The Annals of Applied Statistics

Nonparametric testing for differences in electricity prices: The case of the Fukushima nuclear accident

Dominik Liebl

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Abstract

This work is motivated by the problem of testing for differences in the mean electricity prices before and after Germany’s abrupt nuclear phaseout after the nuclear disaster in Fukushima Daiichi, Japan, in mid-March 2011. Taking into account the nature of the data and the auction design of the electricity market, we approach this problem using a Local Linear Kernel (LLK) estimator for the nonparametric mean function of sparse covariate-adjusted functional data. We build upon recent theoretical work on the LLK estimator and propose a two-sample test statistics using a finite sample correction to avoid size distortions. Our nonparametric test results on the price differences point to a Simpson’s paradox explaining an unexpected result recently reported in the literature.

Article information

Source
Ann. Appl. Stat., Volume 13, Number 2 (2019), 1128-1146.

Dates
Received: August 2017
Revised: November 2018
First available in Project Euclid: 17 June 2019

Permanent link to this document
https://projecteuclid.org/euclid.aoas/1560758440

Digital Object Identifier
doi:10.1214/18-AOAS1230

Mathematical Reviews number (MathSciNet)
MR3963565

Zentralblatt MATH identifier
07094848

Keywords
Electricity spot prices functional data analysis local linear kernel estimation nuclear power phaseout sparse functional data time series analysis

Citation

Liebl, Dominik. Nonparametric testing for differences in electricity prices: The case of the Fukushima nuclear accident. Ann. Appl. Stat. 13 (2019), no. 2, 1128--1146. doi:10.1214/18-AOAS1230. https://projecteuclid.org/euclid.aoas/1560758440


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Supplemental materials

  • Supplement A: R-codes and data. This supplementary material contains the R codes of the real data application and simulated data which closely resembles the original data set.
  • Supplement B: Supplementary paper. This supplementary paper contains the proofs of our theoretical results and a detailed description of the data sources.