Extreme value analysis of electricity demand in the UK

被引：7
|
作者：
Chan, Stephen [1 ]
Nadarajah, Saralees [1 ]
机构：
[1] Univ Manchester, Sch Math, Manchester M13 9PL, Lancs, England
来源：
APPLIED ECONOMICS LETTERS | 2015年 / 22卷 / 15期
关键词：
extreme values; generalized Pareto distribution; value at risk;
D O I：
10.1080/13504851.2015.1021453
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
For the first time, an extreme value analysis of electricity demand in the UK is provided. The analysis is based on the generalized Pareto distribution. Its parameters are allowed to vary linearly and sinusoidally with respect to time to capture patterns in the electricity demand data. The models are shown to give reasonable fits. Some useful predictions are given for the value at risk of the returns of electricity demand.
引用
收藏
页码：1246 / 1251
页数：6
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