• Bayesian inference for term structure models 

      Martins, Thomas Correa e Silva (Universidade Federal de São Carlos, UFSCar, Programa Interinstitucional de Pós-Graduação em Estatística - PIPGEs, Câmpus São Carlos, 09/06/2022)
      We explore recent advances in Bayesian methods in order to estimate the Vasicek, CIR and dynamic Nelson-Siegel (DNS) models for term structure of interest rates. The models are specified as state space time series. The ...
    • Bayesian estimation of dynamic mixture models by wavelets 

      Motta, Flávia Castro (Universidade Federal de São Carlos, UFSCar, Programa Interinstitucional de Pós-Graduação em Estatística - PIPGEs, Câmpus São Carlos, 20/04/2023)
      Gaussian mixture models are used successfully in various statistical learning applications. The good results provided by these models encourage several generalizations of them. Among possible adaptations, one can assume a ...