log_partObsBidcurves: A differentiable functional data set of logarithmized auction...

In stefanrameseder/PartiallyFD: Partially Observed Functional Data: The Case of Systematically Missings

Description

This data set contains weekly (monotone) bidcurves X_i(t_j) and their (positive) derivatives X_i'(t_j) for all four auctions ("POS_HT", "POS_NT", "NEG_HT", "NEG_NT") for i=1, …, 304 and j=1, …, 501 of Secondary Reserve (SRL) in the German Balance Power Market (www.regelleistung.net). The i correspond to dates June 27th, 2011, until April, 17th, 2017, (304 weeks in total).

Usage

data("log_partObsBidcurves")

Format

A list containing three entries

log_bc_fds

A list of observations X_i(t_j) with four entries for each auction "POS_HT", ..., "NEG_NT" and NAs if the function was not observed.

log_bc_fds_der

A list of observations X_i'(t_j) with four entries for each auction "POS_HT", ..., "NEG_NT" and NAs if the derivative was not observed.

md_dis

The grid t_1, …, t_p, where the functions are observed.

Source

www.regelleistung.net

References

Liebl, D., and Rameseder, S. (2017): Partially Observed Functional Data: The Case of Systematically Missings. Available from the authors on request.

stefanrameseder/PartiallyFD documentation built on May 29, 2019, 9:50 a.m.