<div dir="ltr">Prezados<div>Hoje teremos nosso seminário às 16:30 com a apresentação do prof. Marcio Laurini.</div><div><a href="Seminário STODAD - Marcio Laurini Terça-feira, 31 de maio · 4:30 até 5:30pm Informações de participação do Google Meet Link da videochamada: https://meet.google.com/mfz-rgva-yzw">Google Meet Link da videochamada: https://meet.google.com/mfz-rgva-yzw</a><br></div><div><em style="font-size:12pt;background-color:transparent"><font color="#212121"><font face="Roboto"><font style="font-size:10pt"><span style="font-style:normal">ou no site</span></font></font></font></em></div><div><em style="font-size:12pt;background-color:transparent"><font color="#212121"><font face="Roboto"><font style="font-size:10pt"><span style="font-style:normal"><a href="https://stream.meet.google.com/stream/4b5670d9-9fab-437c-858c-74a9494e77da">https://stream.meet.google.com/stream/4b5670d9-9fab-437c-858c-74a9494e77da</a><br></span></font></font></font></em></div><div><em style="font-size:12pt;background-color:transparent"><font color="#212121"><font face="Roboto"><font style="font-size:10pt"><span style="font-style:normal"><br></span></font></font></font></em></div><div><em style="font-size:12pt;background-color:transparent"><font color="#212121"><font face="Roboto"><font style="font-size:10pt"><span style="font-style:normal">Estimating
generalized long memory models using integrated nested Laplace
approximations</span></font></font></font></em><br></div><div>
<p style="line-height:0.12in;margin-bottom:0.11in;background:transparent">
<em><span style="font-variant-numeric:normal;font-variant-east-asian:normal"><font color="#212121"><font face="Roboto"><font style="font-size:10pt"><span style="font-style:normal">Márcio
Laurini (joint work with Pedro Chaim and Fernanda Valente)</span></font></font></font></span></em></p>
<p style="line-height:0.12in;margin-bottom:0.11in;background:transparent">
<em><span style="font-variant-numeric:normal;font-variant-east-asian:normal"><font color="#212121"><font face="Roboto"><font style="font-size:10pt"><span style="font-style:normal">FEARP-USP</span></font></font></font></span></em></p>
<p style="line-height:0.12in;margin-bottom:0.11in;background:transparent">
<em><span style="font-variant-numeric:normal;font-variant-east-asian:normal"><font color="#212121"><font face="Roboto"><font style="font-size:10pt"><span style="font-style:normal">In
this work we discuss the use of Markovian approximations and the use
of integrated nested Laplace approximations in the estimation of
multifactor dynamic models with long memory. The evolution of the
latent factors is given by fractional Gaussian noise processes, which
are approximated with a weighted sum of independent first-order
autoregressive components. This structure can be represented as a
Gaussian Markov Random Field, allowing the use of computationally
efficient Bayesian methods. These approximations are used in the
estimation of multifactor and multivariate stochastic volatility
models, in the estimation of multifactor models for the term
structure of interest rates and in multifactor models for river flow.</span></font></font></font></span></em></p>
<p style="line-height:115%;margin-bottom:0.1in;background:transparent"><br></p><p style="line-height:115%;margin-bottom:0.1in;background:transparent">Até mais</p><div dir="ltr" class="gmail_signature" data-smartmail="gmail_signature"><div dir="ltr"><span><p dir="ltr" style="line-height:1.38;margin-top:0pt;margin-bottom:0pt"><span style="font-size:11pt;font-family:"Arial Narrow",sans-serif;color:rgb(34,34,34);background-color:transparent;font-weight:700;vertical-align:baseline;white-space:pre-wrap">Airlane P. Alencar</span></p><p dir="ltr" style="line-height:1.38;margin-top:0pt;margin-bottom:0pt"><span style="font-size:11pt;font-family:"Arial Narrow",sans-serif;color:rgb(34,34,34);background-color:transparent;vertical-align:baseline;white-space:pre-wrap">Professora Associada</span></p><p dir="ltr" style="line-height:1.38;margin-top:0pt;margin-bottom:0pt"><span style="background-color:transparent;color:rgb(34,34,34);font-family:"Arial Narrow",sans-serif;font-size:11pt;white-space:pre-wrap">Departamento de Estatística </span><br></p><p dir="ltr" style="line-height:1.38;margin-top:0pt;margin-bottom:0pt"><span style="font-size:11pt;font-family:"Arial Narrow",sans-serif;color:rgb(34,34,34);background-color:transparent;vertical-align:baseline;white-space:pre-wrap"><br></span></p><p dir="ltr" style="line-height:1.38;margin-top:0pt;margin-bottom:0pt"><span style="font-size:11pt;font-family:"Arial Narrow",sans-serif;color:rgb(34,34,34);background-color:transparent;vertical-align:baseline;white-space:pre-wrap"><span style="border:none;display:inline-block;overflow:hidden;width:207px;height:41px"><img src="https://lh3.googleusercontent.com/4PyBUgoy5iN7af94RGgik7JlHt6FdhemjLlYVhmb2UPGrfldxlBwzjhDqTtvuL2rqLnxNcR5OqSRTNGjdSr_2T9gPujIVpdn9Aw3zCVDQCYJN5ReKQFTwXM2cSo7rDZJGECNF4QC" width="207" height="41" style="margin-left:0px;margin-top:0px"></span></span></p><p dir="ltr" style="line-height:1.38;margin-top:0pt;margin-bottom:0pt"><span style="font-size:9pt;font-family:"Arial Narrow",sans-serif;color:rgb(34,34,34);vertical-align:baseline;white-space:pre-wrap">Instituto de Matemática e Estatística</span></p><p dir="ltr" style="line-height:1.38;margin-top:0pt;margin-bottom:0pt"><span style="font-size:9pt;font-family:"Arial Narrow",sans-serif;color:rgb(34,34,34);vertical-align:baseline;white-space:pre-wrap">Universidade de São Paulo</span></p><p dir="ltr" style="line-height:1.38;margin-top:0pt;margin-bottom:0pt"><span style="font-size:9pt;font-family:"Arial Narrow",sans-serif;color:rgb(34,34,34);background-color:transparent;vertical-align:baseline;white-space:pre-wrap">Rua do Matão, 1010 - CEP 05508-090 - São Paulo, SP</span></p><p dir="ltr" style="line-height:1.38;margin-top:0pt;margin-bottom:0pt"><a href="http://www.ime.usp.br/" target="_blank"><span style="font-size:9pt;font-family:"Arial Narrow",sans-serif;color:rgb(17,85,204);background-color:transparent;vertical-align:baseline;white-space:pre-wrap">www.ime.usp.br</span></a></p><div><br></div></span></div></div></div></div>