Advances and Applications in Statistics
Volume 6, Issue 2, Pages 235 - 240
(August 2006)
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NON-PARAMETRIC ESTIMATION OF BARLOW?S MODEL
George Stoica (Canada)
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Abstract: We provide an explanation for the presence of spikes in Barlow?s electricity spot price model. Two consistent estimators are employed for the drift and diffusion coefficients of the model. We interpret the numerical results and perform a Monte Carlo simulation to show stability with respect to the discretization step. |
Keywords and phrases: Barlow?s model, non-parametric estimation, Monte Carlo method. |
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