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Abordagem de martingais para análise assintótica do passeio aleatório do elefante
(Universidade Federal de São Carlos, 2018-08-20)
In this work we study the elephant random walk introduced in (SCHUTZ; TRIMPER, 2004),
a discrete time, non-Markovian stochastic process with unlimited range memory that presents
phase transition. Our objective is to proof ...
Modelagem da volatilidade em séries temporais financeiras via modelos GARCH com abordagem bayesiana
(Universidade Federal de São Carlos, 2017-07-18)
In the last decades volatility has become a very important concept in the financial area, being used
to measure the risk of financial instruments. In this work, the focus of study is the modeling of
volatility, that ...
Essays on bivariate option pricing via copula and heteroscedasticity models: a classical and bayesian approach
(Universidade Federal de São Carlos, 2019-02-15)
This dissertation is composed of two main and independents essays, but complementary. In the first one, we discuss the option price under a bayesian perspective. This essay aims to price and analyze the fair price behavior ...
Modelo de regressão para dados binários com mistura de funções de ligação
(Universidade Federal de São Carlos, 2017-02-08)
A regression model for binary data with mixture of four link functions (logit, probit, complementary
log log and Stukel) is shown and these functions are particular cases of the model. The
frequentist estimation procedure ...
Diagnóstico de influência local no modelo de calibração ultraestrutural com réplicas
(Universidade Federal de São Carlos, 2016-12-09)
This paper aims to present the local influence diagnostic methodology of Cook (1986) along with the selection of the appropriate perturbation schemes proposed by Zhu et al. (2007) in ultrastructural calibration model with ...
Regressão binária nas abordagens clássica e bayesiana
(Universidade Federal de São Carlos, 2016-12-16)
The objective of this work is to study the binary regression model under the frequentist and Bayesian approaches using the probit, logit, log-log complement, Box-Cox transformation and skewprobit as link functions. In the ...
Inferência em modelos de mistura via algoritmo EM estocástico modificado
(Universidade Federal de São Carlos, 2017-06-02)
We present the topics and theory of Mixture Models in a context of maximum likelihood and Bayesian inferece. We approach clustering methods in both contexts, with emphasis on the stochastic EM algorithm and the Dirichlet ...
A abordagem de martingais para o estudo de ocorrência de palavras em ensaios independentes
(Universidade Federal de São Carlos, 2017-04-07)
Let {Xn} be a sequence of i.i.d. random variables taking values in an enumerable alphabet. Given a finite collection of words, we observe this sequence till the moment T at which one of these words appears as a run. In ...
Modelagens estatística para dados de sobrevivência bivariados : uma abordagem bayesiana
(Universidade Federal de São Carlos, 2017-03-31)
The frailty models are used to model the possible associations between survival times. Another alternative developed for modeling the dependence between multivariate data is the use of models based on copulas functions.
In ...
Processo de Bernoulli correlacionado
(Universidade Federal de São Carlos, 2019-06-28)
The independent Bernoulli process, which is a sequence of independent Bernoulli random variables, is already widely known in the statistical literature. This masters thesis works with a generalization of this process: the ...