Talk given at University of Melbourne, 11 October 2011. University of Adelaide, 16 March 2012 Monash University, 16 May 2012 La Trobe University, 24 May 2012 EDF, Paris. 4 September 2012 University of New South Wales, 1 November 2012 Abstract: Electricity demand forecasting plays an important role in short-term load allocation and long-term planning for future generation facilities and transmission augmentation. Planners must adopt a probabilistic view of potential peak demand levels, therefore density forecasts (providing estimates of the full probability distributions of the possible future …