Modeling and forecasting electricity spot prices: a functional data perspective

DOI10.1214/13-AOAS652zbMath1454.62267arXiv1310.1628MaRDI QIDQ386743

Dominik Liebl

Publication date: 10 December 2013

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.1628

zbMATH Keywords

time series analysisfunctional data analysisEuropean Energy Exchange (EEX)functional factor modelfundamental market modelmerit order curve

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional data analysis (62R10)

Related Items (25)

Mean and Covariance Estimation for Functional Snippets ⋮ Estimation in partially observed functional linear quantile regression ⋮ Partially observed functional data: the case of systematically missing parts ⋮ Robust Inference for Partially Observed Functional Response Data ⋮ Robust estimation for semi-functional linear regression models ⋮ Nonparametric estimation of functional dynamic factor model ⋮ A randomness test for functional panels ⋮ Functional linear regression with functional response ⋮ Modeling and forecasting electricity spot prices: a functional data perspective ⋮ PCA-based estimation for functional linear regression with functional responses ⋮ PCA‐based discrimination of partially observed functional data, with an application to AneuRisk65 data set ⋮ Tempered functional time series ⋮ On the optimal reconstruction of partially observed functional data ⋮ Ridge reconstruction of partially observed functional data is asymptotically optimal ⋮ Two-sample testing for mean functions with incompletely observed functional data ⋮ A bootstrap-based KPSS test for functional time series ⋮ Simplicial principal component analysis for density functions in Bayes spaces ⋮ Inferential procedures for partially observed functional data ⋮ Modeling seasonality and serial dependence of electricity price curves with warping functional autoregressive dynamics ⋮ On the CLT for discrete Fourier transforms of functional time series ⋮ Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships ⋮ Nonparametric testing for differences in electricity prices: the case of the Fukushima nuclear accident ⋮ Electricity spot price modeling by multi-factor uncertain process: a case study from the Nordic region ⋮ Prescriptive selection of machine learning hyperparameters with applications in power markets: retailer's optimal trading ⋮ Statistical inference for the slope parameter in functional linear regression

Uses Software

• fda (R)
• fds
• fda.usc

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