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Time-Varying Autoregressive Conditional Duration Model

Bortoluzzo, Adriana B.; Morettin, Pedro A.; Toloi, … - Insper Instituto de Ensino e Pesquisa - 2008

Persistent link: https://www.econbiz.de/10005008789

Improvement of the Likelihood Ratio Test Statistic in ARMA Models

Lagos, Bernardo M.; Morettin, Pedro A. - In: Journal of Time Series Analysis 25 (2004) 1, pp. 83-101

In this paper, we develop a Bartlett correction for the likelihood ratio statistic used to test hypotheses about parameters of a Gaussian stationary and invertible model belonging to the ARMA (autoregressive moving average) family. Alternative hypotheses with and without disturbance parameters...

Persistent link: https://www.econbiz.de/10005177454

Wavelet regression with correlated errors on a piecewise Hölder class

Porto, Rogério F.; Morettin, Pedro A.; Aubin, Elisete C.Q. - In: Statistics & Probability Letters 78 (2008) 16, pp. 2739-2743

This paper generalizes the methodology of Cai and Brown [Cai, T., Brown, L.D., 1998. Wavelet shrinkage for nonequispaced samples. The Annals of Statistics 26, 1783-1799] for wavelet shrinkage for nonequispaced samples, but in the presence of correlated stationary Gaussian errors. If the true...

Persistent link: https://www.econbiz.de/10005319711

Wavelet based time-varying vector autoregressive modelling

Sato, Joao R.; Morettin, Pedro A.; Arantes, Paula R.; … - In: Computational Statistics & Data Analysis 51 (2007) 12, pp. 5847-5866

Persistent link: https://www.econbiz.de/10005118424

Wavelet estimation of copulas for time series

Morettin, Pedro A.; Toloi, Clelia M. C.; Chiann, Chang; … - In: Journal of time series econometrics 3 (2011) 3, pp. 1-29

Persistent link: https://www.econbiz.de/10010029893

Regression with autocorrelated errors using design-adapted haar wavelets

Porto, Rogério F.; Morettin, Pedro A.; Aubin, Elisete C. Q. - In: Journal of time series econometrics 4 (2012) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10010029897

Estimation of the intensity of non-homogeneous point processes via wavelets

Miranda, José Carlos Simon; Morettin, Pedro A. - In: Annals of the Institute of Statistical Mathematics : AISM 63 (2011) 6, pp. 1221-1247

Persistent link: https://www.econbiz.de/10009263492

Modelling and forecasting linear combinations of time series

Pino, Francisco Alberto - In: International statistical review : a journal of the … 55 (1987) 3, pp. 295-313

Persistent link: https://www.econbiz.de/10001033976

State space Markov switching models using wavelets

Alencar, Airlane P.; Morettin, Pedro A.; Toloi, Clelia M. C. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 2, pp. 221-238

Persistent link: https://www.econbiz.de/10010118262

Bayesian analysis - BAYESIAN ANALYSIS OF THRESHOLD AUTOREGRESSIVE MOVING AVERAGE MODELS

Stáfadi, Thelma; Morettin, Pedro A. - In: Sankhya / B : the Indian journal of statistics 62 (2000) 3, pp. 353-371

Persistent link: https://www.econbiz.de/10006513981