Banca de DEFESA: KLEBER HENRIQUE DOS SANTOS

Uma banca de DEFESA de MESTRADO foi cadastrada pelo programa.
DISCENTE: KLEBER HENRIQUE DOS SANTOS
DATA : 16/02/2024
HORA: 08:00
LOCAL: Meet (remoto)
TÍTULO:

A new dynamic beta prime model with application to hydro-environmental data

PALAVRAS-CHAVES:

Beta prime distribution, generalized BPARMA model, forecasting, time series, variable precision.

PÁGINAS: 1
RESUMO:

Resumo: We introduce a dynamic model tailored for positively valued time series. It accommodates both autoregressive and moving average dynamics and allows for explanatory variables. The underlying assumption is that each random variable follows, conditional on the set of previous information, the beta prime distribution. A novel feature of the proposed model is that both the conditional mean and conditional precision evolve over time. The model thus comprises two dynamic submodels, one for each parameter. The proposed model for the conditional precision is parsimonious, incorporating first-order time dependence. Changes over time in the shape of the density are determined by the time evolution of two parameters, and not just of the  conditional mean. We present simple closed-form expressions for the model's conditional log-likelihood function, score vector and Fisher's information matrix. We also present Monte Carlo simulation results on the finite-sample performance of the conditional maximum likelihood estimators of the parameters that index the model. Finally, we use proposed approach to model and forecast a seasonal hydrological time series.

MEMBROS DA BANCA:
Interno - 2937900 - ABRAAO DAVID COSTA DO NASCIMENTO
Presidente - 1279737 - FRANCISCO CRIBARI NETO
Externa à Instituição - TARCIANA LIBERAL PEREIRA DE ARAUJO - UFPB