Multivariate Scenario Generation -An Arima and Copula Approach
Journal article
Published version
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http://hdl.handle.net/11250/2611941Utgivelsesdato
2019Metadata
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Originalversjon
International Journal of Modeling and Optimization. 2019, 9 (3), 146-149. 10.7763/IJMO.2019.V9.700Sammendrag
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