Analysis of commodity prices with the particle filter

Energy Economics

Volumn 30, Issue 2, 2008, Pages 597-605

  Aiube, Fernando Antonio Lucena ^a,b   Baidya, Tara Keshar Nanda ^c   Tito, Edison Americo Huarsaya ^d  

^a PETROBRAS   (Brazil)

^b PONTIFICAL CATHOLIC UNIVERSITY OF RIO DE JANEIRO   (Brazil)

^c UNIVERSITY OF CALIFORNIA   (United States)

^d Electrical Engineering PUC Rio   (Brazil)

Author keywords

Kalman filter; Particle filter; Stochastic processes

Indexed keywords

ESTIMATION; INDUSTRIAL ECONOMICS; INVESTMENTS; KALMAN FILTERS; RANDOM PROCESSES;

COMMODITY PRICE; PARTICLE FILTER;

PETROLEUM INDUSTRY;

COMMODITY PRICE; ESTIMATION METHOD; FILTER; FUTURE PROSPECT; NUMERICAL MODEL; OIL SUPPLY; PRICE DETERMINATION; STOCHASTICITY;

EID: 37349055141     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2006.06.006     Document Type: Article

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