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Descripción
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| Abstract In order to make short-term predictions of electricity prices, linear dynamic models in their state-space formulation have been studied. A computer implementation of the EM (Expectation - Maximization) algorithm has been made for maximum likelihood estimation for a Multivariate EWMA model, (exponentially smoothing). In this approach the problem includes a large number of parameters to be estimated as we have implemented the possibility of eliminating superfluous parameters. Finally, we present the results of the hourly spot price forecasts in Powernext, Nord Pool and OMEL markets. | |
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Internacional
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Si |
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Nombre congreso
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Energy Market (EEM), 2010 7th International Conference on the European |
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Tipo de participación
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960 |
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Lugar del congreso
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Madrid |
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Revisores
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Si |
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ISBN o ISSN
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978-1-4244-6838-6 |
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DOI
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10.1109/EEM.2010.5558693 |
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Fecha inicio congreso
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23/06/2010 |
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Fecha fin congreso
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25/06/2010 |
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Desde la página
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1 |
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Hasta la página
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6 |
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Título de las actas
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IEEE/IET Electronic Library (IEL), Energy Market (EEM), 2010 7th International Conference on the European |