Modeling Energy Demand using Nonparametric and Extreme Value Theory

Language: English

Published by LAP LAMBERT Academic Publishing Feb 2014, 2014

3848444445 / 9783848444441

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This item is printed on demand - Print on Demand Titel. Neuware -Modeling demand and price data using nonparametric methods and extreme value theory provides an up-to-date picture on how extreme events can be modeled. In this book, kernel smoothing based conditional quantile approach, a nonparametric procedure is used to model volatile demand data. Nevertheless, quantile regression procedures work well in non extreme parts of a given data but poorly on extreme levels. This book applies the threshold model of extreme value in order to circumvent the lack of observation problem at the tail of the distribution. Various kernel estimation methods and extreme value theory are discussed and the asymptotic properties of the estimators given. The methods are applied to model extremes in electricity demand and fuel price data. A combination of nonparametric approach and extreme value theory is used as an estimation of value at risk. Value at risk is chosen in this book as it is extensively used in practice.This book will be a valuable reference for research in applied statistics, actuarial science and management science and will serve as a text book for graduate students and others who are interested in modeling of extreme events.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 148 pp. Englisch.…

Seller Inventory # 9783848444441

Title
Modeling Energy Demand using Nonparametric and Extreme Value Theory
Author
Levi Mbugua
Publisher
LAP LAMBERT Academic Publishing Feb 2014
Publication year
2014
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3848444445
ISBN 13
9783848444441
Item weight
238 grams
Dimensions
220x150x10 mm

buchversandmimpf2000

Emtmannsberg, BAYE, Germany

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