Temporal series, analysis of dependency and applications in actuarial science and finance

• Grant number: 03/10105-2
• Support Opportunities: PRONEX Research - Thematic Grants
• Start date: January 01, 2005
• End date: December 31, 2007
• Field of knowledge: Physical Sciences and Mathematics - Probability and Statistics - Applied Probability and Statistics
• Agreement: CNPq - Pronex
• Principal Investigator: Pedro Alberto Morettin
• Grantee: Pedro Alberto Morettin
• Host Institution: Instituto de Matemática e Estatística (IME). Universidade de São Paulo (USP). São Paulo , SP, Brazil
• Associated research grant(s): 06/60952-1 - Boyan Nedialkov Dimidrov | Kettering University - United States, AV.EXT; 06/54488-0 - Bivariate density classification by the geometry of the marginals., AR.EXT
• Associated scholarship(s): 07/02767-6 - Analysis of one- and multidimensional time series via quasi $U$-statistics, BP.DR

Abstract

In this project we will investigate methodologies of temporal series, sums of dependent random and copula, with potential applications in the areas of actuarial sciences (insurance, pension funds, etc.) and finance. These methodologies have the aim of resolving important theoretical and applied problems relating to the following research topics, which are closely linked: 1. evaluation of risks associated with events such as earthquakes, automobile accidents, forest fires, etc. and also with risk assessment in finance; 2. occurrences of extreme values in temporal series and characterization of dependencies; 3. estimate of volatilities of financial actives, including the case of high frequency data; 4. study of random sums with various forms of dependency, with applications in discrete temporal series and insurance; 5. extension of the copula concept (when one of the variables can be discrete, categoric) and the application of dependency to the study of the phenomenon; 6. investigation of more general Bayesian updating rules, which permit the incorporation of unforeseen information, such as abrupt changes in temporal series caused by political or economic events. (AU)

Scientific publications

(12)

(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)

KOLEV‚ N.; DOS ANJOS‚ U.; MENDES‚ B.V.M.. Copulas: A review and recent developments. STOCHASTIC MODELS, v. 22, n. 4, p. 617-660, 2006. (03/10105-2)

IGLESIAS, PILAR L.; LOSCHI, ROSANGELA H.; PEREIRA, CARLOS A. B.; WECHSLER, SERGIO. A note on extendibility and predictivistic inference in finite populations. BRAZILIAN JOURNAL OF PROBABILITY AND STATISTICS, v. 23, n. 2, p. 216-226, DEC 2009. (03/10105-2)

SIMON DE MIRANDA, JOSE CARLOS; MORETTIN, PEDRO A.. Estimation of the intensity of non-homogeneous point processes via wavelets. ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, v. 63, n. 6, p. 1221-1246, DEC 2011. (08/51097-6, 03/10105-2)

LAGOS, BERNARDO M.; MORETTIN, PEDRO A.; BARROSO, LUCIA P.. Some corrections of the score test statistic for Gaussian ARMA models. BRAZILIAN JOURNAL OF PROBABILITY AND STATISTICS, v. 24, n. 3, p. 434-456, NOV 2010. (03/10105-2, 04/15304-6)

PEREIRA, CARLOS A. DE B.; STERN, JULIO MICHAEL; WECHSLER, SERGIO. Can a Significance Test Be Genuinely Bayesian?. BAYESIAN ANALYSIS, v. 3, n. 1, p. 79-100, 2008. (03/10105-2)

BONASSI, FERNANDO V.; STERN, RAFAEL B.; PEIXOTO, CLAUDIA M.; WECHSLER, SERGIO. Exchangeability and the law of maturity. THEORY AND DECISION, v. 78, n. 4, p. 603-615, APR 2015. (03/10105-2)

SATO‚ J.R.; JUNIOR‚ E.A.; TAKAHASHI‚ D.Y.; DE MARIA FELIX‚ M.; BRAMMER‚ M.J.; MORETTIN‚ P.A.. A method to produce evolving functional connectivity maps during the course of an fMRI experiment using wavelet-based time-varying Granger causality. NeuroImage, v. 31, n. 1, p. 187-196, 2006. (03/10105-2)

SATO‚ J.R.; MORETTIN‚ P.A.; ARANTES‚ P.R.; AMARO‚ E.. Wavelet based time-varying vector autoregressive modelling. COMPUTATIONAL STATISTICS & DATA ANALYSIS, v. 51, n. 12, p. 5847-5866, 2007. (03/10105-2)

SATO‚ J.R.; FUJITA‚ A.; AMARO‚ E.; MIRANDA‚ J.M.; MORETTIN‚ P.A.; BRAMMER‚ M.J.. DWT-CEM: an algorithm for scale-temporal clustering in fMRI. BIOLOGICAL CYBERNETICS, v. 97, n. 1, p. 33-45, 2007. (03/10105-2)

SATO, JOAO R.; TAKAHASHI, DANIEL Y.; ARCURI, SILVIA M.; SAMESHIMA, KOICHI; MORETTIN, PEDRO A.; BACCALA, LUIZ A.. Frequency Domain Connectivity Identification: An Application of Partial Directed Coherence in fMRI. Human Brain Mapping, v. 30, n. 2, p. 452-461, Feb. 2009. (03/10105-2, 05/56464-9)

PORTO, ROGERIO F.; MORETTIN, PEDRO A.; AUBIN, ELISETE C. Q.. Wavelet regression with correlated errors on a piecewise Holder class. Statistics & Probability Letters, v. 78, n. 16, p. 2739-2743, NOV 2008. (03/10105-2)

SATO, JOAO RICARDO; TAKAHASHI, DANIEL YASUMASA; CARDOSO, ELLISON FERNANDO; MORAIS MARTIN, MARIA DA GRACA; AMARO JUNIOR, EDSON; MORETTIN, PEDRO ALBERTO. Intervention Models in Functional Connectivity Identification Applied to fMRI. INTERNATIONAL JOURNAL OF BIOMEDICAL IMAGING, v. 2006, p. 7-pg., 2006-01-01. (03/10105-2)