Banca de DEFESA: DANIEL LEONARDO RAMÍREZ OROZCO

Uma banca de DEFESA de MESTRADO foi cadastrada pelo programa.
DISCENTE : DANIEL LEONARDO RAMÍREZ OROZCO
DATA : 21/02/2017
HORA: 14:00
LOCAL: Auditório do CCET
TÍTULO:

A new first order mixed integer valued autoregressive processes for time series with Poisson innovations

PALAVRAS-CHAVES:

INAR(1), INARCH(1), binomial thinning, Poisson thinning, time series.

PÁGINAS: 86
GRANDE ÁREA: Ciências Exatas e da Terra
ÁREA: Probabilidade e Estatística
SUBÁREA: Probabilidade e Estatística Aplicadas
RESUMO:

Time series, viewed as a collection of observations measured sequentially over time, has been studied with deep notoriety in recent years, based on applications and new proposals of autoregressive models that extend the field of study. This paper proposes a new first order mixed autoregressive model with Poisson innovations, denoted POMINAR (1), mixing two operators known as thinning binomial and thinning Poisson, it also provides the interpretation of these operators and demonstrates their respective properties, as well as a possible case of applying POMINAR (1). Expected value, variance, conditional expectation and conditional variance of the proposed process are taken step by step. In detail the transition probabilities are developed. The maximum conditional likelihood estimators to the process parameters are determined and an application to a real data set is given seeking the effectiveness of the proposed model.

MEMBROS DA BANCA:
Presidente - 1217007 - ANDRE LUIS SANTOS DE PINHO
Externo à Instituição - KLAUS LEITE PINTO VASCONCELLOS - UFPE
Interno - 2083593 - LUZ MILENA ZEA FERNANDEZ
Interno - 1023112 - MARCELO BOURGUIGNON PEREIRA