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Fitting Compound Archimedean Copulas to Data for Modeling Electricity Demand

Author

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  • Moshe Kelner
  • Zinoviy Landsman
  • Udi E. Makov

Abstract

Modeling dependence between random variables is accomplished effectively by using copula functions. Practitioners often rely on the single parameter Archimedean family which contains a large number of functions, exhibiting a variety of dependence structures. In this work we propose the use of the multiple-parameter compound Archimedean family, which extends the original family and allows more elaborate dependence structures. In particular, we use a copula of this type to model the dependence structure between the minimum daily electricity demand and the maximum daily temperature. It is shown that the compound Archimedean copula enhances the flexibility of the dependence structure and provides a better fit to the data.

Suggested Citation

  • Moshe Kelner & Zinoviy Landsman & Udi E. Makov, 2021. "Fitting Compound Archimedean Copulas to Data for Modeling Electricity Demand," International Journal of Statistics and Probability, Canadian Center of Science and Education, vol. 10(5), pages 1-20, September.
    • Handle: RePEc:ibn:ijspjl:v:10:y:2021:i:5:p:20
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    References listed on IDEAS

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    1. Moshe Kelner & Zinoviy Landsman & Udi E. Makov, 2021. "Compound Archimedean Copulas," International Journal of Statistics and Probability, Canadian Center of Science and Education, vol. 10(3), pages 126-126, June.
    2. Cossette, Hélène & Marceau, Etienne & Mtalai, Itre, 2019. "Collective risk models with dependence," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 153-168.
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    Cited by:

    1. Moshe Kelner & Zinoviy Landsman & Udi E. Makov, 2022. "Probabilistic Peak Demand Estimation Using Members of the Clayton Generalized Gamma Copula Family," Energies, MDPI, vol. 15(16), pages 1-15, August.

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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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