Estimation of stable CARMA models with an application to electricity spot prices

Estimation of stable CARMA models with an application to electricity spot prices
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稳定 CARMA 模型的估计及其在电力现货价格中的应用

DOI：
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发表时间：
2011
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通讯作者：
Gernot Müller
Gernot Müller
中科院分区：
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文献类型：
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作者：
Isabel C. Garcia;C. Klüppelberg;Gernot Müller

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讨论了由稳定lsamvy过程驱动的连续时间ARMA （CARMA）过程的理论性质和估计。这种过程在连续时间线性平稳设置中非常有用：它们具有与广泛使用的ARMA模型相似的结构，并提供连续时间模型的所有优点。作为一个应用，我们考虑来自解除管制的电力市场的数据。在这里，我们用CARMA（2,1）模型拟合新加坡新电力市场的现货价格。在模拟研究中评估了估计的质量。连续时间模型旨在为能源衍生品提供一种新的定价方法。
We discuss theoretical properties and estimation of continuous-time ARMA (CARMA) processes, which are driven by a stable Lévy process. Such processes are very useful in a continuous-time linear stationary setup: they have a similar structure as the widely used ARMA models and provide all advantages of a continuous-time model. As an application we consider data from a deregulated electricity market. Here, we fit a CARMA(2,1) model to spot prices from the Singapore New Electricity Market. The quality of the estimates is assessed in a simulation study. The continuous-time modelling aims at a new pricing methodology for energy derivatives.