Algorithms of the Copula Fit to the Nonlinear Processes in the Utility Industry
2017 (English)In: Procedia Computer Science, ISSN 1877-0509, E-ISSN 1877-0509, Vol. 104, 572-577 p.Article in journal (Refereed) Published
Our research studies the construction and estimation of copula-based semi parametric Markov model for the processes, which involved in water flows in the hydro plants. As a rule analyzing the dependence structure of stationary time series regressive models defined by invariant marginal distributions and copula functions that capture the temporal dependence of the processes is considered. This permits to separate out the temporal dependence (such as tail dependence) from the marginal behavior (such as fat tails) of a time series. Dealing with utility company data we have found the best copula describing data - Gumbel copula. As a result constructed algorithm was used for an imitation of low probability events (in a hydro power industry) and predictions.
Place, publisher, year, edition, pages
Elsevier, 2017. Vol. 104, 572-577 p.
Copula; Diffusion processes; Time series; Semi parametric regressions
Probability Theory and Statistics
Research subject Mathematics/Applied Mathematics
IdentifiersURN: urn:nbn:se:mdh:diva-34990DOI: 10.1016/j.procs.2017.01.174OAI: oai:DiVA.org:mdh-34990DiVA: diva2:1078168
ICTE 2016, December 2016, Riga, Latvia