Observatorio de I+D+i UPM

Memorias de investigación
Communications at congresses:
EM estimation of multivariate dynamic models for predicting electricity prices
Year:2010
Research Areas
  • Electric engineers, electronic and automatic (eil)
Information
Abstract
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.
International
Si
Congress
Energy Market (EEM), 2010 7th International Conference on the European
960
Place
Madrid
Reviewers
Si
ISBN/ISSN
978-1-4244-6838-6
10.1109/EEM.2010.5558693
Start Date
23/06/2010
End Date
25/06/2010
From page
1
To page
6
IEEE/IET Electronic Library (IEL), Energy Market (EEM), 2010 7th International Conference on the European
Participants
  • Participante: Damián López Asensio (Estudiante de Doctorado UPM)
  • Autor: Jesus Juan Ruiz (UPM)
  • Autor: Jaime Carpio Huertas (UPM)
Research Group, Departaments and Institutes related
  • Creador: Grupo de Investigación: Estadística computacional y Modelado estocástico
S2i 2020 Observatorio de investigación @ UPM con la colaboración del Consejo Social UPM
Cofinanciación del MINECO en el marco del Programa INNCIDE 2011 (OTR-2011-0236)
Cofinanciación del MINECO en el marco del Programa INNPACTO (IPT-020000-2010-22)