EST5527 - Modelos de Séries Temporais (2024)

Programação

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    Avisos Fórum
  • Providenciar email da usp quem ainda não tiver.
    

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    Time Series: Modeling, Computation, and Inference URL
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    Introduction Arquivo
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    Final semester project (Due 21/12) Arquivo
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    Seminar Tarefa

    Prepare a seminar based on one of the papers in the list. Presentations 21/10.

    Davi: Hierarchical dynamic beta model.
    Cleiton: Bayesian outlier detection in non-gaussian autoregressive time series.
    Edfram: Generalized Poisson autoregressive models for time series of counts.
    Lara: State space mixed models for binary responses with scale mixture of normal distributions links.
    Andrielle: Binary state space mixed models with flexible link functions: a case study on deep brain stimulation on attention reaction time.
    Guilherme: Efficient Bayesian PARCOR approaches for dynamic modeling of multivariate time series
    Mateus: Time-varying extreme pattern with dynamic models
    
    
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    List of Papers Arquivo

• Papers for discussion
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    Binary state space mixed models with flexible link functions URL
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    State space mixed models for binary responses with scale mixture of normal distributions links URL
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    A Dynamic Binary Probit Model with Time-Varying Parameters and Shrinkage Prior URL
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    Homework Tarefa

    Write a short review about the 3 papers above (1-1.5 page long each). Due date 19/09.
    

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    Approximate Bayesian Estimation of Stochastic Volatility in Mean Models Using Hidden Markov Models: Empirical Evidence from Emerging and Developed Markets URL
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    Time-varying extreme pattern with dynamic models URL
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    Integrated nested Laplace approximations for threshold stochastic volatility models URL
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    Autoregressive density modeling with the Gaussian process mixture transition distribution URL
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    Bayesian estimation of realized GARCH-type models with application to financial tail risk management URL
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    Generalized Poisson autoregressive models for time series of counts URL