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Time series, wavelets and high dimensional data

Grant number: 18/04654-9
Support type:Research Projects - Thematic Grants
Duration: September 01, 2018 - August 31, 2023
Field of knowledge:Physical Sciences and Mathematics - Probability and Statistics - Statistics
Principal researcher:Pedro Alberto Morettin
Grantee:Pedro Alberto Morettin
Home Institution: Instituto de Matemática e Estatística (IME). Universidade de São Paulo (USP). São Paulo , SP, Brazil
Principal researchers:Aluísio de Souza Pinheiro ; Hedibert Freitas Lopes ; Luiz Koodi Hotta ; Ronaldo Dias
Assoc. researchers:Airlane Pereira Alencar ; Chang Chiann ; Guilherme Vieira Nunes Ludwig ; João Ricardo Sato ; José Carlos Simon de Miranda ; Márcio Poletti Laurini ; Mauricio Enrique Zevallos Herencia ; Michel Helcias Montoril
Associated grant(s):19/10800-0 - Extensions of Hierarchical Models, Penalized Regression, Reference Priors and Functional Data Analysis., AV.BR
18/26158-3 - A wavelet model for quasi-periodic signals, AV.EXT
Associated scholarship(s):21/04468-3 - Wavelets, quasi U-statistics and functional estimation: decomposability and adaptability, BP.PD
21/04513-9 - Wavelet feature screening in high dimensional regression models, BP.PD
21/04729-1 - Forecasts and identification of buying and selling moments using time series models and neural networks in financial market, BP.IC
+ associated scholarships 21/01516-7 - Composite likelihood: a simulation study, BP.IC
19/05917-6 - New methodologies in deformation of temporal spaces, BP.DD
18/19548-0 - Modern portfolio theory, risk parity and applications, BP.IC - associated scholarships

Abstract

This project is a natural follow-up to the thematic project 13/00506-1 entitled Séries Temporais, Ondaletas e Análise de Dados Funcionais (Time Series, Wavelets and Functional data Analysis), from 01/07/2013 to 30/06/2018. The methodologies have potential and effective application to Medicine, Biology, Physics, Chemistry, Finance, Engineering, etc. These methods should solve theoretical and applied problems on the following topics: (1) Generalizations of ARMA models; (2) Wavelets; (3) Quasi U-statistics; (4) Outliers in time series; (5) Financial Volatility, including high frequency data; (6) Functional data analysis; (7) High dimensional data, with emphasis in time series, spatial data, financial series, satellite images, genetics, DNA sequences, microarrays and MRI. Results will be published in international journals with selective editorial policies and shall be presented in scientific conferences. Forming human resources is one of our main concerns. For this effect we will supervise pos-docs, undergraduate research assistantships, master theses and PhD dissertations. Seminars will be held regularly, in which the presentation of results, exchange of ideas, and where prospective talents may get acquainted with these research areas. In order to bring a serious push in this area in Brazil we intend to start a "Summer School" which will reunite every year international and Brazilian guest speakers, the project team, advanced undergraduate and graduate students. Two intermediate short courses will be held as well as a workshop where the state of the art and open problems will be discussed, and new and/or established scientific collaborations will happen. (AU)

Scientific publications (34)
(References retrieved automatically from Web of Science and SciELO through information on FAPESP grants and their corresponding numbers as mentioned in the publications by the authors)
VALENTE, FERNANDA; LAURINI, MARCIO. Spatio-temporal analysis of fire occurrence in Australia. STOCHASTIC ENVIRONMENTAL RESEARCH AND RISK ASSESSMENT, JUN 2021. Web of Science Citations: 0.
MENDES, SERGIO LEONARDO; LOPEZ PINAYA, WALTER HUGO; PAN, PEDRO; SATO, JOAO RICARDO. Estimating Gender and Age from Brain Structural MRI of Children and Adolescents: A 3D Convolutional Neural Network Multitask Learning Model. COMPUTATIONAL INTELLIGENCE AND NEUROSCIENCE, v. 2021, MAY 26 2021. Web of Science Citations: 0.
BARRETO, CANDIDA; BRUNERI, GUILHERME DE ALBUQUERQUE; BROCKINGTON, GUILHERME; AYAZ, HASAN; SATO, JOAO RICARDO. A New Statistical Approach for fNIRS Hyperscanning to Predict Brain Activity of Preschoolers' Using Teacher's. FRONTIERS IN HUMAN NEUROSCIENCE, v. 15, MAY 7 2021. Web of Science Citations: 0.
BAECKER, LEA; DAFFLON, JESSICA; DA COSTA, PEDRO F.; GARCIA-DIAS, RAFAEL; VIEIRA, SANDRA; SCARPAZZA, CRISTINA; CALHOUN, VINCE D.; SATO, JOAO R.; MECHELLI, ANDREA; PINAYA, WALTER H. L. Brain age prediction: A comparison between machine learning models using region- and voxel-based morphometric data. Human Brain Mapping, v. 42, n. 8 MAR 2021. Web of Science Citations: 1.
GOMEZ, LUZ M.; PORTO, ROGERIO F.; MORETTIN, PEDRO A. Nonparametric regression with warped wavelets and strong mixing processes. ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, MAR 2021. Web of Science Citations: 1.
OKU, AMANDA YUMI AMBRIOLA; SATO, JOAO RICARDO. Predicting Student Performance Using Machine Learning in fNIRS Data. FRONTIERS IN HUMAN NEUROSCIENCE, v. 15, FEB 5 2021. Web of Science Citations: 0.
TRAMBAIOLLI, LUCAS R.; TOSSATO, JULIANA; CRAVO, ANDRE M.; BIAZOLI, JR., CLAUDINEI E.; SATO, JOAO R. Subject-independent decoding of affective states using functional near-infrared spectroscopy. PLoS One, v. 16, n. 1 JAN 7 2021. Web of Science Citations: 0.
ALENCAR, AIRLANE P. Sao Paulo City is getting 2 degrees C hotter in the last 50 years: regression model with autoregressive errors or with lagged temperatures?. SN APPLIED SCIENCES, v. 2, n. 12 NOV 11 2020. Web of Science Citations: 0.
GARCIA-DIAS, RAFAEL; SCARPAZZA, CRISTINA; BAECKER, LEA; VIEIRA, SANDRA; PINAYA, WALTER H. L.; CORVIN, AIDEN; REDOLFI, ALBERTO; NELSON, BARNABY; CRESPO-FACORRO, BENEDICTO; MCDONALD, COLM; TORDESILLAS-GUTIERREZ, DIANA; CANNON, DARA; MOTHERSILL, DAVID; HERNAUS, DENNIS; MORRIS, DEREK; SETIEN-SUERO, ESTHER; DONOHOE, GARY; FRISONI, GIOVANNI; TRONCHIN, GIULIA; SATO, JOAO; MARCELIS, MACHTELD; KEMPTON, MATTHEW; VAN HAREN, NEELTJE E. M.; GRUBER, OLIVER; MCGORRY, PATRICK; AMMINGER, PAUL; MCGUIRE, PHILIP; GONG, QIYONG; KAHN, RENE S.; AYESA-ARRIOLA, ROSA; VAN AMELSVOORT, THERESE; DE LA FOZ, VICTOR ORTIZ-GARCIA; CALHOUN, VINCE; CAHN, WIEPKE; MECHELLI, ANDREA. Neuroharmony: A new tool for harmonizing volumetric MRI data from unseen scanners. NeuroImage, v. 220, OCT 15 2020. Web of Science Citations: 0.
FONSECA, RODNEY V.; PINHEIRO, ALUISIO. Wavelet estimation of the dimensionality of curve time series. ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, v. 72, n. 5, p. 1175-1204, OCT 2020. Web of Science Citations: 0.
DA SILVA FERREIRA BARRETO, CANDIDA; ZIMEO MORAIS, GUILHERME AUGUSTO; VANZELLA, PATRICIA; SATO, JOAO RICARDO. Combining the intersubject correlation analysis and the multivariate distance matrix regression to evaluate associations between fNIRS signals and behavioral data from ecological experiments. Experimental Brain Research, v. 238, n. 10 AUG 2020. Web of Science Citations: 0.
MOURA, RODOLFO C.; LAURINI, MARCIO P. Spillovers and jumps in global markets: A comparative analysis. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, AUG 2020. Web of Science Citations: 0.
PINHEIRO, HILDETE P.; SEN, PRANAB K.; PINHEIRO, ALUISIO; KIIHL, SAMARA F. A nonparametric approach to assess undergraduate performance. STATISTICA NEERLANDICA, AUG 2020. Web of Science Citations: 0.
CHOU-CHEN, SHU WEI; MORETTIN, PEDRO A. Indirect inference for locally stationary ARMA processes with stable innovations. JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, JUL 2020. Web of Science Citations: 0.
MELO, MOIZES; ALENCAR, AIRLANE. CONWAY-MAXWELL-POISSON AUTOREGRESSIVE MOVING AVERAGE MODEL FOR EQUIDISPERSED, UNDERDISPERSED, AND OVERDISPERSED COUNT DATA. JOURNAL OF TIME SERIES ANALYSIS, JUL 2020. Web of Science Citations: 0.
VALENTE, FERNANDA; LAURINI, MARCIO. Tornado Occurrences in the United States: A Spatio-Temporal Point Process Approach. ECONOMETRICS, v. 8, n. 2 JUN 2020. Web of Science Citations: 0.
LAURINI, MARCIO POLETTI; MAUAD, ROBERTO BALTIERI; LUCENA AIUBE, FERNANDO ANTONIO. The impact of co-jumps in the oil sector. RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, v. 52, APR 2020. Web of Science Citations: 0.
MINEO, EDUARDO; ALENCAR, AIRLANE PEREIRA; MOURA, MARCELO; FABRIS, ANTONIO ELIAS. Forecasting the Term Structure of Interest Rates with Dynamic Constrained Smoothing B-Splines. JOURNAL OF RISK AND FINANCIAL MANAGEMENT, v. 13, n. 4 APR 2020. Web of Science Citations: 0.
AMBRIOLA OKU, AMANDA YUMI; ZIMEO MORAIS, GUILHERME AUGUSTO; ARANTES BUENO, ANA PAULA; FUJITA, ANDRE; SATO, JOAO RICARDO. Potential Confounders in the Analysis of Brazilian Adolescent's Health: A Combination of Machine Learning and Graph Theory. INTERNATIONAL JOURNAL OF ENVIRONMENTAL RESEARCH AND PUBLIC HEALTH, v. 17, n. 1 JAN 2020. Web of Science Citations: 0.
REBELLO, KEILA; MOURA, LUCIANA M.; XAVIER, GABRIELA; SPINDOLA, LETICIA M.; CARVALHO, CAROLINA MUNIZ; HOEXTER, MARCELO QUEIROZ; GADELHA, ARY; PICON, FELIPE; PAN, PEDRO MARIO; ZUGMAN, ANDRE; GRASSI-OLIVEIRA, RODRIGO; BRIETZKE, ELISA; BELANGERO, I, SINTIA; SALUM, GIOVANNI ABRAHAO; ROHDE, LUIS AUGUSTO; MIGUEL, EURIPEDES CONSTANTINO; BRESSAN, RODRIGO; JACKOWSKI, ANDREA; SATO, JOAO RICARDO. Association between spontaneous activity of the default mode network hubs and leukocyte telomere length in late childhood and early adolescence. JOURNAL OF PSYCHOSOMATIC RESEARCH, v. 127, DEC 2019. Web of Science Citations: 0.
VATTIMO, EDOARDO F. Q.; BARROS, VIVIAN B.; REQUENA, GUARACI; SATO, JOAO R.; FATORI, DANIEL; MIGUEL, EURIPEDES C.; SHAVITT, ROSELI G.; HOEXTER, MARCELO Q.; BATISTUZZO, MARCELO C. Caudate volume differences among treatment responders, non-responders and controls in children with obsessive-compulsive disorder. EUROPEAN CHILD & ADOLESCENT PSYCHIATRY, v. 28, n. 12, p. 1607-1617, DEC 2019. Web of Science Citations: 1.
HEINZE, RAFAEL ALVES; VANZELLA, PATRICIA; ZIMEO MORAIS, GUILHERME AUGUSTO; SATO, JOAO RICARDO. Hand motor learning in a musical context and prefrontal cortex hemodynamic response: a functional near-infrared spectroscopy (fNIRS) study. COGNITIVE PROCESSING, v. 20, n. 4, p. 507-513, NOV 2019. Web of Science Citations: 0.
BUENO, A. P. A.; SATO, J. R.; HORNBERGER, M. Eye tracking - The overlooked method to measure cognition in neurodegeneration?. Neuropsychologia, v. 133, OCT 2019. Web of Science Citations: 0.
ESPARZA ALBARRACIN, ORLANDO YESID; ALENCAR, AIRLANE PEREIRA; HO, LINDA LEE. Generalized autoregressive and moving average models: multicollinearity, interpretation and a new modified model. JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, v. 89, n. 10, p. 1819-1840, JUL 3 2019. Web of Science Citations: 0.
SATO, JOAO RICARDO; BIAZOLI JR, CLAUDINEI EDUARDO; MOURA, LUCIANA MONTEIRO; CROSSLEY, NICOLAS; ZUGMAN, ANDRE; PICON, FELIPE ALMEIDA; HOEXTER, MARCELO QUEIROZ; AMARO JR, EDSON; MIGUEL, EURIPEDES CONSTANTINO; ROHDE, LUIS AUGUSTO; BRESSAN, RODRIGO AFFONSECA; JACKOWSKI, ANDREA PAROLIN. Association Between Fractional Amplitude of Low-Frequency Spontaneous Fluctuation and Degree Centrality in Children and Adolescents. BRAIN CONNECTIVITY, v. 9, n. 5, p. 379-387, JUN 1 2019. Web of Science Citations: 0.
TRUCIOS, CARLOS; ZEVALLOS, MAURICIO; HOTTA, LUIZ K.; SANTOS, ANDRE A. P. Covariance Prediction in Large Portfolio Allocation. ECONOMETRICS, v. 7, n. 2 JUN 2019. Web of Science Citations: 1.
CHAIM, PEDRO; LAURINI, MARCIO P. Nonlinear dependence in cryptocurrency markets. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, v. 48, p. 32-47, APR 2019. Web of Science Citations: 3.
CHAIM, PEDRO; LAURINI, MARCIO P. Is Bitcoin a bubble?. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v. 517, p. 222-232, MAR 1 2019. Web of Science Citations: 6.
VANZELLA, PATRICIA; BALARDIN, JOANA B.; FURUCHO, ROGERIO A.; ZIMEO MORAIS, GUILHERME AUGUSTO; JANZEN, THENILLE BRAUN; SAMMLER, DANIELA; SATO, JOAO R. fNIRS Responses in Professional Violinists While Playing Duets: Evidence for Distinct Leader and Follower Roles at the Brain Level. FRONTIERS IN PSYCHOLOGY, v. 10, FEB 5 2019. Web of Science Citations: 2.
DA FONSECA, EDER LUCIO; ALENCAR, AIRLANE PEREIRA; MORETTIN, PEDRO ALBERTO. Time-varying cointegration model using wavelets. Statistics & Probability Letters, v. 145, p. 260-267, FEB 2019. Web of Science Citations: 0.
LAURINI, M. P. A spatio-temporal approach to estimate patterns of climate change. ENVIRONMETRICS, v. 30, n. 1 FEB 2019. Web of Science Citations: 1.
GABRIEL, A. F. B.; ALENCAR, A. P.; MIRAGLIA, S. G. E. K. Dengue outbreaks: unpredictable incidence time series. EPIDEMIOLOGY AND INFECTION, v. 147, 2019. Web of Science Citations: 1.
ZEVALLOS, MAURICIO. A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns. REVISTA ECONOMIA, v. 42, n. 84, p. 94-101, 2019. Web of Science Citations: 0.
CHAIM, PEDRO; LAURINI, MARCIO P. Volatility and return jumps in bitcoin. ECONOMICS LETTERS, v. 173, p. 158-163, DEC 2018. Web of Science Citations: 11.

Please report errors in scientific publications list by writing to: cdi@fapesp.br.