984 research outputs found
Spatial Dependence in Wind and Optimal Wind Power Allocation: A Copula Based Analysis
The investment decision on the placement of wind turbines is, neglecting legal formalities, mainly driven by the aim to maximize the expected annual energy production of single turbines. The result is a concentration of wind farms at locations with high average wind speed. While this strategy may be optimal for single investors maximizing their own return on investment, the resulting overall allocation of wind turbines may be unfavorable for energy suppliers and the economy because of large fluctuations in the overall wind power output. This paper investigates to what extent optimal allocation of wind farms in Germany can reduce these fluctuations. We analyze stochastic dependencies of wind speed for a large data set of German on- and offshore weather stations and find that these dependencies turn out to be highly nonlinear but constant over time. Using copula theory we determine the value at risk of energy production for given allocation sets of wind farms and derive optimal allocation plans. We find that the optimized allocation of wind farms may substantially stabilize the overall wind energy supply on daily as well as hourly frequency.Wind power; Vine copula; Optimal turbine allocation
The Gibbs Sampler with Particle Efficient Importance Sampling for State-Space Models
We consider Particle Gibbs (PG) as a tool for Bayesian analysis of non-linear
non-Gaussian state-space models. PG is a Monte Carlo (MC) approximation of the
standard Gibbs procedure which uses sequential MC (SMC) importance sampling
inside the Gibbs procedure to update the latent and potentially
high-dimensional state trajectories. We propose to combine PG with a generic
and easily implementable SMC approach known as Particle Efficient Importance
Sampling (PEIS). By using SMC importance sampling densities which are
approximately fully globally adapted to the targeted density of the states,
PEIS can substantially improve the mixing and the efficiency of the PG draws
from the posterior of the states and the parameters relative to existing PG
implementations. The efficiency gains achieved by PEIS are illustrated in PG
applications to a univariate stochastic volatility model for asset returns, a
non-Gaussian nonlinear local-level model for interest rates, and a multivariate
stochastic volatility model for the realized covariance matrix of asset
returns
Interaural time difference processing in the mammalian medial superior olive
The dominant cue for localization of low-frequency sounds are microsecond differences in the time-of-arrival of sounds at the two ears [interaural time difference (ITD)]. In mammals, ITD sensitivity is established in the medial superior olive (MSO) by coincidence detection of excitatory inputs from both ears. Hence the relative delay of the binaural inputs is crucial for adjusting ITD sensitivity in MSO cells. How these delays are constructed is, however, still unknown. Specifically, the question of whether inhibitory inputs are involved in timing the net excitation in MSO cells, and if so how, is controversial. These inhibitory inputs derive from the nuclei of the trapezoid body, which have physiological and structural specializations for high-fidelity temporal transmission, raising the possibility that well timed inhibition is involved in tuning ITD sensitivity. Here, we present physiological and pharmacological data from in vivo extracellular MSO recordings in anesthetized gerbils. Reversible blockade of synaptic inhibition by iontophoretic application of the glycine antagonist strychnine increased firing rates and significantly shifted ITD sensitivity of MSO neurons. This indicates that glycinergic inhibition plays a major role in tuning the delays of binaural excitation. We also tonically applied glycine, which lowered firing rates but also shifted ITD sensitivity in a way analogous to strychnine. Hence tonic glycine application experimentally decoupled the effect of inhibition from the timing of its inputs. We conclude that, for proper ITD processing, not only is inhibition necessary, but it must also be precisely timed
A multivariate extension of the Lorenz curve based on copulas and a related multivariate Gini coefficient
We propose an extension of the univariate Lorenz curve and of the Gini
coefficient to the multivariate case, i.e., to simultaneously measure
inequality in more than one variable. Our extensions are based on copulas and
measure inequality stemming from inequality in every single variable as well as
inequality stemming from the dependence structure of the variables. We derive
simple nonparametric estimators for both instruments and apply them exemplary
to data of individual income and wealth for various countries.Comment: 17 pages,5 figure
A multivariate extension of the Lorenz curve based on copulas and a related multivariate Gini coefficient
We propose an extension of the univariate Lorenz curve and of the Gini coefficient to the multivariate case, i.e., to simultaneously measure inequality in more than one variable. Our extensions are based on copulas and measure inequality stemming from inequality in every single variable as well as inequality stemming from the dependence structure of the variables. We derive simple nonparametric estimators for both instruments and apply them exemplary to data of individual income and wealth for various countries
From point forecasts to multivariate probabilistic forecasts: The Schaake shuffle for day-ahead electricity price forecasting
Modeling price risks is crucial for economic decision making in energy
markets. Besides the risk of a single price, the dependence structure of
multiple prices is often relevant. We therefore propose a generic and
easy-to-implement method for creating multivariate probabilistic forecasts
based on univariate point forecasts of day-ahead electricity prices. While each
univariate point forecast refers to one of the day's 24 hours, the multivariate
forecast distribution models dependencies across hours. The proposed method is
based on simple copula techniques and an optional time series component. We
illustrate the method for five benchmark data sets recently provided by Lago et
al. (2020). Furthermore, we demonstrate an example for constructing realistic
prediction intervals for the weighted sum of consecutive electricity prices,
as, e.g., needed for pricing individual load profiles
A multivariate extension of the Lorenz curve based on copulas and a related multivariate Gini coefficient
We propose an extension of the univariate Lorenz curve and of the Gini coefficient to the multivariate case, i.e., to simultaneously measure inequality in more than one variable. Our extensions are based on copulas and measure inequality stemming from inequality in each single variable as well as inequality stemming from the dependence structure of the variables. We derive simple nonparametric estimators for both instruments and exemplary apply them to data of individual income and wealth for various countries
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