Authors:
Shin Ichi Aihara
1
and
Arunabha BAGCHI
2
Affiliations:
1
Tokyo University of Science Suwa, Japan
;
2
Twente University, Netherlands
Keyword(s):
Electricity Spot, Risk premium, Hyperbolic system, Kalman filter, Jump process, Parameter identification, Parallel filter.
Related
Ontology
Subjects/Areas/Topics:
Adaptive Signal Processing and Control
;
Informatics in Control, Automation and Robotics
;
Signal Processing, Sensors, Systems Modeling and Control
;
System Identification
;
System Modeling
Abstract:
We study the adaptive filtering for risk premium and system parameters in electricity futures modes. Introducing the jump augmented Vasicek model as the spot price mode, the factor model of the electricity futures is constructed as the stochastic hyperbolic systems with jumps. Representing the main spike phenomena of the electricity spot price from one observed futures data by proxy, the filtering of the stochastic risk premium and its system parameters are developed in a Gaussian framework. By using the parallel filtering algorithm, the online system parameter estimation procedure is proposed.