شماره ركورد كنفرانس :
5263
عنوان مقاله :
MODELLING SPOT PRICES OF THE ELECTRICITY MARKET BY QUASI SEMI-LEVY PROCESS
پديدآورندگان :
Modarresi Navideh n.modarresi@atu.ac.ir Department of Mathematics, Faculty of Statistics, Mathematics and Computer, Allameh Tabataba’i University, Tehran, Iran. , Rezakhah Saeid rezakhah@aut.ac.ir Faculty of Mathematics and Computer Science, Amirkabir University of Technology, Tehran, Iran.
كليدواژه :
CARMA models , Periodically correlated , Semi , Levy
عنوان كنفرانس :
54 امين كنفرانس رياضي ايران
چكيده فارسي :
In this paper, we introduce and characterize a class of continuous-time autoregressive moving average (CARMA) with backdriving quasi semi-L´evy (QSL) process which has periodically stationary increments. The increments of QSL process have equal dependency structure inside each period interval and are independent inside different period intervals. By simulating the QSLCARMA(3,2) we examine the periodically structure of the process through the sample path and autocorrelation function of increments. We fit the QSL-CARMA(2,1) to hourly spot prices of the electricity market and present one-step ahead predictions through the model.
