Bayesian semiparametric analysis of autoregressive models

• Grant number: 17/10096-6
• Support Opportunities: Scholarships in Brazil - Doctorate
• Start date: August 01, 2017
• End date: February 29, 2020
• Field of knowledge: Physical Sciences and Mathematics - Probability and Statistics - Statistics
• Agreement: Coordination of Improvement of Higher Education Personnel (CAPES)
• Principal Investigator: Hedibert Freitas Lopes
• Grantee: Helton Graziadei de Carvalho
• Host Institution: Instituto de Matemática e Estatística (IME). Universidade de São Paulo (USP). São Paulo , SP, Brazil
• Associated scholarship(s): 17/22914-5 - Time-clustering and forecasting performance in semi-parametric INAR(1) models, BE.EP.DR

Abstract

Autoregressive models for time series have been extensively studied during the past several decades, generally motivated by the AR Model or the INAR Model. For instance, several papers generalize the innovation distribution or thinning operator for the INAR(1) model. However, we propose in this project a way to cluster the innovation rates introducing a Dirichlet Process Prior on the time-varying innovations. Furthermore, we show a proposition which is useful to obtain the predictive distribution for the generalized model. The proposed methods will be applied to real datasets. (AU)

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)

C. MARQUES F., PAULO; GRAZIADEI, HELTON; LOPES, HEDIBERT F.. Bayesian generalizations of the integer-valued autoregressive model. Journal of Applied Statistics, AUG 2020. (17/10096-6, 17/22914-5)

GRAZIADEI, HELTON; LIJOI, ANTONIO; LOPES, HEDIBERT F.; MARQUES F, PAULO C.; PRUENSTER, IGOR. Prior Sensitivity Analysis in a Semi-Parametric Integer-Valued Time Series Model. Entropy, v. 22, n. 1, JAN 2020. (17/10096-6, 17/22914-5)

C. MARQUES F., PAULO; GRAZIADEI, HELTON; LOPES, HEDIBERT F.. Bayesian generalizations of the integer-valued autoregressive model. Journal of Applied Statistics, v. 49, n. 2, p. 21-pg., 2020-08-29. (17/10096-6, 17/22914-5)

Academic Publications

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

CARVALHO, Helton Graziadei de. Some Bayesian generalizations of the integer-valued autoregressive model. 2020. Doctoral Thesis - Universidade de São Paulo (USP). Instituto de Matemática e Estatística (IME/SBI) São Paulo.