Innovation processes in logically constrained time series

Christoph Möller, Svetlozar T. Rachev, Young S. Kim, Frank J. Fabozzi

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

3 Scopus citations

Abstract

Capturing the relevant aspects of phenomena in an econometric model is a fine art. When it comes to the innovation process a trade of between a suitable process and its mathematical implications has to be found. In many phenomena the likelihood of extreme events plays a crucial role. At the same time, classical extreme value theory is based on assumptions that cannot logically be drawn for the phenomenon in question. In this paper, we exemplify the fitness of tempered stable laws to capture both the probability of extreme events, and the relevant boundary conditions in a back-coupled system, the German balancing energy demand.

Original languageEnglish
Title of host publicationAdvances in Directional and Linear Statistics
Subtitle of host publicationA Festschrift for Sreenivasa Rao Jammalamadaka
PublisherPhysica-Verlag
Pages173-188
Number of pages16
ISBN (Print)9783790826272
DOIs
StatePublished - 2011

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