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Campo DC | Valor | Idioma |
---|---|---|
dc.creator | Andrade, Larissa Ribeiro de | - |
dc.creator | Ferreira, Daniel Furtado | - |
dc.creator | Sáfadi, Thelma | - |
dc.creator | Barroso, Lúcia Pereira | - |
dc.date.accessioned | 2019-05-07T13:06:33Z | - |
dc.date.available | 2019-05-07T13:06:33Z | - |
dc.date.issued | 2018 | - |
dc.identifier.citation | ANDRADE, L. R. de et al. Bayesian analysis of dynamic factor models using multivariate T distribution. Revista Brasileira de Biometria, Lavras, v. 36, n. 1, p. 140-156, mar. 2018. | pt_BR |
dc.identifier.uri | http://www.biometria.ufla.br/index.php/BBJ/article/view/155 | pt_BR |
dc.identifier.uri | http://repositorio.ufla.br/jspui/handle/1/34021 | - |
dc.description.abstract | The multivariate t models are symmetric and have heavier tail than the normal distribution and produce robust inference procedures for applications. In this paper, the Bayesian estimation of a dynamic factor model is presented, where the factors follow a multivariate autoregressive model, using the multivariate t distribution. Since the multivariate t distribution is complex, it was represented in this work as a mix of the multivariate normal distribution and a square root of a chi-square distribution. This method allowed the complete dene of all the posterior distributions. The inference on the parameters was made taking a sample of the posterior distribution through a Gibbs Sampler. The convergence was veried through graphical analysis and the convergence diagnostics of Geweke (1992) and Raftery and Lewis (1992). | pt_BR |
dc.language | en_US | pt_BR |
dc.publisher | Universidade Federal de Lavras | pt_BR |
dc.rights | restrictAccess | pt_BR |
dc.source | Revista Brasileira de Biometria | pt_BR |
dc.subject | Factor models | pt_BR |
dc.subject | Gibbs samples | pt_BR |
dc.subject | Multivariate t | pt_BR |
dc.subject | Modelos de fator | pt_BR |
dc.subject | Amostras de Gibbs | pt_BR |
dc.subject | T multivariada | pt_BR |
dc.title | Bayesian analysis of dynamic factor models using multivariate T distribution | pt_BR |
dc.type | Artigo | pt_BR |
Aparece nas coleções: | DES - Artigos publicados em periódicos |
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