HMM filtering and parameter estimation of an electricity spot price model

Energy Economics

Volumn 32, Issue 5, 2010, Pages 1034-1043

  Erlwein, Christina ^a   Benth, Fred Espen ^b   Mamon, Rogemar ^c  

^a FRAUNHOFER INSTITUTE FOR INDUSTRIAL MATHEMATICS ITWM   (Germany)

^b UNIVERSITY OF OSLO   (Norway)

^c UNIVERSITY OF WESTERN ONTARIO   (Canada)

Author keywords

Adaptive filters; Electricity spot price; Forecasting; Hidden Markov model; Parameter estimation

Indexed keywords

COMPOUND POISSON PROCESS; DISCRETE TIME; ELECTRICITY PRICES; ELECTRICITY SPOT PRICE; EM ALGORITHMS; HIDDEN MARKOV CHAINS; MARKOV CHAIN; MEAN-REVERSION; MODEL PARAMETERS; ORNSTEIN-UHLENBECK PROCESS; RECURSIVE FILTERS; REFERENCE PROBABILITY; SELF-CALIBRATING; SPOT PRICE;

ADAPTIVE FILTERING; ADAPTIVE FILTERS; ALGORITHMS; COSTS; ELECTRIC FILTERS; ELECTRIC LOAD FORECASTING; HIDDEN MARKOV MODELS; LAKES; METAL ANALYSIS; OPTIMIZATION; POISSON DISTRIBUTION;

PARAMETER ESTIMATION;

ALGORITHM; ELECTRICITY SUPPLY; ENERGY MARKET; ESTIMATION METHOD; FORECASTING METHOD; MARKOV CHAIN; MODELING; PARAMETERIZATION; PROBABILITY;

EID: 77956871989     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2010.01.005     Document Type: Article

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