Estimación Bayesiana de los parámetros estructurales de los modelos Multivariados Autoregresivos de Umbrales con ruido t-Student multivariado

dc.contributorCalderón Villanueva, Sergio Alejandro
dc.contributorSeries de Tiempo
dc.creatorIbáñez Forero, Luis Eduardo
dc.date.accessioned2020-07-17T15:58:31Z
dc.date.available2020-07-17T15:58:31Z
dc.date.created2020-07-17T15:58:31Z
dc.date.issued2020-05-07
dc.identifierhttps://repositorio.unal.edu.co/handle/unal/77786
dc.description.abstractSometimes it is necessary to work with multivariate time series that have heavy tails and in particular multivariate Student t-noise. Unfortunately, there is no Bayesian methodology in the literature known to the author that allows estimating the structural parameters of a multivariate TAR model. In this sense, the analysis of the autoregressive multivariate models of thresholds and multivariate t-Student noise is carried out via the Bayesian approach and the proposed methodology is examined through simulations and an application in the stock market field.
dc.description.abstractEn algunas ocasiones es necesario trabajar con series de tiempo multivariadas que tienen colas pesadas y en particular ruido t-Student multivariado. Desafortunadamente no existe en la literatura, conocida por el autor, alguna metodología Bayesiana que permita estimar los parámetros estructurales de un modelo TAR multivariado. En ese sentido el análisis de los modelos multivariados autoregresivos de umbrales y ruido t-Student multivariado es llevado a cabo vía el enfoque Bayesiano y la metodología propuesta es examinada a través de simulaciones y una aplicación en el campo bursátil.
dc.languagespa
dc.publisherBogotá - Ciencias - Maestría en Ciencias - Estadística
dc.publisherDepartamento de Estadística
dc.publisherUniversidad Nacional de Colombia - Sede Bogotá
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dc.rightsAtribución-SinDerivadas 4.0 Internacional
dc.rightsAcceso abierto
dc.rightshttp://creativecommons.org/licenses/by-nd/4.0/
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rightsDerechos reservados - Universidad Nacional de Colombia
dc.titleEstimación Bayesiana de los parámetros estructurales de los modelos Multivariados Autoregresivos de Umbrales con ruido t-Student multivariado
dc.typeOtro


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