Two-Scale Network Dynamic Model for Energy Commodity Processes

Autor: Olusegun M. Otunuga, Gangaram Ladde
Jazyk: angličtina
Rok vydání: 2020
Předmět:
Zdroj: Journal of Energy, Vol 2020 (2020)
Druh dokumentu: article
ISSN: 2356-735X
2314-615X
DOI: 10.1155/2020/2075258
Popis: In this work, we examine the relationship between different energy commodity spot prices. To do this, multivariate stochastic models with and without external random interventions describing the price of energy commodities are developed. Random intervention process is described by a continuous jump process. The developed mathematical model is utilized to examine the relationship between energy commodity prices. The time-varying parameters in the stochastic model are estimated using the recently developed parameter identification technique called local lagged adapted generalized method of moment (LLGMM). The LLGMM method provides an iterative scheme for updating statistic coefficients in a system of generalized method of moment/observation equations. The usefulness of the LLGMM approach is illustrated by applying to energy commodity data sets for state and parameter estimation problems. Moreover, the forecasting and confidence interval problems are also investigated (U.S. Patent Pending for the LLGMM method described in this manuscript).
Databáze: Directory of Open Access Journals
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