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Title: | Análise bayesiana do modelo fatorial dinâmico para um vetor de séries temporais utilizando a distribuição t multivariada |
Authors: | Ferreira, Daniel Furtado Sáfadi, Thelma Bueno Filho, Júlio Sílvio de Sousa Lima, Renato Ribeiro de Freire, Evelise Corbalán Góis Barroso, Lúcia Pereira |
Keywords: | Análise fatorial Amostrador de Gibbs Distribuição t multivariada Factor analysis Gibbs sampling multivariate t-distribution |
Issue Date: | 23-May-2016 |
Publisher: | Universidade Federal de Lavras |
Citation: | ANDRADE, L. R. de. Análise bayesiana do modelo fatorial dinâmico para um vetor de séries temporais utilizando a distribuição t multivariada. 2016. 149 p. Tese (Doutorado em Estatística e Experimentação Agropecuária)-Universidade Federal de Lavras, Lavras, 2016. |
Abstract: | The multivariate t models are symmetric and with heavier tail than the normal distribution, important feature in financial data. In this theses is presented the Bayesian estimation of a dynamic factor model, where the factors follow a multivariate autoregressive model, using multivariate t distribution. Since the multivariate t distribution is complex, it was represented in this work as a mix between a multivariate normal distribution and a square root of a chi-square distribution. This method allowed to define the posteriors. The inference on the parameters was made taking a sample of the posterior distribution, through the Gibbs Sampler. The convergence was verified through graphical analysis and the convergence tests Geweke (1992) and Raftery & Lewis (1992a). The method was applied in simulated data and in the indexes of the major stock exchanges in the world. |
URI: | http://repositorio.ufla.br/jspui/handle/1/11179 |
Appears in Collections: | Estatística e Experimentação Agropecuária - Doutorado (Teses) |
Files in This Item:
File | Description | Size | Format | |
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TESE_Análise bayesiana do modelo fatorial dinâmico para um vetor de séries temporais utilizando a distribuição t multivariada.pdf | 5,93 MB | Adobe PDF | View/Open |
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