Dependency modeling using copulas with an application of electricity energy in Kurdistan-Iraq
Other Title(s)
نمذجة الاعتمادية باستخدام الروابط مع التطبيق في الطاقة الكهربائية في الكردستان-العراق
Dissertant
Thesis advisor
Comitee Members
Ahmad, Nawzad Muhammad Amin
Jalil, Talib S.
Ismail, Muhammad N.
Hasan, Sabah H.
Thanun, Basil Y.
University
Salahaddin University-Hawler
Faculty
Management and Economic College
Department
Statistics Department
University Country
Iraq
Degree
Ph.D.
Degree Date
2012
English Abstract
Copulas approach is useful and important tools for understanding relationships among random variables.
Copulas are powerful and flexible tools for modeling dependence structure of several random variables.
The main aim of this thesis is to study and apply the copula technique to model dependency structures (modeling the joint probabilistic behavior) between electricity generation stations and between the generation and other related resources of stations in the electricity energy in the Kurdistan region.
In this thesis, we study the stochastic dependence structures between daily electricity generations of stations, and between the daily generation and the used fuel of station, based on four power stations : Dokan, Derbandekhan, Erbil and Chamchamal.
The GARCH model is one of the best-known non-linear models for serial dependence and conditional heteroscedastic processes.
Therefore, the copula-GARCH framework is used in this thesis and it generally consists of two components : the first component is to model the marginal distribution of individual series by GARCH (AR-GARCH, ARMA-GARCH and MAGARCH) models with a certain distribution of noise (t and Gaussian distributions are used in our thesis) to filter the linear and the non-linear time dependence in the series of returns, and second is to analyze the dependency through the standardized residuals of these models to estimate a proper copula model (joint distribution) by link the margins together to make capturing the dependence structure best between individual series in each set.
The idea of this thesis is based on the bivariate Archimedean copula and bivariate ellipsoidal copula.
The most proximate estimated copula model (single) is based on the real data in two dimensions by using three estimation methods (the maximum pseudo likelihood), (inversion of Kendall's tau), and (inversion of Spearman's rho).
After a series of goodness of fit tests for copulas, we compare them in each data set by adopting the most reliable criteria for selecting the best fitting copula.
They are the log-maximum likelihood value, the Akaike information criterion, the Bayssian information criterion, and the Cramer-von-Mises statistic.
Based on a comparison of these criteria, the results of the copula modelling show that the best dependence structures (copula models) between the generations and between the generation and other related resources of stations can be modeled by the bivariate (Student-t, product and Clayton) copula provides an adequate representation of the empirical dependence structures.
Main Subjects
Topics
No. of Pages
165
Table of Contents
Table of contents.
Abstract.
Chapter One : introduction, a literature review of copulas and the electricity energy sector in kurdistan region.
Chapter Two : the theoretical aspect of copulas analysis and time series analysis.
Chapter Three : the theoretical aspect of measures of dependence and statistical inference for copulas.
Chapter Four : application of copulas modeling to the electric energy data (applied aspect).
Chapter Five : conclusions and recommendations.
References.
American Psychological Association (APA)
Kiwork, Lusin Immanuil. (2012). Dependency modeling using copulas with an application of electricity energy in Kurdistan-Iraq. (Doctoral dissertations Theses and Dissertations Master). Salahaddin University-Hawler, Iraq
https://search.emarefa.net/detail/BIM-314692
Modern Language Association (MLA)
Kiwork, Lusin Immanuil. Dependency modeling using copulas with an application of electricity energy in Kurdistan-Iraq. (Doctoral dissertations Theses and Dissertations Master). Salahaddin University-Hawler. (2012).
https://search.emarefa.net/detail/BIM-314692
American Medical Association (AMA)
Kiwork, Lusin Immanuil. (2012). Dependency modeling using copulas with an application of electricity energy in Kurdistan-Iraq. (Doctoral dissertations Theses and Dissertations Master). Salahaddin University-Hawler, Iraq
https://search.emarefa.net/detail/BIM-314692
Language
English
Data Type
Arab Theses
Record ID
BIM-314692