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Multivariate Scenario Generation -An Arima and Copula Approach

Multivariate Scenario Generation -An Arima and Copula Approach

Category
Journal publication
Abstract
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.
Language
English
Author(s)
  • Mishra Sambeet
  • Bordin Chiara
  • Würsig Christoph
  • Palu Ivo
Affiliation
  • Tallinn University of Technology (TalTech University)
  • SINTEF Energy Research / Energisystemer
  • University of Hanover
Year
2019
Published in
International Journal of Modeling and Optimization
ISSN
2010-3697
Volume
9
Issue
3
Page(s)
146 - 149