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Extreme value analysis of electricity demand in the UK.
- Source :
- Applied Economics Letters; Oct2015, Vol. 22 Issue 15, p1246-1251, 6p, 5 Graphs
- Publication Year :
- 2015
-
Abstract
- 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. [ABSTRACT FROM AUTHOR]
- Subjects :
- EXTREME value theory
ELECTRIC power consumption
PARETO distribution
VALUE at risk
Subjects
Details
- Language :
- English
- ISSN :
- 13504851
- Volume :
- 22
- Issue :
- 15
- Database :
- Complementary Index
- Journal :
- Applied Economics Letters
- Publication Type :
- Academic Journal
- Accession number :
- 103736692
- Full Text :
- https://doi.org/10.1080/13504851.2015.1021453