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- Dokumenttyp:
- Zeitschriftenaufsatz
- Autor(en):
- García, I., Klüppelberg, C., Müller, G.
- Titel:
- 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 Market. T... »
- Stichworte:
- CARMA model, electricity prices, estimation of CARMA models, stable CARMA model, stable Ornstein-Uhlenbeck process, stable Lévy process.
- Zeitschriftentitel:
- Statistical Modelling
- Jahr:
- 2011
- Band / Volume:
- 11
- Heft / Issue:
- 5
- Seitenangaben Beitrag:
- 447-470
- Reviewed:
- ja
- Sprache:
- en
- Volltext / DOI:
- doi:10.1177/1471082X1001100504
- Status:
- Erstveröffentlichung
- TUM Einrichtung:
- Lehrstuhl für Mathematische Statistik
- Format:
- Text
BibTeX