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Document type:
Zeitschriftenaufsatz 
Author(s):
García, I., Klüppelberg, C., Müller, G. 
Title:
Estimation of stable CARMA models with an application to electricity spot prices 
Abstract:
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 set-up: 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 Mar...    »
 
Keywords:
CARMA model, electricity prices, estimation of CARMA models, stable CARMA model, stable Ornstein-Uhlenbeck process, stable Lévy process. 
Journal title:
Statistical Modelling 
Year:
2011 
Journal volume:
11 
Journal issue:
Pages contribution:
447-470 
Reviewed:
ja 
Language:
en 
Status:
Erstveröffentlichung 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text