Zobrazeno 1 - 10
of 40
pro vyhledávání: '"Lopes, Silvia R. C."'
For H\"older continuous functions $f_i$, $i=0,\ldots ,d$, on a subshift of finite type and $\Theta\subset \mathbb \R^d$ we consider a parametrized family of potentials $\{F_\theta= f_0+\sum_{i=1}^d \theta_i f_i : \theta\in \Theta\}$. We show that the
Externí odkaz:
http://arxiv.org/abs/2408.01104
In this work, we study the properties of a pentadiagonal symmetric matrix with perturbed corners. More specifically, we present explicit expressions for characterizing when this matrix is non-negative and positive definite in two special and importan
Externí odkaz:
http://arxiv.org/abs/2104.11220
We analyze hypotheses tests using classical results on large deviations to compare two models, each one described by a different H\"older Gibbs probability measure. One main difference to the classical hypothesis tests in Decision Theory is that here
Externí odkaz:
http://arxiv.org/abs/2101.08227
Statistical inference can be seen as information processing involving input information and output information that updates belief about some unknown parameters. We consider the Bayesian framework for making inferences about dynamical systems from er
Externí odkaz:
http://arxiv.org/abs/2012.05601
Autor:
Prass, Taiane S., Lopes, Sílvia R. C.
We consider the Fractionally Integrated Exponential Generalized Autoregressive Conditional Heteroskedasticity process, denoted by FIEGARCH(p,d,q), introduced by Bollerslev and Mikkelsen (1996). We present a simulated study regarding the estimation of
Externí odkaz:
http://arxiv.org/abs/1305.5238
Autor:
Pumi, Guilherme, Lopes, Sílvia R. C.
In this paper we propose a generalization of a class of Gaussian Semiparametric Estimators (GSE) of the fractional differencing parameter for long-range dependent multivariate time series. We generalize a known GSE-type estimator by introducing some
Externí odkaz:
http://arxiv.org/abs/1305.5232
Bayesian inference for fractionally integrated exponential generalized autoregressive conditional heteroskedastic (FIEGARCH) models using Markov Chain Monte Carlo (MCMC) methods is described. A simulation study is presented to access the performance
Externí odkaz:
http://arxiv.org/abs/1304.1733
Autor:
Pumi, Guilherme, Lopes, Sílvia R. C.
Publikováno v:
Journal of Statistical Computation and Simulation, 2014
In this paper we propose and study a general class of Gaussian Semiparametric Estimators (GSE) of the fractional differencing parameter in the context of long-range dependent multivariate time series. We establish large sample properties of the estim
Externí odkaz:
http://arxiv.org/abs/1205.0824
Autor:
Pumi, Guilherme, Lopes, Sílvia R. C.
In this work we study the problem of constructing stochastic processes with a predetermined covariance decay by parameterizing its marginals and a given family of copulas. We show that the proposed methodology is compatibility-free and present severa
Externí odkaz:
http://arxiv.org/abs/1204.3339
Autor:
Lopes, Sílvia R. C., Prass, Taiane S.
Here we present a theoretical study on the main properties of Fractionally Integrated Exponential Generalized Autoregressive Conditional Heteroskedastic (FIEGARCH) processes. We analyze the conditions for the existence, the invertibility, the station
Externí odkaz:
http://arxiv.org/abs/1201.4129