Occupation times of the Ornstein–Uhlenbeck process: Functional PCA and evidence from electricity prices
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DOI: 10.1016/j.physa.2012.07.040
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- Densing, M., 2013. "Dispatch planning using newsvendor dual problems and occupation times: Application to hydropower," European Journal of Operational Research, Elsevier, vol. 228(2), pages 321-330.
- Davari-Ardakani, Hamed & Aminnayeri, Majid & Seifi, Abbas, 2014. "A study on modeling the dynamics of statistically dependent returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 35-51.
- Li Liu & Yumin Liu & Jong-Min Kim, 2019. "Sustainable Visual Analysis for Bank Non-Performing Loans and Government Debt Distress," Sustainability, MDPI, vol. 12(1), pages 1-21, December.
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Keywords
Ornstein–Uhlenbeck process; Occupation time; Functional principal component analysis; Electricity price; PCA;All these keywords.
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