Non-Gaussian Multivariate Processes for Renewable Energy and Finance

The electrical grid is experiencing challenges with the expanding introduction of distributed photovoltaic (PV) panels over neighborhood rooftops. Such PV installations generate variable, uncertain and intermittent electricity supply due to microscale weather patterns and diurnal variation. Understanding the impacts of such an uncertain renewable energy resource requires high resolution space-time irradiance data; however, fine scale irradiance data are rare, and impacts assessments must therefore rely on simulated scenarios. In a parallel vein, cryptocurrencies are increasingly common investment areas for businesses and individual investors. However, the nascent state of the technology and price record leave a dearth of historical data. Thus, financial modeling and investment studies require simulated scenarios that consider the joint behavior of multiple cryptocurrencies simultaneously. This project will develop new methodology to produce realistic, synthetic data sets that can be used in risk and impacts studies. Moreover, this project will support education and training of students who will gain interdisciplinary research experience at the intersection of statistics, renewable energy science and finance. This research will develop new modeling frameworks for multivariate non-Gaussian processes that exhibit intermittent jump-like behavior. Such approaches will afford better understanding of the variability and intermittency of solar irradiances and the joint behavior in major cryptocurrency portfolios. Space-time in situ pyranometer-based measurements of irradiances and a suite of popular modern cryptocurrency historical prices will be used to illustrate the new approaches. The methods developed will directly benefit the fields of energy science, meteorology, finance and economics with applicability in many further disciplines including geography, ecology, environmental science and physics, among others. This award reflects NSF's statutory mission and has been deemed worthy of support through evaluation using the Foundation's intellectual merit and broader impacts review criteria.