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Métodos de Monte Carlo Hamiltoniano aplicados em modelos GARCH
(Universidade Federal de São Carlos, 2019-04-26)
One of the most important informations in financial market is variability of an asset. Several
models have been proposed in literature with a view of to evaluate this phenomenon. Among
them we have the GARCH models. This ...
Modelo de dispersão Hiper-Poisson para variáveis discretas observáveis e não observáveis
(Universidade Federal de São Carlos, 2019-12-06)
Poisson distribution is widely used to model count data, however it has the disadvantage the
assumption that the data must have equal mean and variance, which is not always true, since
in many situations the phenomenon ...
Classe de modelos de fragilidade com efeito do acúmulo de reparos em múltiplos sistemas reparáveis
(Universidade Federal de São Carlos, 2019-12-13)
In repairable systems, a fundamental aspect to be considered is predict the reliability of the systems being studied. However, the standard methods used to analyze reparable system data ignore the cumulative effect of ...
Decomposição da variância para o modelo de regressão destrutivo Waring de longa duração
(Universidade Federal de São Carlos, 2020-04-17)
The goal of this work is to formulate a two-stage regression long-term model, whose destructive mechanism of the competitive risk factors is flexible for measuring the impact on the survival function or cure rate of ...
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 ...
Análise bayesiana de dados funcionais com o uso de processo Gaussiano e metanálise: uma aplicação para a marcha humana
(Universidade Federal de São Carlos, 2019-05-02)
The term "functional data" arised to accommodate situations in which each observation can be naturally interpreted as a function. These situations have become increasingly common with the availability of measuring instruments ...
Detecting influential observations in spatial models using Bregman divergence
(Universidade Federal de São Carlos, 2018-02-26)
How to evaluate if a spatial model is well ajusted to a problem? How to know if it is the best model between the class of conditional autoregressive (CAR) and simultaneous autoregressive (SAR) models, including homoscedasticity ...
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 ...
Métodos de estimação em modelos de efeitos mistos não lineares de caudas pesadas
(Universidade Federal de São Carlos, 2019-12-05)
Parameter estimation in nonlinear mixed-effects models is often challenging. In this thesis,
a comparison of estimation methods for these models is proposed under a frequentist
approach. In the first study, a comparison ...
Modelos de sobrevivência induzidos por fragilidade discreta série de potência zero-modificada
(Universidade Federal de São Carlos, 2020-03-13)
Survival models with a frailty term are presented as an extension of Cox's proportional risk model (COX, 1972), in which a random effect, called frailty, is introduced in the risk function in a multiplicative way with the ...