论文标题
贝叶斯对马尔可维亚政权开关模型中趋势组件的估算批发价格：向南澳大利亚州批发电力市场的应用
Bayesian estimation of trend components within Markovian regime-switching models for wholesale electricity prices: an application to the South Australian wholesale electricity market
论文作者
论文摘要
我们讨论并扩展了估计马尔可文政权转换（MRS）和批发电价趋势模型的方法。我们认为，电价建模文献中使用的现有趋势估计方法要么需要对极端价格进行模棱两可的定义，要么在实施模型选择时会导致问题[23]。本文的第一个主要贡献是设计和推断一个模型，该模型具有基于模型的极端价格定义，并允许使用模型选择标准。由于MRS模型的复杂性，推断并不简单。在现有文献中，使用了近似EM算法[26]。本文的另一个贡献是在贝叶斯环境中实施精确的推断。这还允许使用后验预测检查来评估模型拟合。我们证明了南澳大利亚电力市场的方法。
We discuss and extend methods for estimating Markovian-Regime-Switching (MRS) and trend models for wholesale electricity prices. We argue the existing methods of trend estimation used in the electricity price modelling literature either require an ambiguous definition of an extreme price, or lead to issues when implementing model selection [23]. The first main contribution of this paper is to design and infer a model which has a model-based definition of extreme prices and permits the use of model selection criteria. Due to the complexity of the MRS models inference is not straightforward. In the existing literature an approximate EM algorithm is used [26]. Another contribution of this paper is to implement exact inference in a Bayesian setting. This also allows the use of posterior predictive checks to assess model fit. We demonstrate the methodologies with South Australian electricity market.
