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We consider the basic problem of refi tting a time series over a finite period of time and formulate it as a stochastic dynamic program. By changing the underlying Markov decision process we are able to obtain a model that at optimality considers historical data as well as forecasts of future...
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This paper by using Long-range Energy Alternatives Planning System (LEAP) constructs four different renewable energy scenarios for the Greek transport, energy, and industry sectors. By projecting the demand for renewable energy and the associated resulting carbon dioxide emissions up to the...
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shifts and stochastic volatility. The filter adapts to regime shifts extremely rapidly and delivers a clear heuristic for … distinguishing between regime shifts and stochastic volatility, even though the model dynamics assumed by the filter exhibit neither …
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