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O Modelo de Regressão Potência-Normal Logística, Cauchy, Normal e Gumbel para resposta no intervalo unitário
(Universidade Federal de São Carlos, 2020-07-17)
In this research a new statistical model is introduced to model data restricted in the continuous interval (0,1) . The new model is the composition of the power-normal distribution and the quantile of another family of ...
Modelo de mistura de regressão: uma abordagem bayesiana
(Universidade Federal de São Carlos, 2020-04-14)
In the current dissertation, we study the mixture regression models and present two Bayesian
methodologies for their estimation. The first one considers the number of components is known
and we propose the use of two ...
Análise de diagnóstico em modelos de regressão ZAGA e ZAIG
(Universidade Federal de São Carlos, 2016-03-10)
Residuals play an important role in checking model adequacy and in the identi cation of outliers and in uential observations. In this paper, we studied two class of residuals for the zero adjusted gamma regression model ...
Dois ensaios sobre precificação de ativos
(Universidade Federal de São Carlos, 2016-04-15)
Find fair (according to some criterion) prices for assets in financial markets is one of the most important pillars of Finance Theory. To accomplish this, the Asset Pricing Theory has a mathematical formulation, based ...
Inferência bayesiana em modelos de volatilidade estocástica usando métodos de Monte Carlo Hamiltoniano
(Universidade Federal de São Carlos, 2018-08-10)
This paper presents a study using Bayesian approach in stochastic volatility models for modeling
financial time series, using Hamiltonian Monte Carlo methods (HMC). We propose the use
of other distributions for the errors ...
Técnicas de classificação aplicadas a credit scoring: revisão sistemática e comparação
(Universidade Federal de São Carlos, 2015-12-18)
Nowadays the increasing amount of bank transactions and the increasing of data storage created a demand for risk evaluation associated with personal loans. It is very important for a company has a very good tools in credit ...
Metanálise para modelos de regressão
(Universidade Federal de São Carlos, 2016-10-28)
Programação linear aplicada a estatística
(Universidade Federal de São Carlos, 2017-11-27)
Determine probabilities for events where we have few information or intervals for probabilities is not so simple. For this we will develop concepts of linear programming, which allows us to solve, in a certain way, the ...
Uma aproximação do tipo Euler-Maruyama para o processo de Cox-Ingersoll-Ross
(Universidade Federal de São Carlos, 2015-02-26)
In this master's thesis we work with Cox-Ingersoll-Ross (CIR) process. This process was originally proposed by John C. Cox, Jonathan E. Ingersoll Jr. and Stephen A. Ross in 1985. Nowadays, this process is widely used in ...
Algoritmos de estimação para modelos Markovianos não-homogêneos
(Universidade Federal de São Carlos, 2020-02-27)
Hidden Markov models are a statistical paradigm which can be used to mode stochastic processeswhere the observable values are directly dependent on a sequence of hidden random variables.In the context of the hidden Markov ...