[ABE-L] Ciclo de Palestras - PPGE-IM/UFRJ - 23 de OUTUBRO

[Maria Eulalia Vares]

Prezados colegas,

A nossa próxima palestra ocorrerá na quarta-feira, 23 de outubro, no
horário das 15h30 às 17h00, Local: Laboratório de Sistemas Estocásticos
(LSE), Sala I-044-B, Centro de Tecnologia - UFRJ.

Detalhes do seminário seguem abaixo.

*Palestrante*: Francisco Cribari (UFPE)

*Título*: Test inferences and link function selection in dynamic beta
modeling of seasonal hydro-environmental time series with temporary
abnormal regimes

*Resumo*: We consider the modeling and forecasting of hydro-environmental
time series subject to seasonal fluctuations and prolonged droughts.
Abnormally dry periods have become more frequent as a result of climate
change. We use a class of dynamic beta models which is tailored for
doubly-bounded data. We examine two important aspects of this class of
models: the accuracy of hypothesis tests based on asymptotic approximations
and the choice of link function. In particular, we show that two commonly
used tests can yield inaccurate inferences if the estimation of the null
model is done on the basis of the maximum number of individual conditional
log-likelihoods, and we introduce a new model selection criterion for
selecting the model's link function. Based on tests and the new criterion,
we model the useful volumes of three Brazilian hydroelectric power plant
water reservoirs. These time series exhibit seasonal fluctuations and
contain abnormally dry periods due to intense and prolonged droughts.
In-sample predictions and out-of-sample forecasts are produced and compared
to those obtained with well known alternative approaches.


Mais informações podem ser encontradas no site:
https://www.dme.ufrj.br/?page_id=3579.

Organizadores: Maria Eulalia Vares e Widemberg S Nobre

Atenciosamente,



-- 
Maria Eulalia Vares
Professora Titular - Instituto de Matemática - UFRJ
Coordenadora do Programa de Pós-Graduação em Estatística
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