Modelling non-stationary time series using a peaks over threshold distribution with time varying covariates and threshold: An application to peak electricity demand
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- Tafakori, Laleh & Pourkhanali, Armin & Fard, Farzad Alavi, 2018. "Forecasting spikes in electricity return innovations," Energy, Elsevier, vol. 150(C), pages 508-526.
More about this item
KeywordsExtreme value theory; Non stationary time series; Peak electricity demand; Penalized smoothing splines; Time varying threshold;
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