Bayesian estimation of stable CARMA spot models for electricity prices
Year of publication: |
2019
|
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Authors: | Müller, Gernot ; Seibert, Armin |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 78.2019, p. 267-277
|
Subject: | [alpha]-Stable process | CARMA model | Electricity prices | Futures prices | Markov chain Monte Carlo | Seasonality | Stable density approximation | Theorie | Theory | Strompreis | Electricity price | Markov-Kette | Markov chain | Bayes-Statistik | Bayesian inference | Monte-Carlo-Simulation | Monte Carlo simulation | Elektrizitätswirtschaft | Electric power industry | Statistische Verteilung | Statistical distribution |
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