Publication profile
Publication profile
Alex Lenkoski
Name:
Alex Lenkoski
Title:
Sjefsforsker / Chief Research Scientist
Phone:
(+47) +47 22 85 25 59 Mob: +47 457 72 349
Email:
lenkoski [at] nr [dot] no
Scientific areas:
Hierarchical bayesian modeling, Model uncertainty, Forecasting, Economics, finance and energy markets
Add to contacts (vCard) Show publications
Academic article
2020
. Sovereign risk indices and bayesian theory averaging. Econometrics (ISSN 2225-1146). 8(2) doi: 10.3390/econometrics8020022. 2020.
. Multivariate Postprocessing Methods for High-Dimensional Seasonal Weather Forecasts. Journal of the American Statistical Association (ISSN 0162-1459). doi: 10.1080/01621459.2020.1769634. 2020.
2019
. Rapid adjustment and post-processing of temperature forecast trajectories. Quarterly Journal of the Royal Meteorological Society (ISSN 0035-9009). doi: 10.1002/qj.3718. 2019.
. Measuring the strength of the theories of government size. Empirical Economics (ISSN 0377-7332). pp 1-38. doi: 10.1007/s00181-019-01718-0. 2019.
2018
. Exact formulas for the normalizing constants of wishart distributions for graphical models. Annals of Statistics (ISSN 0090-5364). 46(1) pp 90-118. doi: 10.1214/17-AOS1543. 2018.
2015
. Bayesian hierarchical modeling of extreme hourly precipitation in Norway. Environmetrics (ISSN 1180-4009). 26(2) pp 89-106. doi: 10.1002/env.2301. 2015. Fulltekst
. Bayesian motion estimation for dust aerosols. Annals of Applied Statistics (ISSN 1932-6157). 9(3) pp 1298-1327. doi: 10.1214/15-AOAS835. 2015.
. Shape from texture using locally scaled point processes. Image Analysis and Stereology (ISSN 1580-3139). 34(3) pp 161-170. doi: 10.5566/ias.1078. 2015.
2014
. Efficient sampling of Gaussian graphical models using conditional Bayes factors. Stat (ISSN 2049-1573). 3(1) pp 326-336. doi: 10.1002/sta4.66. 2014. Fulltekst
. Two-Stage Bayesian Model Averaging in Endogenous Variable Models. Econometric Reviews (ISSN 0747-4938). 33(1-4) pp 122-151. doi: 10.1080/07474938.2013.807150. 2014. Fulltekst
2013
. Multivariate probabilistic forecasting using Bayesian model averaging and copulas. Quarterly Journal of the Royal Meteorological Society (ISSN 0035-9009). 139(673) pp 982-991. doi: 10.1002/qj.2009. 2013.
. A Direct Sampler for G-Wishart Variates. Stat (ISSN 2049-1573). 2(1) pp 119-128. doi: 10.1002/sta4.23. 2013.
2012
. Hierarchical Gaussian graphical models: Beyond reversible jump. Electronic Journal of Statistics (ISSN 1935-7524). 6 pp 2309-2331. doi: 10.1214/12-EJS746. 2012.
Academic lecture
2019
. Rapid Adjustment of Forecast Trajectories: improving short-term forecast skill through statistical post-processing. European Geosciences Union General Assembly; Wien, 4/7/2019 - 4/12/2019. Omtale
. Rapid adjustment of weather forecast trajectories. Big Insight Lunch Meeting; Norsk Regnesentral, 5/8/2019.
. Using published bid/ask curves to error dress spot electricity prices. Det 20. norske statistikermøtet, 6/18/2019 - 6/20/2019.
2018
. Improving forecasts through rapid updating of temperature trajectories and statistical post-processing. European Geosciences Union General Assembly; Wien, 4/8/2018 - 4/13/2018.
. Varsling av vær og klima i maskinlæringens tid. Hvor gode kan sesongvarslene bli? Kraftverkshydrologi og miljøforhold, 11/20/2018 - 11/21/2018.
. On developing general and efficient inference algorithms for complicated hierarchical models. 13th German Probability and Statistics Days; Freiburg, 2/28/2018.
2017
. Probabilistic Forecasting of Temporal Trajectories of Regional Power Production. Forecasting and Risk Management for Renewable Energy; University Paris Diderot, Paris, 7/7/2017 - 7/9/2017.
2016
. Error Dressing Published Bid/Ask Curves and Predictive Distributions of the Nord Pool System Spot Price. FlomQ – Workshop om flomestimering – Morgendagens teknologi; Trondheim, 5/24/2016 - 5/25/2016.
. Regional flood frequency analysis for Norway. Karlsruhe Insitute of Technology Stochastics Seminar, 5/17/2016.
. Regional flood frequency analysis for Norway. University of Exeter Statistics Seminar, 5/12/2016.
2014
. Calibrated Probabilities and the Investigation of Soft Fraud in Automobile Insurance Claims. The 2014 International Conference of the Royal Statistical Society; Sheffield, 9/1/2014 - 9/4/2014.
2013
. Geometric analysis of textured 3D scenes via locally scaled point processes. Joint Statistical Meeting; Montreal, 8/3/2013 - 8/8/2013.
. Efficient framework for Bayesian inference in locally scaled point processes. 11th European Congress of Stereology and Image Analysis; Kaiserslautern, 7/8/2013 - 7/12/2013.
. A Direct Sampler for G-Wishart Variates. Computational and Financial Economics 2013; London, 12/14/2013 - 12/16/2013.
. A Direct Sampler for G-Wishart Variates. European Seminar on Bayesian Econometrics 2013; Oslo, 8/22/2013 - 8/24/2013.
Lecture
2022
. Prediction of the time to hard freeze using seasonal weather forecasts and survival time methods. Faglig seminar - Climate Futures; Zoom, 2/15/2022.
2021
. The Climate Futures Center for Research-based Innovation. Statkraft knowledge session; Oslo, 11/11/2021.
2016
. Flomfrekvensanalyse for umålte felt. FlomQ workshop on flomestimering; Trondheim, 5/23/2016.
Report
2022
. StfSpot -- Short Term forecasts of Demand, Renewable Production and Spot Price with assessment of uncertainty. Norsk Regnesentral. NR-notat SAMBA/12/22. pp 28. 2022.
. A Benchmarking Dataset for Seasonal Weather Forecasts. Norsk Regnesentral. NR-notat SAMBA/01/22. pp 10. 2022.
2021
. StfSpot -- Short Term forecasts of Demand, Renewable Production and Spot Price with assessment of uncertainty. Norsk Regnesentral. NR-notat SAMBA/29/21. pp 28. 2021.
2020
. Trajectory adjustment of lagged seasonal forecast ensembles. Norsk Regnesentral. NR-notat SAMBA/19/20. pp 13. 2020.
2019
. Stratospheric events and long-range Scandinavian winter surface temperature forecasts. Norsk Regnesentral. NR-notat SAMBA/21/19. pp 33. 2019.
2016
. A time series model of frequency deviations. Norsk Regnesentral. NR-notat SAMBA/40/16. pp 53. 2016.
. What explains the frequency deviation? Norsk Regnesentral. NR-notat SAMBA/26/16. pp 202. 2016.
2015
. A DLM for Predicting the Return of a Portfolio. Norsk Regnesentral. NR-notat SAMBA/26/15. pp 41. 2015.
. StfSpot -- Short Term forecasts of Demand, Renewable Production and Spot Price with Bid/Ask curve analysis -- Version 9.5. Norsk Regnesentral. NR-notat SAMBA/21/15. pp 56. 2015.
. Calibrated Probabilities and the Investigation of Soft Fraud in Automobile Insurance Claims. Norsk Regnesentral. NR-notat SAMBA/41/15. pp 25. 2015.
2014
. StfSpot -- Short Term forecasts of Demand, Renewable Production and Spot Price with Bid/Ask curve analysis -- Version 9.0. Norsk Regnesentral. NR-notat SAMBA/42/14. pp 58. 2014.
. StfSpot - Short Term forecasts of Demand, Renewable Production and Spot Price - Version 8.0. Norsk Regnesentral. NR-notat SAMBA/18/14. pp 47. 2014.
. Lecture notes on Bayesian inference. Norsk Regnesentral. NR-notat SAMBA/43/14. pp 82. 2014.
. Model for Detecting Soft Fraud in Travel Insurance Claims: Technical Documentation. Norsk Regnesentral. NR-notat SAMBA/56/14. pp 19. 2014.
. Calculation of Probabilities for Soft Fraud in Travel Insurance Claims. Norsk Regnesentral. NR-notat SAMBA/28/14. pp 11. 2014.
. A GARCH-NIG-Copula Model for Portfolio Optimization. Norsk Regnesentral. NR-notat SAMBA/50/14. pp 45. 2014.
. A Hedonic Forecasting System for Airbnb Bookings. Norsk Regnesentral. NR-notat SAMBA/12/14. pp 30. 2014.
. StfSpot - Short Term forecasts of Demand and Spot Price - Version 7.0. Norsk Regnesentral. NR-notat SAMBA/05/14. pp 54. 2014.
Editorial
2016
. Comments on: Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings. Journal of The Royal Statistical Society Series B-statistical Methodology (ISSN 1369-7412). 78(3) pp 548. 2016.
Interview
2021
. Vinteren blir mild og strømmen blir dyr. 2021. Dagbladet [Avis] 11/24/2021.
Programme management
2022
. Episode 16: Climate Futures. Klimaprognoser for 10 dager til 10 år fram / Predicting climate risks 10 days to 10 years ahead. 2022. Fulltekst
. Hvordan vet vi hvor tørr sommeren i Europa blir? / How to make a seasonal forecast. 2022. Fulltekst
| Name: | Alex Lenkoski |
| Title: | Sjefsforsker / Chief Research Scientist |
| Phone: | (+47) +47 22 85 25 59 Mob: +47 457 72 349 |
| Email: | lenkoski [at] nr [dot] no |
| Scientific areas: | Hierarchical bayesian modeling, Model uncertainty, Forecasting, Economics, finance and energy markets |
| Add to contacts (vCard) |
| Show publications |
Academic article
2020
. Sovereign risk indices and bayesian theory averaging. Econometrics (ISSN 2225-1146). 8(2) doi: 10.3390/econometrics8020022. 2020.
. Multivariate Postprocessing Methods for High-Dimensional Seasonal Weather Forecasts. Journal of the American Statistical Association (ISSN 0162-1459). doi: 10.1080/01621459.2020.1769634. 2020.
2019
. Rapid adjustment and post-processing of temperature forecast trajectories. Quarterly Journal of the Royal Meteorological Society (ISSN 0035-9009). doi: 10.1002/qj.3718. 2019.
. Measuring the strength of the theories of government size. Empirical Economics (ISSN 0377-7332). pp 1-38. doi: 10.1007/s00181-019-01718-0. 2019.
2018
. Exact formulas for the normalizing constants of wishart distributions for graphical models. Annals of Statistics (ISSN 0090-5364). 46(1) pp 90-118. doi: 10.1214/17-AOS1543. 2018.
2015
. Bayesian hierarchical modeling of extreme hourly precipitation in Norway. Environmetrics (ISSN 1180-4009). 26(2) pp 89-106. doi: 10.1002/env.2301. 2015. Fulltekst
. Bayesian motion estimation for dust aerosols. Annals of Applied Statistics (ISSN 1932-6157). 9(3) pp 1298-1327. doi: 10.1214/15-AOAS835. 2015.
. Shape from texture using locally scaled point processes. Image Analysis and Stereology (ISSN 1580-3139). 34(3) pp 161-170. doi: 10.5566/ias.1078. 2015.
2014
. Efficient sampling of Gaussian graphical models using conditional Bayes factors. Stat (ISSN 2049-1573). 3(1) pp 326-336. doi: 10.1002/sta4.66. 2014. Fulltekst
. Two-Stage Bayesian Model Averaging in Endogenous Variable Models. Econometric Reviews (ISSN 0747-4938). 33(1-4) pp 122-151. doi: 10.1080/07474938.2013.807150. 2014. Fulltekst
2013
. Multivariate probabilistic forecasting using Bayesian model averaging and copulas. Quarterly Journal of the Royal Meteorological Society (ISSN 0035-9009). 139(673) pp 982-991. doi: 10.1002/qj.2009. 2013.
. A Direct Sampler for G-Wishart Variates. Stat (ISSN 2049-1573). 2(1) pp 119-128. doi: 10.1002/sta4.23. 2013.
2012
. Hierarchical Gaussian graphical models: Beyond reversible jump. Electronic Journal of Statistics (ISSN 1935-7524). 6 pp 2309-2331. doi: 10.1214/12-EJS746. 2012.
Academic lecture
2019
. Rapid Adjustment of Forecast Trajectories: improving short-term forecast skill through statistical post-processing. European Geosciences Union General Assembly; Wien, 4/7/2019 - 4/12/2019. Omtale
. Rapid adjustment of weather forecast trajectories. Big Insight Lunch Meeting; Norsk Regnesentral, 5/8/2019.
. Using published bid/ask curves to error dress spot electricity prices. Det 20. norske statistikermøtet, 6/18/2019 - 6/20/2019.
2018
. Improving forecasts through rapid updating of temperature trajectories and statistical post-processing. European Geosciences Union General Assembly; Wien, 4/8/2018 - 4/13/2018.
. Varsling av vær og klima i maskinlæringens tid. Hvor gode kan sesongvarslene bli? Kraftverkshydrologi og miljøforhold, 11/20/2018 - 11/21/2018.
. On developing general and efficient inference algorithms for complicated hierarchical models. 13th German Probability and Statistics Days; Freiburg, 2/28/2018.
2017
. Probabilistic Forecasting of Temporal Trajectories of Regional Power Production. Forecasting and Risk Management for Renewable Energy; University Paris Diderot, Paris, 7/7/2017 - 7/9/2017.
2016
. Error Dressing Published Bid/Ask Curves and Predictive Distributions of the Nord Pool System Spot Price. FlomQ – Workshop om flomestimering – Morgendagens teknologi; Trondheim, 5/24/2016 - 5/25/2016.
. Regional flood frequency analysis for Norway. Karlsruhe Insitute of Technology Stochastics Seminar, 5/17/2016.
. Regional flood frequency analysis for Norway. University of Exeter Statistics Seminar, 5/12/2016.
2014
. Calibrated Probabilities and the Investigation of Soft Fraud in Automobile Insurance Claims. The 2014 International Conference of the Royal Statistical Society; Sheffield, 9/1/2014 - 9/4/2014.
2013
. Geometric analysis of textured 3D scenes via locally scaled point processes. Joint Statistical Meeting; Montreal, 8/3/2013 - 8/8/2013.
. Efficient framework for Bayesian inference in locally scaled point processes. 11th European Congress of Stereology and Image Analysis; Kaiserslautern, 7/8/2013 - 7/12/2013.
. A Direct Sampler for G-Wishart Variates. Computational and Financial Economics 2013; London, 12/14/2013 - 12/16/2013.
. A Direct Sampler for G-Wishart Variates. European Seminar on Bayesian Econometrics 2013; Oslo, 8/22/2013 - 8/24/2013.
Lecture
2022
. Prediction of the time to hard freeze using seasonal weather forecasts and survival time methods. Faglig seminar - Climate Futures; Zoom, 2/15/2022.
2021
. The Climate Futures Center for Research-based Innovation. Statkraft knowledge session; Oslo, 11/11/2021.
2016
. Flomfrekvensanalyse for umålte felt. FlomQ workshop on flomestimering; Trondheim, 5/23/2016.
Report
2022
. StfSpot -- Short Term forecasts of Demand, Renewable Production and Spot Price with assessment of uncertainty. Norsk Regnesentral. NR-notat SAMBA/12/22. pp 28. 2022.
. A Benchmarking Dataset for Seasonal Weather Forecasts. Norsk Regnesentral. NR-notat SAMBA/01/22. pp 10. 2022.
2021
. StfSpot -- Short Term forecasts of Demand, Renewable Production and Spot Price with assessment of uncertainty. Norsk Regnesentral. NR-notat SAMBA/29/21. pp 28. 2021.
2020
. Trajectory adjustment of lagged seasonal forecast ensembles. Norsk Regnesentral. NR-notat SAMBA/19/20. pp 13. 2020.
2019
. Stratospheric events and long-range Scandinavian winter surface temperature forecasts. Norsk Regnesentral. NR-notat SAMBA/21/19. pp 33. 2019.
2016
. A time series model of frequency deviations. Norsk Regnesentral. NR-notat SAMBA/40/16. pp 53. 2016.
. What explains the frequency deviation? Norsk Regnesentral. NR-notat SAMBA/26/16. pp 202. 2016.
2015
. A DLM for Predicting the Return of a Portfolio. Norsk Regnesentral. NR-notat SAMBA/26/15. pp 41. 2015.
. StfSpot -- Short Term forecasts of Demand, Renewable Production and Spot Price with Bid/Ask curve analysis -- Version 9.5. Norsk Regnesentral. NR-notat SAMBA/21/15. pp 56. 2015.
. Calibrated Probabilities and the Investigation of Soft Fraud in Automobile Insurance Claims. Norsk Regnesentral. NR-notat SAMBA/41/15. pp 25. 2015.
2014
. StfSpot -- Short Term forecasts of Demand, Renewable Production and Spot Price with Bid/Ask curve analysis -- Version 9.0. Norsk Regnesentral. NR-notat SAMBA/42/14. pp 58. 2014.
. StfSpot - Short Term forecasts of Demand, Renewable Production and Spot Price - Version 8.0. Norsk Regnesentral. NR-notat SAMBA/18/14. pp 47. 2014.
. Lecture notes on Bayesian inference. Norsk Regnesentral. NR-notat SAMBA/43/14. pp 82. 2014.
. Model for Detecting Soft Fraud in Travel Insurance Claims: Technical Documentation. Norsk Regnesentral. NR-notat SAMBA/56/14. pp 19. 2014.
. Calculation of Probabilities for Soft Fraud in Travel Insurance Claims. Norsk Regnesentral. NR-notat SAMBA/28/14. pp 11. 2014.
. A GARCH-NIG-Copula Model for Portfolio Optimization. Norsk Regnesentral. NR-notat SAMBA/50/14. pp 45. 2014.
. A Hedonic Forecasting System for Airbnb Bookings. Norsk Regnesentral. NR-notat SAMBA/12/14. pp 30. 2014.
. StfSpot - Short Term forecasts of Demand and Spot Price - Version 7.0. Norsk Regnesentral. NR-notat SAMBA/05/14. pp 54. 2014.
Editorial
2016
. Comments on: Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings. Journal of The Royal Statistical Society Series B-statistical Methodology (ISSN 1369-7412). 78(3) pp 548. 2016.
Interview
2021
. Vinteren blir mild og strømmen blir dyr. 2021. Dagbladet [Avis] 11/24/2021.
Programme management
2022
. Episode 16: Climate Futures. Klimaprognoser for 10 dager til 10 år fram / Predicting climate risks 10 days to 10 years ahead. 2022. Fulltekst
. Hvordan vet vi hvor tørr sommeren i Europa blir? / How to make a seasonal forecast. 2022. Fulltekst
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