相关论文: The prices of renewable commodities: A robust stat…
Testing for stability in linear panel data models has become an important topic in both the statistics and econometrics research communities. The available methodologies address testing for changes in the mean/linear trend, or testing for…
Stationarity is a very general, qualitative assumption, that can be assessed on the basis of application specifics. It is thus a rather attractive assumption to base statistical analysis on, especially for problems for which less general…
The price of electricity is far more volatile than that of other commodities normally noted for extreme volatility. The possibility of extreme price movements increases the risk of trading in electricity markets. However, underlying the…
I study the dynamic, general equilibrium implications of climate-change-linked transition risk on macroeconomic outcomes and asset prices. Climate-change-linked expectations of fossil fuel restrictions can produce a ``run on fossil fuels''…
The paper proposes a framework for modeling and analysis of the dynamics of supply, demand, and clearing prices in power system with real-time retail pricing and information asymmetry. Real-time retail pricing is characterized by passing on…
There are many scales at which to quantify stability in spatial and ecological networks. Local-scale analyses focus on specific nodes of the spatial network, while regional-scale analyses consider the whole network. Similarly, species- and…
This paper studies robustness of MIMO control systems with parametric uncertainties, and establishes a lower dimensional robust stability criterion. For control systems with interval transfer matrices, we identify the minimal testing set…
We review the advancement of nonstationary time series analysis from the perspective of Cowles Commission structural equation approach. We argue that despite the rich repertoire nonstationary time series analysis provides to analyze how do…
As is well known, the non-Gaussianity parameter $f_{_{\rm NL}}$, which is often used to characterize the amplitude of the scalar bi-spectrum, can be expressed completely in terms of the scalar spectral index $n_{\rm s}$ in the squeezed…
We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stochastic dynamics and incorporates patterns to account for…
In commodity and energy markets swing options allow the buyer to hedge against futures price fluctuations and to select its preferred delivery strategy within daily or periodic constraints, possibly fixed by observing quoted futures…
An increase in energy production from renewable energy sources is viewed as a crucial achievement in most industrialized countries. The higher variability of power production via renewables leads to a rise in ancillary service costs over…
In this review, a new method is proposed based on Cantor's theory of Cardinality to analyze the experimental data on unstable nuclear systems which includes fundamental particles and their flavours, $\beta$-decay including spin and parity,…
Norms of Persistent Homology introduced in topological data analysis are seen as indicators of system instability, analogous to the changing predictability that is captured in financial market uncertainty indexes. This paper demonstrates…
To decarbonize the economy, many governments have set targets for the use of renewable energy sources. These are often formulated as relative shares of electricity demand or supply. Implementing respective constraints in energy models is a…
Purpose: Trading on electricity markets occurs such that the price settlement takes place before delivery, often day-ahead. In practice, these prices are highly volatile as they largely depend upon a range of variables such as electricity…
We consider the problem of testing the stationarity and isotropy of a spatial point pattern based on the concept of local spectra. Using a logarithmic transformation, the mechanism of the proposed test is approximately identical to a simple…
Supply chain resilience analysis aims to identify the critical elements in the supply chain, measure its reliability, and analyze solutions for improving vulnerabilities. While extensive methods like stochastic approaches have been…
Dispatchability of renewable energy sources and inflexible loads can be achieved using a volatility-compensating energy storage. However, as the future power outputs of the inflexible devices are uncertain, the computation of a dispatch…
A system is considered, which is subject to external and possibly fatal shocks, with dependence between the fatality of a shock and the system age. Apart from these shocks, the system suffers from competing soft and sudden failures, where…