You might be interested to look into conformal prediction for load and electricity price forecasting.

There are several papers on this subject on https://github.com/valeman/awesome-conformal-prediction applying CP to energy, including brand new paper on applying conformal prediction to Italian power market https://arxiv.org/abs/2404.02722

https://arxiv.org/abs/1905.07886

https://arxiv.org/abs/2403.20149

https://speakerdeck.com/ingevandenende/leveraging-conformal-prediction-for-calibrated-probabilistic-time-series-forecasts-to-accelerate-the-renewable-energy-transition