Calibration of a SAS (spike-antispike) SETARX model for electricity prices

2012 9th International Conference on the European Energy Market Pub Date : 2012-05-10 DOI:10.1109/EEM.2012.6254740

C. Lucheroni

引用次数: 1

Abstract

Calibration of a threshold autoregressive econometric model able to include spikes and antispikes in the modelling of electricity hourly price time series is presented and discussed. The calibration method is tested on synthetic data obtained from the model itself.

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校正电力价格的SAS(峰值-反峰值)SETARX模型

校正阈值自回归计量经济模型能够包括尖峰和反尖峰在电力小时价格时间序列的建模提出和讨论。用模型本身的综合数据对标定方法进行了验证。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

2012 9th International Conference on the European Energy Market

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