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Statistical, Modeling and Computational Applications
Este seminário é organizado conjuntamente pelo GEMAC e pelas áreas de
investigação do CMUP “Análise Numérica, Probabilidades e Estatística” e
“Processamento de Sinal e Análise de Dados”. |
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Seminar 2012 |
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| Date |
Room |
Speaker |
Affiliation |
Title |
Abstract |
| 27 Jan |
1.08 DM |
Isabel Pereira | Departamento de Matemática da Universidade de Aveiro (UA) and CIDMA, UA | Integer-valued Bilinear Time Series Models | The analysis of count processes has become
an important area of research in the last two decades. In this paper we
consider the simple non-negative integer-valued bilinear process
INBL(1,0,1,1). The parameter estimation is addressed and the problem of
forecasting integer-valued time series modeled by the INBL(1,0,1,1)
process is considered. Bayesian methodology is used to obtain parameter
estimates, point predictions and confidence intervals for future values
of the process. The parameters estimates and predictions thus obtained
are compared with their classic counterparts. The proposed approaches
are illustrated with a simulation study. |
| 2 Março 2012 11h30-12h30 |
1.08 DM | Jorge Freitas |
CMUP/GEMAC DM/FCUP |
Introduction to
Extreme Value Theory and its applications |
In
this lecture, we will present a brief introduction to Extreme Values.
We will start by the classical theory, the extremal types theorem, the
domains of attraction, their connection with the tail of the
distribution. Then we will address the dependent case, the possible
appearance of clustering and the extremal index. Finally, we will talk
about the tail index, its estimation and its applications. |
| 9 Março 2012 11h30 -12h30 |
1.08 DM | Ana Cristina Freitas |
CMUP/GEMAC FEP |
Upper bounds for ruin probabilities in the Sparre Andersen model | We
consider the problem of estimating the adjustment coefficient R in the
Sparre Andersen model, which allows us to estimate upper bounds for the
ruin probability of insurance companies. We propose a consistent estimator for R and establish a result about its asymptotic normality. Moreover, we show that it is possible to construct confidence intervals for R based on that estimator, using the tail bootstrap procedure. We also compare the confidence intervals computed using the normal approximations and the tail bootstrap method. We present the results of a simulation study in some particular cases. |
CMUP/GEMAC
Centro de Matemática da Universidade do Porto
Edifício da Matemática da FCUP
Rua do Campo Alegre, 687
4169-007 Porto
Tel: 220 402 131
Telem: 93 319 27 63
Fax: 220 402 108
Email: gemac@fc.up.pt
Homepage:
www.fc.up.pt/cmup/gemac
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