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ANZIAM J. 47(EMAC2005) pp.C603--C620, 2007.

Modelling electricity power cuts in the UK

Owen Dafydd Jones

(Received 6 June 2006; revised 21 December 2006)

Abstract

We consider a compound Poisson model for electricity power cuts. Cuts occur at rate l and we associate with the ith cut a duration L_i and size C_i, where L_i and C_i are heavy tailed and positively correlated. Development of the model is complicated by the fact that we have no direct observations of (L_i, C_i). Rather, if N is the number of power cuts in a year, we have observations of å _i=1^N C_iL_i and å _i=1^N C_i. This necessitates the use of a parsimonious model for (L_i, C_i), and we base ours on the Pareto distribution. To fit the model we apply kernel density estimation to simulated data to obtain estimates of the likelihood, which we then maximise using stochastic optimisation.

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Authors

Owen Dafydd Jones

Department of Mathematics and Statistics, University of Melbourne, Melbourne, Australia. O.D.Jones@ms.unimelb.edu.au

Published March 8, 2007. ISSN 1446-8735

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