contents.m

Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach" by Rafa&#322 Weron, p

% MFE Toolbox.
% Version 1.0.1 (2007.11.05)
% Copyright (c) 2006-2007 by Rafal Weron
%
% Reference:
%   [1] R.Weron (2006) "Modeling and Forecasting Electricity Loads and 
%   Prices: A Statistical Approach", Wiley, Chichester. 
%
% Toolbox updates available from:
%   http://www.im.pwr.wroc.pl/~rweron/MFE.html
%
% ------------------------------------------------------------------------
%
% Time series.
%   armaacvf - Autocovariance function of an ARMA process.
%   average  - Weighted average.
%   decompA  - Differencing-smoothing daily data decomposition.
%   decompB  - Moving average with rolling volatility daily data
%               decomposition.
%   logret   - Logarithmic returns.
%   mainfcoeff - Coefficients of a MA(inf) process corresponding to 
%               ARMA(p,q).
%   periodog - Periodogram of a time series.
%   remmed   - Remove mean- or median-based seasonal component.
%   remsin   - Remove annual sinusoidal component and trend from daily data.
%   remst    - Remove seasonal component and trend.
%   rollingvol - Annual rolling volatility.
%   volaplot - Volatility plot.
%
% Distributions.
%   empcdf   - Empirical cumulative distribution function (cdf).
%   hypcdf   - Hyperbolic cumulative distribution function (cdf).
%   hypest   - Estimate parameters of the hyperbolic distribution.
%   hyploglik - Hyperbolic log-likelihood function.
%   hyppdf   - Hyperbolic probability density function (pdf).
%   nigcdf   - NIG cumulative distribution function (cdf).
%   nigest   - Estimate parameters of the NIG distribution.
%   nigloglik - NIG log-likelihood function.
%   nigpdf   - NIG probability density function (pdf).
%   stabcdf  - (Alpha-)stable cumulative distribution function (cdf).
%   stabcull - Quantile parameter estimates of a stable distribution.
%   stabreg  - Regression parameter estimates of a stable distribution.
%
% Tests and goodness-of-fit functions.
%   edftests - Empirical distribution function (edf) goodness-of-fit
%               statistics.
%   ferrors  - Compute price forecast errors.
%
% Markov regime switching (MRS) models.
%   mrs_est  - Estimate 2-state (Markov) regime switching model.
%   mrs_plot - Plot calibration results for a 2-state MRS model.
%   mrs_sim  - Simulate trajectories of a 2-state (Markov) regime switching
%               model.
%
% GUI functions.
%   onlyone  - Sets only one active radiobutton.
%   readf    - Read files and folders from the current directory.
%
% Demos.
%   mfe_distrib - GUI illustrating Case Study 2.6.3.
%               Auxiliary routine(s): mfe_distrib_aux
%   mfe_loadf - GUI illustrating Case Studies 3.4.7 and 3.4.10.
%               Auxiliary routine(s): mfe_loadf_block, mfe_loadf_crit,
%               mfe_loadf_errtables, mfe_loadf_model_arma,
%               mfe_loadf_plotacf, mfe_loadf_plotcomp,
%               mfe_loadf_plotperiodogram, mfe_loadf_predA,
%               mfe_loadf_predB
%   mfe_pricef - GUI illustrating Case Studies 4.3.7, 4.3.8 and 4.3.11.
%               Auxiliary routine(s): mfe_pricef_errtables,
%               mfe_pricef_plots, mfe_pricef_win_arx, mfe_pricef_win_arxg,
%               mfe_pricef_win_tarx, startarx, startgarch, starttarx
%   mfe_regime - Script illustrating Case Study 4.4.5.
%
% Data (*.dat) files.
%   CA_daily.dat - daily electricity prices, loads, forecasted loads and
%               max air temperatures from California (1998.04.01-2002.12.31). 
%   CA_hourly.dat - hourly electricity prices, loads and forecasted loads 
%               from California (1998.04.01-2001.01.31). 
%   EEX_daily_des.dat - deseasonalized (with respect to the weekly cycle)
%               EEX daily price (Phelix Base index, 2002.01.01-2004.12.31).
%   NP_daily_des.dat - logarithm of the deseasonalized with respect to the 
%               weekly and annual cycles average daily Nord Pool system  
%               price (1997.01.03-2000.04.27).