Multivariate Scenario Generation －An Arima and Copula Approach

Mishra, Sambeet; Bordin, Chiara; Würsig, Christoph; Palu, Ivo
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http://hdl.handle.net/11250/2611941
Date
2019
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International Journal of Modeling and Optimization. 2019, 9 (3), 146-149.   10.7763/IJMO.2019.V9.700
Abstract
In mathematical optimization uncertainty is expressed through scenarios. auto-regressive integrated moving average (ARIMA) is one of the known practice to generate scenarios. This paper is about scenario generation using multivariate data: electrical power demand, wind power generation and energy market price. An ARIMA model along with Copula is implemented for scenario generation. The results are presented and discussed.
 
Multivariate Scenario Generation －An Arima and Copula Approach
 
Journal
International Journal of Modeling and Optimization
Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal