Análise bayesiana do modelo fatorial dinâmico para um vetor de séries temporais usando distribuições elípticas. / Bayesian Analysis of the dynamic factorial models for a time series vector using elliptical distribuitions.
AUTOR(ES)
Livia Costa Borges
DATA DE PUBLICAÇÃO
2008
RESUMO
The factor analysis is an important statistical tool that has wide practical applications and it explains the correlation among a large number of observable variables in terms of a small number of unobservable variables, known as latent variables. The proposal of this work is the Bayesian analysis, which incorporates the information we have concerning the parameters before collecting data into the analysis of a dynamical factor model in the class of multivariate elliptical models, where the factors follow a multivariate autoregressive model, assuming that a vector of q time series can be adjusted with k distribuições elípticas baysian analysis factorial model time series séries temporais anállise bayesiana elliptical distributions metropolis-hastings
ASSUNTO(S)
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