Estimation of FAR models by wavelets

• Grant number: 09/09588-5
• Support type: Scholarships in Brazil - Doctorate
• Effective date (Start): September 01, 2009
• Effective date (End): February 28, 2013
• Field of knowledge: Physical Sciences and Mathematics - Probability and Statistics - Statistics
• Principal researcher: Pedro Alberto Morettin
• Grantee: Michel Helcias Montoril
• Home Institution: Instituto de Matemática e Estatística (IME). Universidade de São Paulo (USP). São Paulo , SP, Brazil
• Associated research grant: 08/51097-6 - Time Series, Dependence Analysis and Applications, AP.TEM

Abstract

The objective of this Thesis' Project is to perform a detailed study of FAR models based on wavelets, where, initially, the asymptotic properties of these estimators will be studied and then, the vectorial extension of these models will be studied as well. Theoretical results will be computationally implemented, compared to other procedures already used in the literature through a simulation study and will be applied to real data sets.

Scientific publications

(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)

MONTORIL, MICHEL H.; MORETTIN, PEDRO A.; CHIANN, CHANG. Wavelet estimation of functional coefficient regression models. INTERNATIONAL JOURNAL OF WAVELETS MULTIRESOLUTION AND INFORMATION PROCESSING, v. 16, n. 1 JAN 2018. Web of Science Citations: 0.

MONTORIL, MICHEL H.; MORETTIN, PEDRO A.; CHIANN, CHANG. Spline estimation of functional coefficient regression models for time series with correlated errors. Statistics & Probability Letters, v. 92, p. 226-231, SEP 2014. Web of Science Citations: 3.

Academic Publications

(References retrieved automatically from State of São Paulo Research Institutions)

MONTORIL, Michel Helcias. Modelos de regressão com coeficientes funcionais para séries temporais. 2013. Doctoral Thesis - Universidade de São Paulo (USP). Instituto de Matemática e Estatística São Paulo.