Improving Electricity Market Price Forecasting with Factor Models for the Optimal Generation Bid

Author:

Muñoz M. Pilar1,Corchero Cristina,Heredia F.-Javier1

Affiliation:

1. Department of Statistics and Operations Research; Universitat Politecnica de Catalunya; Jordi Girona 1-3, Office 205, Barcelona; 08034; Spain

Publisher

Wiley

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference66 articles.

1. Alonso , A. M. Garcia-Martos , C. Rodriguez , J. Sanchez , M. J. 2008 Seasonal dynamic factor analysis and bootstrap inference: application to electricity market forecasting

2. The asymptotic distribution of estimators in factor analysis under general conditions;Anderson;Ann. Stat.,1988

3. Inferential theory for factors models of large dimensions;Bai;Econometrica,2003

4. Determining the number of factors in approximate factor models;Bai;Econometrica,2002

5. Large dimensional factor analysis;Bai;Found. Trends. Econ.,2008

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