Browsing Teses e dissertações by Advisor "55202e88-85cb-4ce4-bccd-6d142ebc1d2c"
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Bayesian inference for term structure models
(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
(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 ...