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ETDs @PUC-Rio
Estatística
Título: MODELING NONLINEAR TIME SERIES WITH A TREE-STRUCTURED MIXTURE OF GAUSSIAN MODELS
Autor: EDUARDO FONSECA MENDES
Colaborador(es): ALVARO DE LIMA VEIGA FILHO - Orientador
MARCELO CUNHA MEDEIROS - Coorientador
Catalogação: 20/MAR/2007 Língua(s): ENGLISH - UNITED STATES
Tipo: TEXT Subtipo: THESIS
Notas: [pt] Todos os dados constantes dos documentos são de inteira responsabilidade de seus autores. Os dados utilizados nas descrições dos documentos estão em conformidade com os sistemas da administração da PUC-Rio.
[en] All data contained in the documents are the sole responsibility of the authors. The data used in the descriptions of the documents are in conformity with the systems of the administration of PUC-Rio.
Referência(s): [pt] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=9689&idi=1
[en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=9689&idi=2
DOI: https://doi.org/10.17771/PUCRio.acad.9689
Resumo:
In this work a new model of mixture of distributions is proposed, where the mixing structure is determined by a smooth transition tree architecture. Models based on mixture of distributions are useful in order to approximate unknown conditional distributions of multivariate data. The tree structure yields a model that is simpler, and in some cases more interpretable, than previous proposals in the literature. Based on the Expectation-Maximization (EM) algorithm a quasi-maximum likelihood estimator is derived and its asymptotic properties are derived under mild regularity conditions. In addition, a specific-to-general model building strategy is proposed in order to avoid possible identification problems. Both the estimation procedure and the model building strategy are evaluated in a Monte Carlo experiment, which give strong support for the theorydeveloped in small samples. The approximation capabilities of the model is also analyzed in a simulation experiment. Finally, two applications with real datasets are considered.
Descrição: Arquivo:   
COVER, ACKNOWLEDGEMENTS, RESUMO, ABSTRACT AND SUMMARY PDF    
CHAPTER 1 PDF    
CHAPTER 2 PDF    
CHAPTER 3 PDF    
CHAPTER 4 PDF    
CHAPTER 5 PDF    
CHAPTER 6 PDF    
CHAPTER 7 PDF    
CHAPTER 8 PDF    
REFERENCES AND APPENDICES PDF