Modeling Seasonality and Serial Dependence of Electricity Price Curves with Warping Functional Autor

来源 :上海交通大学 | 被引量 : 0次 | 上传用户：chengxiulong33

【摘要】

：

【作者】

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Ying Chen J.S.Marron Jiejie Zhang

【机构】

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Department of Statistics & Applied Probability,Block S16,Level 7,6 Science Drive 2,Faculty of Scienc

【出处】

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上海交通大学

【发表日期】

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2016年4期

【关键词】

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Seasonal functional time series Warping function Karcher mean

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　　Electricity prices are high dimensional,serially dependent and have seasonal variations.We propose a Warping Functional AutoRegressive(WFAR)model that simultaneously accounts for the cross time-dependence and seasonal variations of the large dimensional data.In particular,electricity price curves are obtained by smoothing over the 24 discrete hourly prices on each day.

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Modeling Seasonality and Serial Dependence of Electricity Price Curves with Warping Functional Autor

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