[ABE-L] Convite: Seminário DEST/UFMG em 04/06/2021.

[Vinicius Mayrink]

Caros,

Na próxima sexta-feira (*04 de junho, às 13:30hs*) o ciclo de
Seminários do *Departamento
de Estatística da UFMG* terá a apresentação de *Wagner Barreto de Souza*.

Wagner foi professor do Departamento de Estatística da UFMG até 2019 e
atualmente é pesquisador do Programa em Estatística da King Abdullah
University of Science and Technology (KAUST) na Arábia Saudita.

O seminário será transmitido ao vivo pelo canal do YouTube "*Seminários
DEST - UFMG <https://www.youtube.com/channel/UCoZC2_pME9ca_-Hx4djd60w>*":

Att,
Vinícius


*********** Título e Resumo ***********

Wagner Barreto de Souza (KAUST, Arábia Saudita)

*Flexible bivariate INGARCH process with a broad range of contemporaneous
correlation.*

We propose a novel flexible bivariate conditional Poisson (BCP)
INteger-valued Generalized AutoRegressive Conditional Heteroscedastic
(INGARCH) model for correlated count time series data. Our proposed
BCP-INGARCH model is mathematically tractable and has as the main advantage
over existing bivariate INGARCH models its ability to capture a broad range
(both negative and positive) of contemporaneous cross-correlation which is
a non-trivial advancement. Properties of stationarity and ergodicity for
the BCP-INGARCH process are developed. Estimation of the parameters is
performed through conditional maximum likelihood (CML) and finite sample
behavior of the estimators are investigated through simulation studies.
Asymptotic properties of the  CML estimators are derived. Additional
simulation studies compare and contrast methods of obtaining standard
errors of the parameter estimates, where a bootstrap option is demonstrated
to be advantageous. Hypothesis testing methods for the presence of
contemporaneous correlation between the time series are presented and
evaluated. We apply our methodology to monthly counts of hepatitis cases at
two nearby Brazilian cities, which are highly cross-correlated. The data
analysis demonstrates the importance of considering a bivariate model
allowing for a wide range of contemporaneous correlation in real-life
applications. Joint work with Luiza S.C. Piancastelli (UCD-Ireland) and
Hernando Ombao (KAUST-Saudi Arabia). ArXiv link:
https://arxiv.org/pdf/2011.08799.pdf.

-- 
*Vinícius D. Mayrink*
*Professor Associado - Departamento de Estatística*
*ICEx, Universidade Federal de Minas Gerais*
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