Autoregressive Processes
Mostrando 1-12 de 16 artigos, teses e dissertações.
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1. Estimação e previsão da estrutura a termo das taxas de juros usando técnicas de inteligência computacional / Term structure of interest rate modeling and forecasting using computational intelligence techniques
This work proposes the term structure of interest rates modeling and forecasting using computational intelligence techniques, based on data from the US and Brazilian fixed income markets. The yield curve modeling includes the use of some evolutionary computation methods like Genetic Algorithms, Differential Evolution and Evolution Strategies in comparison wi
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 25/06/2012
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2. Determinantes da disponibilidade de crédito de longo prazo no Brasil: uma análise da linha Finem do BNDES / Determinants of long-term credit availability in Brazil: an analysis of the Finem line of credit from BNDES
The search for greater availability of long-term credit for productive investments in Brazil has been gaining importance since it enables companies to engage in medium and large-scale businesses, feeding the economic growth and development processes. The line of credit provided by BNDES, called Financing to Enterprises (Finem), is one of the few lines existi
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 30/05/2012
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3. Estimação indireta de modelos R-GARCH / Indirect inference of R-GARCH models
Linear processes do not capture the structure of financial data. There is a large variety of nonlinear models available in literature. The class of ARCH models (Autoregressive Conditional Heterokedastic) was introduced by Engle (1982) in order to estimate inflation\ s variance. The idea is that, in this class, returns are serially uncorrelated, but the volat
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 01/03/2012
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4. A comparison of metrics for estimating phylogenetic signal under alternative evolutionary models
Several metrics have been developed for estimating phylogenetic signal in comparative data. These may be important both in guiding future studies on correlated evolution and for inferring broad-scale evolutionary and ecological processes (e.g., phylogenetic niche conservatism). Notwithstanding, the validity of some of these metrics is under debate, especiall
Genetics and Molecular Biology. Publicado em: 02/08/2012
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5. EFICIÊNCIA DOS GRÁFICOS DE CONTROLE NA DETECÇÃO DE OUTLIERS EM PROCESSOS AUTORREGRESSIVOS E DE MÉDIAS MÓVEIS / EFFICIENCY OF CONTROL CHARTS TO DETECT OUTLIERS IN AUTOREGRESSIVE AND MOVING AVERAGE PROCESS
This research approaches the prediction models application along with the usage of residual control charts to evaluate productive processes with characteristics of autocorrelation in its samples. The overall objective was to determine the Individual Measurement Control Charts (IMCC) and the Exponentially Weighted Moving Average (EWMA) efficiency when applied
Publicado em: 2010
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6. Determinantes de longo prazo do produto e da produtividade total dos fatores da agropecuária brasileira: 1974-2005 / Product and total factor productivity determinants of Brazilian agriculture, in the long run: 1974-2005
The agricultural sector is one of the most important in the Brazilian economy. In addition to the dynamism responsible for important chain effects on other sectors activities, it also contributes to obtain expressive positive credit balances in the recently verified commercial balance, and consequently to generate foreign exchange credits, essential for main
Publicado em: 2009
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7. PressÃo arterial, frequÃncia cardÃaca e sua modulaÃÃo autonÃmica em ratos malnutridos em diferentes idades
Undernutrition during human development is one of the principal causes of various systemic alterations and is characterized as one of the greatest public health problems in underdeveloped countries. Using an experimental model that reproduces in rats a type of human malnutrition found in the Northeast of Brazil, we use a multideficient hypoproteic and hyperc
Publicado em: 2009
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8. EMPIRICAL ANALYSIS OF THE QUANTILE AUTOREGRESSION MODELS / ANÁLISE EMPÍRICA DOS MODELOS DE AUTO-REGRESSÃO QUANTÍLICA
Autoregressive models (AR(p)) for time series assume that the series dynamics has a linear dependence on past observations up to a lag p, plus an independent and identically distributed (i.i.d.) random error. Quantile autoregressive models (QAR(p)) generalize the AR(p) by allowing different autoregressive coefficients for different quantiles of the condition
Publicado em: 2007
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9. "Dinâmicas autoregressivas em econofísica" / "Autoregressive dynamics in Econophysics"
Neste trabalho, fazemos uma breve introdução à Econofísica e às grandezas estatísticas relevantes para o estudo de um ativo financeiro. Estas grandezas são estudadas detalhadamente para o índice NYSE Composto. Determinamos o tempo de autocorrelação e o espectro de potência, cujos resultados indicam a presença de uma correlação de curto alcance.
Publicado em: 2007
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10. Identificação de sistemas "on-line", otimização e controle avançado com o filtro de Kalman estendido / On line system identification, advanced control and optimization with the (Extended) Kalman filter
In the continuing competition between it will be more and more necessary to optimize current chemical processes in real time. To be able to optimize a plant in real time, there have to be various aspects to be fulfilled, such as measurement, reliability of the measurement and prediction of the process behaviour. In this work some of the aspects of such an ad
Publicado em: 2006
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11. Texturesynthesisusingstasticalspatialmodels / Síntese de textura utilizando modelos estatísticos espaciais
The scope of this work is the use of methods capable of generating natural looking synthetic textures reproducing previously selected source patterns. Spatial statistic models are the basis for the used methods, specifically autoregressive moving average modeling for parameter estimation and texture pattern generation. Two methods are used for parameter esti
Publicado em: 1998
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12. Desenvolvimento de um sistema de analise digital de sinais eletromiograficos
In order to implement neuromuscular stimulation control methods for rehabilitation of paraplegic and tetraplegic patients, the eletromyographic control arises as a viable proposal. However, there is the need for recognizing the muscular contraction patterns that happen just before the step performing. In order to extract parameters of the surface electromyog
Publicado em: 1993