Modeling electricity price using a threshold conditional autoregressive geometric process jump model

DOI10.1080/03610926.2013.788714MaRDI QIDQ2876225zbMATH OpenOpenAlexFDO

Authors Jennifer S. K. Chan, S. T. Boris Choy, C. P. Lam

Publication date 18 August 2014

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2013.788714

zbMATH Keywords

forecastingheteroskedasticitylong memorymean reversionprice spikeseasonality

Mathematics Subject Classification ID

Prediction theory (aspects of stochastic processes) (60G25) Signal detection and filtering (aspects of stochastic processes) (60G35) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20)

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Cites work

• A Bayesian conditional autoregressive geometric process model for range data
• A DIFFUSION MODEL FOR ELECTRICITY PRICES
• Bayesian Measures of Model Complexity and Fit
• Geometric processes and replacement problem
• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
• SCALE MIXTURES DISTRIBUTIONS IN STATISTICAL MODELLING

Cited in

(7)

• Power series expansions for the probability distribution, mean value and variance functions of a geometric process with gamma interarrival times
• GARCH-type processes in modeling energy prices
• Statistical inference for doubly geometric process with exponential distribution
• Numerical solution to an integral equation for the kth moment function of a geometric process
• Statistical inference for doubly geometric process with Weibull interarrival times
• The double ratio geometric process for the analysis of recurrent events
• Valuation of forward contract price in energy markets described by a fuzzy-stochastic model and mathematical algorithms: a case study of the PJM western hub real-time peak market

Describes a project that uses

Uses Software

• WinBUGS

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