Nonparametric estimation of market distribution functions in electricity pool markets

Nonparametric estimation of market distribution functions in electricity pool markets

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Article ID: iaor200930032
Country: United States
Volume: 31
Issue: 3
Start Page Number: 621
End Page Number: 636
Publication Date: Aug 2006
Journal: Mathematics of Operations Research
Authors: , ,
Keywords: electricity
Abstract:

The market distribution function is a probabilistic device that can be used to model the randomness in dispatch and clearing price that generators in electricity–pool markets must take account of when submitting offers. We discuss techniques for estimating the market distribution function, and ways of measuring the quality of these estimators, using both classical statistical approaches and an expected–foregone–revenue approach.

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