[ABE-L] Seminário UFSCar/ICMC – Sexta 13/11/2015 - 14h00 - na UFSCar

[Rafael Izbicki]

Divulgação da palestra desta semana do Seminário do Programa
Interinstitucional de Pós-graduação em Estatística
<http://www.icmc.usp.br/Portal/conteudo/1096/13/interinstitucional-de-pos-graduacao-em-estatistica>
 (PIPGEs ICMC/USP e UFSCar), São Carlos.

*Palestrante:* Helton Saulo Bezerra dos Santos - Universidade Federal de
Goiás.

*Título:* On Birnbaum-Saunders autoregressive conditional duration models
applied to high frequency financial data

*Resumo: *The Birnbaum-Saunders (BS) distribution has been widely used due
to its good properties. The BS autoregressive conditional duration (BS-ACD)
model shares those good properties and is a good alternative to the
existing ACD models.
In this paper we propose two BS-based ACD models specified in terms of
time-varying conditional median and mean durations. Influence diagnostics
have become important tools to detect departures from error assumptions as
well as the presence of outliers and influential observations. We perform
global influence analysis and derive local influence tools on the parameter
estimates under different perturbation schemes. Moreover, we present a
Monte Carlo simulation to evaluate the performance of the maximum
likelihood estimators. The forecasting ability of the models is performed
by using a density forecast evaluation technique. Finally, an illustration
of the proposed models is made by using a real-world transaction data set.

*Local:* Sala de Seminários do Departamento de Estatística da UFSCar (sala
43 do anexo)

*Data/Horário:*  Sexta-feira 13/11/2015;  14hs.



--
Rafael Izbicki
Assistant Professor
Department of Statistics
Federal University of São Carlos (UFSCar)
rizbicki.wordpress.com
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