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Doctoral Thesis
DOI
10.11606/T.104.2017.tde-27032017-161141
Document
Author
Full name
Breno Silveira de Andrade
Institute/School/College
Knowledge Area
Date of Defense
Published
São Carlos, 2016
Supervisor
Committee
Andrade Filho, Marinho Gomes de (President)
Ehlers, Ricardo Sandes
Franco, Glaura da Conceição
Herencia, Mauricio Enrique Zevallos
Viola, Márcio Luis Lanfredi
Title in English
GARMA models, a new perspective using Bayesian methods and transformations
Keywords in English
Bayesian approach
Continuous distributions
Discrete distributions
Generalized ARMA model
Transformed generalized ARMA model
Abstract in English
Generalized autoregressive moving average (GARMA) models are a class of models that was developed for extending the univariate Gaussian ARMA time series model to a flexible observation-driven model for non-Gaussian time series data. This work presents the GARMA model with discrete distributions and application of resampling techniques to this class of models. We also proposed The Bayesian approach on GARMA models. The TGARMA (Transformed Generalized Autoregressive Moving Average) models was proposed, using the Box-Cox power transformation. Last but not least we proposed the Bayesian approach for the TGARMA (Transformed Generalized Autoregressive Moving Average).
Title in Portuguese
Modelos GARMA, uma nova perspectiva usando métodos Bayesianos e transformações
Keywords in Portuguese
Abordagem Bayesiana
ARMA generalizado
ARMA transformado generalizado
Distribuições contínuas
Distribuições discretas
Abstract in Portuguese
Modelos Autoregressivos e de médias móveis generalizados (GARMA) são uma classe de modelos que foi desenvolvida para extender os conhecidos modelos ARMA com distribuição Gaussiana para um cenário de series temporais não Gaussianas. Este trabalho apresenta os modelos GARMA aplicados a distribuições discretas, e alguns métodos de reamostragem aplicados neste contexto. É proposto neste trabalho uma abordagem Bayesiana para os modelos GARMA. O trabalho da continuidade apresentando os modelos GARMA transformados, utilizando a transformação de Box-Cox. E por último porém não menos importante uma abordagem Bayesiana para os modelos GARMA transformados.
 
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Publishing Date
2017-03-27
 
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