[ABE-L] Divulgação Seminário PPGEst UFRGS

[Danilo Marcondes]

Prezados,

Temos o prazer de convidar a todos para participação no quarto seminário do
“Ciclo de Seminários 2020 do Programa de Pós-Graduação em Estatística da
UFRGS (PPGEst-UFRGS).  Informações abaixo:

*Evento:* Ciclo de Seminários 2020 do PPGEst-UFRGS

*Palestrante: *Prof. Dr. Hedibert Freitas Lopes (Insper)

*Título:* Dynamic Sparsity on Dynamic Regression Models

*Resumo:* In the present work, we consider variable selection and shrinkage
for the Gaussian dynamic linear regression within a Bayesian framework. In
particular, we propose a novel method that allows for time-varying
sparsity, based on an extension of spike-and-slab priors for dynamic
models. This is done by assigning appropriate Markov switching priors for
the time-varying coefficients’ variances, extending the previous work of
Ishwaran and Rao (2005).  Furthermore, we investigate different priors,
including the common Inverted gamma prior for the process variances, and
other mixture prior distributions such as Gamma priors for both the spike
and the slab, which leads to a mixture of Normal-Gammas priors (Griffin et
al., 2010) for the coefficients. In this sense, our prior can be viewed as
a dynamic variable selection prior which induces either smoothness (through
the slab) or shrinkage towards zero (through the spike) at each time point.
The MCMC method used for posterior computation uses Markov latent variables
that can assume binary regimes at each time point to generate the
coefficients’ variances. In that way, our model is a dynamic mixture model,
thus, we could use the algorithm of Gerlach et al. (2000) to generate the
latent processes without conditioning on the states. Finally, our approach
is exemplified through simulated examples and a real data application.

This is joint work with Paloma Uribe.



*Data: 20 de julho de 2020 (segunda-feira)*

*Horário: *14h00 às 15:20 (1 hora de apresentação e 20 min para perguntas)

*Local: *Ambiente virtual Mconf

(Acesso pelo link  https://mconf.ufrgs.br/webconf/00040710)

*Moderador:* Prof. Dr. Flávio Augusto Ziegelmann

*OBS 1:* Após o acesso pelo link acima a participação na reunião será
autorizada pelo moderador por ordem de acesso. O sistema permite um limite
de 60 participantes.  Os participantes externos à UFRGS deverão acessar a
reunião através da opção “convidados”.

*OBS 2:  *A agenda de seminários pode ser acessada em
https://www.ufrgs.br/ppgest/seminarios/


Contamos com a presença de todos.


PPGEst-UFRGS





-- 

Danilo Marcondes Filho
Department of Statistics
Universidade Federal do Rio Grande do Sul (UFRGS)

Av. Bento Gonçalves, 9500 - Prédio 43-111 - Agronomia
91509-900 Porto Alegre - RS - BRAZIL
Tel:  + <+55%2051%203308-7301>55 51 3308 62 <+55%2051%203308-6194>14
<+55%2051%203308-6194> / <+55%2051%203308-6194> + <+55%2051%203308-7301>55
 51 999622276 <+55%2051%203308-6194>



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