Please use this identifier to cite or link to this item: http://repositorio.ufla.br/jspui/handle/1/11179
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)



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