Título: | MODELING NONLINEAR TIME SERIES WITH A TREE-STRUCTURED MIXTURE OF GAUSSIAN MODELS | |||||||
Autor: |
EDUARDO FONSECA MENDES |
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Colaborador(es): |
ALVARO DE LIMA VEIGA FILHO - Orientador MARCELO CUNHA MEDEIROS - Coorientador |
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Catalogação: | 20/MAR/2007 | Língua(s): | ENGLISH - UNITED STATES |
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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. |
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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 |
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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.
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