Journal of the Indonesian Mathematical Society
Vol. 31 No. 2 (2025): JUNE

Signal Processing Of The One-Factor Mean-Reverting Model In Energy System

Pramesti, Getut (Unknown)
Saptono, Ristu (Unknown)



Article Info

Publish Date
10 Apr 2025

Abstract

One of the models that can be considered in the energy system is the one-factor mean-reverting process. We propose the one-factor mean-reverting model with sinusoidal signal processing involved. The frequency component of the model can be estimated with a high-frequency scheme. The estimation of the frequency component is believed to produce a precise estimate. This is because the high-frequency scheme has the potential to handle possible non-linear coefficient cases in a unified way, that is, $nh\to \infty$, and $nh^{2}\to 0$. This paper shows that the frequency component estimator in the one-factor mean-reverting model is strongly consistent with the rate convergence, namely $\sqrt{(nh)^3}$. It is also can be shown that the estimator has a normal approximation with a mean of 0 and variance $\frac{1}{6}(1+\theta^{2})$. We applied the proposed model to the energy systems data.

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Journal Info

Abbrev

JIMS

Publisher

Subject

Mathematics

Description

Journal of the Indonesian Mathematical Society disseminates new research results in all areas of mathematics and their applications. Besides research articles, the journal also receives survey papers that stimulate research in mathematics and their ...