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

Grant number: 03/10105-2
Support type:PRONEX Research - Thematic Grants
Duration: January 01, 2005 - December 31, 2007
Field of knowledge:Physical Sciences and Mathematics - Probability and Statistics
Cooperation agreement: CNPq - Pronex
Principal Investigator:Pedro Alberto Morettin
Grantee:Pedro Alberto Morettin
Home Institution: Instituto de Matemática e Estatística (IME). Universidade de São Paulo (USP). São Paulo , SP, Brazil
Associated 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


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 (11)
(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)
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. Web of Science Citations: 0.
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. Web of Science Citations: 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. Web of Science Citations: 5.
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. Web of Science Citations: 5.
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. Web of Science Citations: 80.
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. Web of Science Citations: 4.
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. Web of Science Citations: 47.
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.
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.
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.
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.

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