Unveiling endogeneity and temporal dependence in energy prices and demand in Iberian countries: a stochastic hidden Markov model approach
Sign Up to like & getrecommendations! Published in 2021 at "Annals of Operations Research"
DOI: 10.1007/s10479-021-04211-z
Abstract: In this paper, we analyze the temporal dependence in energy prices and demand using daily data of Portugal and Spain over the period 2007–2017. The methodology used is based on a stochastic Hidden Markov Model… read more here.
Keywords: energy prices; future; energy; prices demand ... See more keywords
Applying temporal dependence to detect changes in streaming data
Sign Up to like & getrecommendations! Published in 2018 at "Applied Intelligence"
DOI: 10.1007/s10489-018-1254-7
Abstract: Detection of changes in streaming data is an important mining task, with a wide range of real-life applications. Numerous algorithms have been proposed to efficiently detect changes in streaming data. However, the limitation of existing… read more here.
Keywords: streaming data; changes streaming; applying temporal; temporal dependence ... See more keywords
Inference without smoothing for large panels with cross-sectional and temporal dependence
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2020.10.003
Abstract: This paper addresses inference in large panel data models in the presence of both cross-sectional and temporal dependence of unknown form. We are interested in making inferences without relying on the choice of any smoothing… read more here.
Keywords: cross sectional; dependence; without smoothing; inference without ... See more keywords