Extreme value analysis of electricity demand in the UK

Stephen Chan; Saralees Nadarajah

doi:10.1080/13504851.2015.1021453

Extreme value analysis of electricity demand in the UK

Stephen Chan
, Saralees Nadarajah (Collaborator)

Research output: Contribution to journal › Article › peer-review

Abstract

For the first time, an extreme value analysis of electricity demand in the UK is provided. The analysis is based on the generalized Pareto distribution. Its parameters are allowed to vary linearly and sinusoidally with respect to time to capture patterns in the electricity demand data. The models are shown to give reasonable fits. Some useful predictions are given for the value at risk of the returns of electricity demand.

Original language	English
Pages (from-to)	1246-1251
Number of pages	5
Journal	Applied Economics Letters
Volume	22
Issue number	15
DOIs	https://doi.org/10.1080/13504851.2015.1021453
Publication status	Published - 13 Oct 2015

Keywords

extreme values, generalized Pareto distribution, value at risk

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10.1080/13504851.2015.1021453

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Extreme value analysis of electricity demand in the UK

Abstract

Keywords

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