Exact Initialization
Mostrando 1-4 de 4 artigos, teses e dissertações.
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1. DYNAMIC STYLE ANALYSIS IN RECOVERY OF BRAZILIAN INVESTMENT FUNDS EXPOSURES: AN APPLICATION OF RESTRICTED KALMAN FILTERING / ANÁLISE DINÂMICA DE ESTILO NA RECUPERAÇÃO DAS EXPOSIÇÕES DE FUNDOS DE INVESTIMENTOS BRASILEIROS: UMA APLICAÇÃO DO FILTRO DE KALMAN RESTRITO
This dissertation aims to investigate and interpret the investment style of Brazilian investment funds - exchange funds and stock funds with active management, in the period ranging from January 2004 to August 2008, with the central objective of verifying if, in fact, these funds pursue the investment style promised to their customers. Accordingly, we used t
Publicado em: 2009
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2. STATE SPACE MODEL FOR TIME SERIES WITH BIVARIATE POISSON DISTRIBUTION: AN APPLICATION OF DURBIN-KOOPMAN METODOLOGY / MODELO EM ESPAÇO DE ESTADO PARA SÉRIES TEMPORAIS COM DISTRIBUIÇÃO POISSON BIVARIADA: UMA APLICAÇÃO DA METODOLOGIA DURBIN-KOOPMAN
In this thesis we consider a state space model for bivariate observations of count data. The approach used to solve the non analytical integrals that appears as the solution of the resulting non-Gaussian filter is a natural extension of the methodology advocated by Durbin and Koopman (DK). In our approach the aproximated Gaussian Model (AGM), has a diagonal
Publicado em: 2004
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3. 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
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 ad
Publicado em: 2004
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4. Automatic differentiation tools in the dynamic simulation of chemical engineering processes
Automatic Differentiation is a relatively recent technique developed for the differentiation of functions applicable directly to the source code to compute the function written in standard programming languages. That technique permits the automatization of the differentiation step, crucial for dynamic simulation and optimization of processes. The values for
Brazilian Journal of Chemical Engineering. Publicado em: 2000-12