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math.PR2020
Matrix-Analytic Methods for the analysis of Stochastic Fluid-Fluid Models
Nigel G. Bean, Małgorzata M. O'Reilly, Zbigniew Palmowski
Stochastic fluid-fluid models (SFFMs) offer powerful modeling ability for a wide range of real-life systems of significance. The existing theoretical framework for this class of mo…
stat.ME2020
Bayesian estimation of trend components within Markovian regime-switching models for wholesale electricity prices: an application to the South Australian wholesale electricity market
Angus Lewis, Nigel Bean, Giang Nguyen
We discuss and extend methods for estimating Markovian-Regime-Switching (MRS) and trend models for wholesale electricity prices. We argue the existing methods of trend estimation u…