STATE SPACE MODELS WITH RESTRICTIONS IN COMPONENTS OF INTEREST: APPLICATIONS IN DYNAMIC STYLE ANALYSIS FOR BRAZILIAN INVESTMENT FUNDS / MODELOS EM ESPAÇO DE ESTADO COM RESTRIÇÕES NAS COMPONENTES DE INTERESSE: APLICAÇÕES EM ANÁLISE DINÂMICA DE ESTILO PARA FUNDOS DE INVESTIMENTO BRASILEIROS

AUTOR(ES)
DATA DE PUBLICAÇÃO

2004

RESUMO

This Dissertation aims, in a frequentist way, to discuss technologies for imposing restrictions in non-observable components associated with an arbitrary State Space (SS) model. The text scope ranges from procedures proposed originally by Howard Doran for equality, linear or non- linear, time invariant or time varying restrictions in a linear SS model, to adoption and estimation of more complicated structures like non-linear SS models. It is understood that these last ones are a relevant alternative, in cases of, for instance, inequality restrictions requirement. Implementation techniques and strategies are given, debated and compared, also including unknown parameters estimation and diagnostics analysis. At the end, empirical exercises are presented based on discussed methodologies. The proposed models for this illustration aim at dynamic return based style analysis for Brazilian investment portfolios (the static version of these models had been introduced by William Sharpe, for American portfolios), which shall eventually satisfy two kinds of restrictions on components of interest, namely one of equality and other of inequality.

ASSUNTO(S)

componentes de interesse recursoes de kalman modelos de espaco de estados dorans methodology components of interest state space models exact initialization inicializacao exata metodologia de doran analise dinamica de estilo kalman recursions dynamic style analysis

ACESSO AO ARTIGO

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