard2018efficient,
title = {{Efficient online algorithms for fast-rate regret bounds under sparsity}},
author = {Gaillard, Pierre and Wintenberger, Olivier},
year = {2018},
month = {5},
journal = {arXiv (Cornell University)},
booktitle = {Proceedings of the 32nd International Conference on Neural Information Processing Systems},
publisher = {Cornell University},
pages = {7026--7036},
doi = {10.48550/arxiv.1805.09174},
url = {https://arxiv.org/abs/1805.09174},
editor = {Bengio, Samy and Wallach, Hanna M. and Larochelle, Hugo and Grauman, Kristen and Cesa-Bianchi, Nicolò and Garnett, Roman}
}
@article{gneiting2007strictly,
title = {{Strictly proper scoring rules, prediction, and estimation}},
author = {Gneiting, Tilmann and Raftery, Adrian E},
year = {2007},
month = {3},
journal = {Journal of the American statistical Association},
publisher = {Taylor \& Francis},
volume = {102},
number = {477},
pages = {359--378},
doi = {10.1198/016214506000001437},
issn = {0162-1459}
}
@article{gneiting2011making,
title = {{Making and evaluating point forecasts}},
author = {Gneiting, Tilmann},
year = {2011},
month = {6},
journal = {Journal of the American Statistical Association},
publisher = {Taylor \& Francis},
volume = {106},
number = {494},
pages = {746--762},
doi = {10.1198/jasa.2011.r10138},
issn = {0162-1459},
url = {https://arxiv.org/pdf/0912.0902.pdf}
}
@article{wintenberger2017optimal,
title = {Optimal learning with Bernstein online aggregation},
author = {Wintenberger, Olivier},
year = {2017},
journal = {Machine Learning},
publisher = {Springer},
volume = {106},
number = {1},
pages = {119--141},
doi = {10.1007/s10994-016-5592-6}
}
@article{BERRISCH2023105221,
title = {CRPS learning},
author = {Jonathan Berrisch and Florian Ziel},
year = {2023},
month = {12},
journal = {Journal of Econometrics},
publisher = {Elsevier BV},
volume = {237},
number = {2, Part C},
pages = {105221},
doi = {10.1016/j.jeconom.2021.11.008},
issn = {0304-4076},
url = {https://arxiv.org/pdf/2102.00968},
abstract = {Combination and aggregation techniques can significantly improve forecast accuracy. This also holds for probabilistic forecasting methods where predictive distributions are combined. There are several time-varying and adaptive weighting schemes such as Bayesian model averaging (BMA). However, the quality of different forecasts may vary not only over time but also within the distribution. For example, some distribution forecasts may be more accurate in the center of the distributions, while others are better at predicting the tails. Therefore, we introduce a new weighting method that considers the differences in performance over time and within the distribution. We discuss pointwise combination algorithms based on aggregation across quantiles that optimize with respect to the continuous ranked probability score (CRPS). After analyzing the theoretical properties of pointwise CRPS learning, we discuss B- and P-Spline-based estimation techniques for batch and online learning, based on quantile regression and prediction with expert advice. We prove that the proposed fully adaptive Bernstein online aggregation (BOA) method for pointwise CRPS online learning has optimal convergence properties. They are confirmed in simulations and a probabilistic forecasting study for European emission allowance (EUA) prices.},
keywords = {Combination, Aggregation, Online, Probabilistic, Forecasting, Quantile, Time series, Distribution, Density, Prediction, Splines}
}
@article{BERRISCH20241568,
title = {Multivariate probabilistic CRPS learning with an application to day-ahead electricity prices},
author = {Jonathan Berrisch and Florian Ziel},
year = {2024},
month = {10},
journal = {International Journal of Forecasting},
publisher = {Elsevier BV},
volume = {40},
number = {4},
pages = {1568--1586},
doi = {10.1016/j.ijforecast.2024.01.005},
issn = {0169-2070},
abstract = {This paper presents a new method for combining (or aggregating or ensembling) multivariate probabilistic forecasts, considering dependencies between quantiles and marginals through a smoothing procedure that allows for online learning. We discuss two smoothing methods: dimensionality reduction using Basis matrices and penalized smoothing. The new online learning algorithm generalizes the standard CRPS learning framework into multivariate dimensions. It is based on Bernstein Online Aggregation (BOA) and yields optimal asymptotic learning properties. The procedure uses horizontal aggregation, i.e., aggregation across quantiles. We provide an in-depth discussion on possible extensions of the algorithm and several nested cases related to the existing literature on online forecast combination. We apply the proposed methodology to forecasting day-ahead electricity prices, which are 24-dimensional distributional forecasts. The proposed method yields significant improvements over uniform combination in terms of continuous ranked probability score (CRPS). We discuss the temporal evolution of the weights and hyperparameters and present the results of reduced versions of the preferred model. A fast Cimplementation of the proposed algorithm is provided in the open-source R-Package profoc on CRAN.},
keywords = {Combination, Aggregation, Ensembling, Online, Multivariate, Probabilistic, Forecasting, Quantile, Time series, Distribution, Density, Prediction, Splines}
}
@article{berrisch2025rcpptimer,
title = {rcpptimer: Rcpp Tic-Toc Timer with OpenMP Support},
author = {Berrisch, Jonathan},
year = {2025},
month = {1},
journal = {arXiv preprint arXiv:2501.15856},
publisher = {Cornell University},
volume = {abs/2501.15856},
doi = {10.48550/arXiv.2501.15856},
issn = {2331-8422},
url = {https://arxiv.org/pdf/2501.15856}
}
@article{hirsch2024online,
title = {Online Distributional Regression},
author = {Hirsch, Simon and Berrisch, Jonathan and Ziel, Florian},
year = {2024},
month = {6},
journal = {arXiv preprint arXiv:2407.08750},
publisher = {Cornell University},
volume = {abs/2407.08750},
doi = {10.48550/arXiv.2407.08750},
issn = {2331-8422},
url = {https://arxiv.org/pdf/2407.08750}
}
@article{berrisch2022distributional,
title = {Distributional modeling and forecasting of natural gas prices},
author = {Berrisch, Jonathan and Ziel, Florian},
year = {2022},
month = {1},
journal = {Journal of Forecasting},
publisher = {Wiley},
volume = {41},
number = {6},
pages = {1065--1086},
doi = {10.1002/for.2853},
issn = {0277-6693},
url = {https://arxiv.org/pdf/2010.06227},
abstract = {Abstract We examine the problem of modeling and forecasting European day-ahead and month-ahead natural gas prices. For this, we propose two distinct probabilistic models that can be utilized in risk and portfolio management. We use daily pricing data ranging from 2011 to 2020. Extensive descriptive data analysis shows that both time series feature heavy tails and conditional heteroscedasticity and show asymmetric behavior in their differences. We propose state-space time series models under skewed, heavy-tailed distributions to capture all stylized facts of the data. They include the impact of autocorrelation, seasonality, risk premia, temperature, storage levels, the price of European Emission Allowances, and related fuel prices of oil, coal, and electricity. We provide rigorous model diagnostics and interpret all model components in detail. Additionally, we conduct a probabilistic forecasting study with significance tests and compare the predictive performance against literature benchmarks. The proposed day-ahead (month-ahead) model leads to a 13\% (9\%) reduction in out-of-sample continuous ranked probability score (CRPS) compared with the best performing benchmark model, mainly due to adequate modeling of the volatility and heavy tails.},
keywords = {gas prices, heavy-tailed distribution, probabilistic forecasting, risk premium, state-space models}
}
@article{BERRISCH2023100236,
title = {High-resolution peak demand estimation using generalized additive models and deep neural networks},
author = {Jonathan Berrisch and Micha{\l} Narajewski and Florian Ziel},
year = {2023},
month = {7},
journal = {Energy and AI},
publisher = {Elsevier BV},
volume = {13},
pages = {100236},
doi = {10.1016/j.egyai.2023.100236},
issn = {2666-5468},
keywords = {Electricity peak load, Generalized additive models, Artificial neural networks, Prediction, Combination, Weather effects, Seasonality}
}
@book{johnson1995continuous,
title = {Continuous univariate distributions, volume 2},
author = {Johnson, Norman L and Kotz, Samuel and Balakrishnan, Narayanaswamy},
year = {1995},
publisher = {John wiley \& sons},
volume = {289}
}
@article{li2022general,
title = {General P-splines for non-uniform B-splines},
author = {Li, Zheyuan and Cao, Jiguo},
year = {2022},
journal = {arXiv preprint},
publisher = {Cornell University},
doi = {10.48550/arXiv.2201.06808},
url = {https://arxiv.org/abs/2201.06808}
}

BIN
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assets/make_knots_data.R Normal file
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# %%
library(profoc)
library(ggplot2)
library(tidyr)
library(dplyr)
library(readr)
# Creating faceted plots for different knot values and mu values
# Create a function to generate the data for a given number of knots and mu value
generate_basis_data <- function(num_knots, mu_value, sig_value, nonc_value, tailw_value, deg_value) {
grid <- seq(from = 0, to = 1, length.out = 26)
# Use provided degree
B <- profoc:::make_basis_matrix(grid,
profoc::make_knots(
n = num_knots,
mu = mu_value,
sig = sig_value,
nonc = nonc_value,
tailw = tailw_value,
deg = deg_value
),
deg = deg_value
)
B_mat <- round(as.matrix(B), 5)
df <- as.data.frame(B_mat)
df$x <- grid
df_long <- pivot_longer(df,
cols = -x,
names_to = "b",
values_to = "y"
)
df_long$knots <- num_knots
df_long$mu <- mu_value
df_long$sig <- sig_value
df_long$nonc <- nonc_value
df_long$tailw <- tailw_value
df_long$deg <- deg_value
return(df_long)
}
# Generate data for each combination of knot, mu, sig, nonc, tailw, and deg
mu_values <- seq(0.1, 0.9, by = 0.2)
sig_values <- 2^(-2:2)
nonc_values <- c(-4, -2, 0, 2, 4)
tailw_values <- 2^(-2:2)
# Create an empty list to store all combinations
all_data <- list()
counter <- 1
# Nested loops to cover all parameter combinations
for (m in mu_values) {
print(paste("Processing mu:", m))
for (s in sig_values) {
for (nc in nonc_values) {
for (tw in tailw_values) {
all_data[[counter]] <- generate_basis_data(5, m, s, nc, tw, 2)
counter <- counter + 1
}
}
}
}
# Combine all data frames
all_data <- bind_rows(all_data)
write_csv(all_data, "25_07_phd_defense/assets/mcrps_learning/basis_functions.csv")
# %%
all_data %>%
filter(mu == 0.1) %>%
filter(sig == 0.25) %>%
filter(nonc == -4) %>%
filter(tailw == 0.25) %>%
ggplot(aes(x = x, y = y, col = b)) +
geom_line(size = 2) +
labs(
title = "Basis Functions for Different Knot Values",
x = "x",
y = "y"
) +
theme_minimal()

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<script src="custom.js"></script>

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window.MathJax = {
tex: {
tags: 'ams'
},
displayAlign: "left",
displayIndent: "0em",
};

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:root {
--col_lightgray: #e7e7e7;
--col_blue: #000088;
--col_smooth_expost: #a7008b;
--col_constant: #dd9002;
--col_optimum: #666666;
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--col_pointwise: #008790;
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--col_yellow_9: #F8A725FF;
--col_yellow_10: #F47F17FF;
}
/*-- scss:defaults --*/
// $body-bg: #ffffff;
// $body-color: #7a6f69;
// $link-color: #005088;
// $selection-color: #00b0dc;
// $presentation-heading-color: $selection-color;
// $tabset-border-color: #bbb3b0;
/*-- scss:rules --*/
.slide-number,
.reveal.has-logo .slide-number {
bottom: 14px !important;
left: 50px !important;
top: unset !important;
color: #777777 !important;
}
.sup-zero-width {
display: inline-block;
vertical-align: super;
font-size: smaller;
width: 0px;
}
.zero-width {
display: inline-block;
width: 0px;
}
.fa {
width: 1.25em;
text-align: center;
}
/* Grey out links inside a row with class "greyed-out" */
tr.greyed-out,
tr.greyed-out a {
color: var(--col_grey_3) !important;
text-decoration: none !important;
}

View File

@@ -79,7 +79,9 @@
rPackages.gganimate rPackages.gganimate
rPackages.cowplot rPackages.cowplot
rPackages.xtable rPackages.xtable
rPackages.ggsci
rPackages.profoc rPackages.profoc
rPackages.ggforce
]; ];

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---
title: "Knots-Demo"
date: 2025-07-10
format:
revealjs:
embed-resources: true
execute:
daemon: false
highlight-style: github
---
```{ojs}
d3 = require("d3@7")
```
```{ojs}
bsplineData = FileAttachment("basis_functions.csv").csv({ typed: true })
```
```{ojs}
function updateChartInner(g, x, y, linesGroup, color, line, data) {
// Update axes with transitions
x.domain([0, d3.max(data, d => d.x)]);
g.select(".x-axis").transition().duration(1500).call(d3.axisBottom(x).ticks(10));
y.domain([0, d3.max(data, d => d.y)]);
g.select(".y-axis").transition().duration(1500).call(d3.axisLeft(y).ticks(5));
// Group data by basis function
const dataByFunction = Array.from(d3.group(data, d => d.b));
const keyFn = d => d[0];
// Update basis function lines
const u = linesGroup.selectAll("path").data(dataByFunction, keyFn);
u.join(
enter => enter.append("path").attr("fill","none").attr("stroke-width",3)
.attr("stroke", (_, i) => color(i)).attr("d", d => line(d[1].map(pt => ({x: pt.x, y: 0}))))
.style("opacity",0),
update => update,
exit => exit.transition().duration(1000).style("opacity",0).remove()
)
.transition().duration(1000)
.attr("d", d => line(d[1]))
.attr("stroke", (_, i) => color(i))
.style("opacity",1);
}
chart = {
// State variables for selected parameters
let selectedMu = 0.5;
let selectedSig = 1;
let selectedNonc = 0;
let selectedTailw = 1;
const filteredData = () => bsplineData.filter(d =>
Math.abs(selectedMu - d.mu) < 0.001 &&
d.sig === selectedSig &&
d.nonc === selectedNonc &&
d.tailw === selectedTailw
);
const container = d3.create("div")
.style("max-width", "none")
.style("width", "100%");;
const controlsContainer = container.append("div")
.style("display", "flex")
.style("gap", "20px");
// slider controls
const sliders = [
{ label: 'Mu', get: () => selectedMu, set: v => selectedMu = v, min: 0.1, max: 0.9, step: 0.2 },
{ label: 'Sigma', get: () => Math.log2(selectedSig), set: v => selectedSig = 2 ** v, min: -2, max: 2, step: 1 },
{ label: 'Noncentrality', get: () => selectedNonc, set: v => selectedNonc = v, min: -4, max: 4, step: 2 },
{ label: 'Tailweight', get: () => Math.log2(selectedTailw), set: v => selectedTailw = 2 ** v, min: -2, max: 2, step: 1 }
];
// Build slider controls with D3 data join
const sliderCont = controlsContainer.selectAll('div').data(sliders).join('div')
.style('display','flex').style('align-items','center').style('gap','10px')
.style('flex','1').style('min-width','0px');
sliderCont.append('label').text(d => d.label + ':').style('font-size','20px');
sliderCont.append('input')
.attr('type','range').attr('min', d => d.min).attr('max', d => d.max).attr('step', d => d.step)
.property('value', d => d.get())
.on('input', function(event, d) {
const val = +this.value; d.set(val);
d3.select(this.parentNode).select('span').text(d.label.match(/Sigma|Tailweight/) ? 2**val : val);
updateChart(filteredData());
})
.style('width', '100%');
sliderCont.append('span').text(d => (d.label.match(/Sigma|Tailweight/) ? d.get() : d.get()))
.style('font-size','20px');
// Add Reset button to clear all sliders to their defaults
controlsContainer.append('button')
.text('Reset')
.style('font-size', '20px')
.style('align-self', 'center')
.style('margin-left', 'auto')
.on('click', () => {
// reset state vars
selectedMu = 0.5;
selectedSig = 1;
selectedNonc = 0;
selectedTailw = 1;
// update input positions
sliderCont.selectAll('input').property('value', d => d.get());
// update displayed labels
sliderCont.selectAll('span')
.text(d => d.label.match(/Sigma|Tailweight/) ? (2**d.get()) : d.get());
// redraw chart
updateChart(filteredData());
});
// Build SVG
const width = 1200;
const height = 450;
const margin = {top: 40, right: 20, bottom: 40, left: 40};
const innerWidth = width - margin.left - margin.right;
const innerHeight = height - margin.top - margin.bottom;
// Set controls container width to match SVG plot width
controlsContainer.style("max-width", "none").style("width", "100%");
// Distribute each control evenly and make sliders full-width
controlsContainer.selectAll("div").style("flex", "1").style("min-width", "0px");
controlsContainer.selectAll("input").style("width", "100%").style("box-sizing", "border-box");
// Create scales
const x = d3.scaleLinear()
.domain([0, 1])
.range([0, innerWidth]);
const y = d3.scaleLinear()
.domain([0, 1])
.range([innerHeight, 0]);
// Create a color scale for the basis functions
const color = d3.scaleOrdinal(d3.schemeCategory10);
// Create SVG
const svg = d3.create("svg")
.attr("width", "100%")
.attr("height", "auto")
.attr("viewBox", [0, 0, width, height])
.attr("preserveAspectRatio", "xMidYMid meet")
.attr("style", "max-width: 100%; height: auto;");
// Create the chart group
const g = svg.append("g")
.attr("transform", `translate(${margin.left},${margin.top})`);
// Add axes
const xAxis = g.append("g")
.attr("transform", `translate(0,${innerHeight})`)
.attr("class", "x-axis")
.call(d3.axisBottom(x).ticks(10))
.style("font-size", "20px");
const yAxis = g.append("g")
.attr("class", "y-axis")
.call(d3.axisLeft(y).ticks(5))
.style("font-size", "20px");
// Add a horizontal line at y = 0
g.append("line")
.attr("x1", 0)
.attr("x2", innerWidth)
.attr("y1", y(0))
.attr("y2", y(0))
.attr("stroke", "#000")
.attr("stroke-opacity", 0.2);
// Add gridlines
g.append("g")
.attr("class", "grid-lines")
.selectAll("line")
.data(y.ticks(5))
.join("line")
.attr("x1", 0)
.attr("x2", innerWidth)
.attr("y1", d => y(d))
.attr("y2", d => y(d))
.attr("stroke", "#ccc")
.attr("stroke-opacity", 0.5);
// Create a line generator
const line = d3.line()
.x(d => x(d.x))
.y(d => y(d.y))
.curve(d3.curveBasis);
// Group to contain the basis function lines
const linesGroup = g.append("g")
.attr("class", "basis-functions");
// Store the current basis functions for transition
let currentBasisFunctions = new Map();
// Function to update the chart with new data
function updateChart(data) {
updateChartInner(g, x, y, linesGroup, color, line, data);
}
// Store the update function
svg.node().update = updateChart;
// Initial render
updateChart(filteredData());
container.node().appendChild(svg.node());
return container.node();
}
```

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#!/bin/sh
# Path to your .bib file
BIBFILE="assets/library.bib"
# Step 1: Extract all citation keys from the .bib file
# This assumes keys follow immediately after @...{KEY,
bibkeys=$(grep -oP '^@\w+\{\K[^,]+' "$BIBFILE")
# Step 2: Initialize array for unused keys
unused=()
for key in $bibkeys; do
if ! grep -qr "$key" . --include="*.qmd"; then
unused+=("$key")
fi
done
if [ ${#unused[@]} -eq 0 ]; then
echo "All citation keys are used."
else
echo "Unused citation keys:"
for key in "${unused[@]}"; do
echo " $key"
done
fi
# Step 5: Optional removal
if [ ${#unused[@]} -gt 0 ]; then
echo "Removing unused entries from $BIBFILE..."
awk -v keys="${unused[*]}" '
BEGIN {
split(keys, klist);
for (i in klist) unused[klist[i]] = 1;
skip = 0;
}
/^[[:space:]]*@/ {
match($0, /^@\w+\{([^,]+),/, m);
if (m[1] && unused[m[1]]) {
skip = 1;
next;
}
}
skip && /^\s*}/ {
skip = 0;
next;
}
!skip
' "$BIBFILE" > "$BIBFILE.tmp" && mv "$BIBFILE.tmp" "$BIBFILE"
echo "Done."
fi

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sydney.scss Normal file
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// See https://quarto.org/docs/presentations/revealjs/themes.html#saas-variables
$brand-red: #004c93;
$brand-blue: #efe4bf;
$brand-yellow: #ec7206;
$brand-charcoal: #424242;
$brand-gray: #F1F1F1;
$brand-grey: #F1F1F1;
/*-- scss:defaults --*/
// icons
// @import url("https://cdn.jsdelivr.net/npm/bootstrap-icons@1.8.1/font/bootstrap-icons.css");
@import "./bootstrap-icons.css";
// fonts
// Comment from BerriJ:
// I had problems with rendering when 'embed-resources: true' (important for
// offline use), so I had to use local copies of the fonts.
// @import url(https://fonts.googleapis.com/css?family=Source+Code+Pro);
// @import url('https://fonts.googleapis.com/css2?family=Patrick+Hand&display=swap');
// @import url('https://fonts.googleapis.com/css2?family=Roboto');
// @import url(https://fonts.googleapis.com/css?family=Roboto+Condensed);
@import "./Roboto.css";
@import "./Roboto+Condensed.css";
@import "./Source+Code+Pro.css";
@import "./Patrick+Hand.css";
;
$roboto: 'Roboto', Arial, sans-serif;
$roboto-cond: 'Roboto Condensed', Arial, sans-serif;
$code-font: 'Source Code Pro', 'Lucida Console', Monaco, monospace;
$blockquote-font: 'Patrick Hand', cursive;
// colors
$body-bg: #fff;
$body-color: #222;
$link-color: #2a76dd;
$selection-bg: lighten($link-color, 25%);
// website
$font-family-sans-serif: $roboto !default;
$font-family-monospace: $code-font !default;
$body-color: $brand-charcoal;
$navbar-bg: #333333;
//$navbar-color: #0F2E3D;
$link-color: $brand-red;
// headings
$presentation-heading-font: $roboto-cond !default;
$presentation-heading-color: #383d3d !default;
// title slide
$presentation-title-slide-text-align: left;
// body
$presentation-font-size-root: 28px; // default is 40px
$presentation-font-smaller: 0.9 !default;
$presentation-line-height: 1.3; // default is 1.3
// code blocks
$code-block-bg: $brand-grey;
// $code-block-border-color: lighten($body-color, 60%);
$code-block-font-size: 0.75em;
// $code-color: $brand-charcoal; // var(quarto-hl-fu-color);
// $code-bg: transparent;
/*-- scss:rules --*/
// .reveal .slide-background:first-child {
// background-image: url("https://raw.githubusercontent.com/DATA2002/data/master/usydlogo-white.svg");
// background-repeat: no-repeat;
// background-position: 95% 95%;
// background-size: 15%;
// background-color: $brand-red;
// }
.reveal .slide aside,
.reveal .slide div.aside {
position: absolute;
bottom: 20px;
font-size: 0.6em;
color: #8f8f8f;
}
.red {
color: $brand-red;
}
.blue {
color: $brand-blue;
}
.slide smaller {
font-size: $presentation-font-smaller;
}
.blockquote,
.reveal .slide blockquote {
/* border-left: 3px solid $text-muted; */
/* padding-left: 0.5em; */
display: block;
position: relative;
font-family: $blockquote-font;
font-size: 1.2em;
/* font-style: italic; */
color: $brand-charcoal;
margin-top: 0.1em;
margin-bottom: 0.2em;
border-left: solid 0.3rem $brand-blue;
/* matches with .callouts */
border-top: solid 1px silver;
border-bottom: solid 1px silver;
border-right: solid 1px silver;
/* box-shadow: 0 0 6px rgba(0,0,0,0.5); */
/* background-color: #e64626; */
/* padding: 0.5em; */
-moz-border-radius: 5px;
-webkit-border-radius: 5px;
width: unset;
margin: var(--r-block-margin) auto;
padding: 0.625rem 1.75rem;
}
.reveal .slides section .callout {
font-size: inherit;
}
.reveal .callout.callout-style-simple .callout-body,
.reveal .callout.callout-style-default .callout-body,
.reveal .callout.callout-style-simple div.callout-caption,
.reveal .callout.callout-style-default div.callout-caption {
font-size: inherit;
}
.reveal .callout.callout-style-default .callout-icon::before,
.reveal .callout.callout-style-simple .callout-icon::before {
height: 2rem;
width: 2rem;
background-size: 2rem 2rem;
}
.reveal .title-slide {
background-color: $brand-blue;
}
// customisations for printing to pdf
.print-pdf .reveal .title-slide {
background-color: #FFFFFF;
}
.print-pdf {
section.has-dark-background,
section.has-dark-background h1,
section.has-dark-background h2,
section.has-dark-background h3,
section.has-dark-background h4,
section.has-dark-background h5,
section.has-dark-background h6 {
color: #000000 !important;
}
}
.print-pdf .reveal .slide-background {
background-color: #FFFFFF !important;
}
.print-pdf .reveal .has-dark-background {
color: #222 !important;
}