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Massive informations about individual (household, small and medium enterprise) consumption are now provided with new metering technologies and the smart grid. Two major exploitations of these data are load profiling and forecasting at different scales on the grid. Customer segmentation based on load classification is a natural approach for these purposes. We propose here a new methodology based on mixture of high-dimensional regression models. The novelty of our approach is that we focus on uncovering classes or clusters corresponding to different regression models. As a consequence, these classes could then be exploited for profiling as well as forecasting in each class or for bottom-up forecasts in a unified view. We consider a real dataset of Irish individual consumers of 4,225 meters, each with 48 half-hourly meter reads per day over 1 year: from 1st January 2010 up to 31st December 2010, to demonstrate the feasibility of our approach.
In this paper, a multivariate constrained robust M-regression (MCRM) method is developed to estimate shaping coefficients for electricity forward prices. An important benefit of the new method is that model arbitrage can be ruled out at an elementary
This paper sets out a forecasting method that employs a mixture of parametric functions to capture the pattern of fertility with respect to age. The overall level of cohort fertility is decomposed over the range of fertile ages using a mixture of par
This paper addresses the problem of localizing change points in high-dimensional linear regression models with piecewise constant regression coefficients. We develop a dynamic programming approach to estimate the locations of the change points whose
We propose an efficient way to sample from a class of structured multivariate Gaussian distributions which routinely arise as conditional posteriors of model parameters that are assigned a conditionally Gaussian prior. The proposed algorithm only req
We consider the problem of Gaussian mixture clustering in the high-dimensional limit where the data consists of $m$ points in $n$ dimensions, $n,m rightarrow infty$ and $alpha = m/n$ stays finite. Using exact but non-rigorous methods from statistical