Análise bayesiana do modelo fatorial dinâmico para um vetor de séries temporais utilizando a distribuição t multivariada

• Ano de defesa: 2016
• Autor(a) principal: Andrade, Larissa Ribeiro de
• Tipo de documento: Tese
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal de Lavras; Programa de Pós-graduação em Estatística e Experimentação Agropecuária; UFLA; brasil; Departamento de Ciências Exatas
• Palavras-chave em Português: Análise fatorial; Amostrador de Gibbs; Distribuição t multivariada; Factor analysis; Gibbs sampling; multivariate t-distribution; Estatística
• Link de acesso: http://repositorio.ufla.br/jspui/handle/1/11179

The multivariate t models are symmetric and with heavier tail than the normal distribution, important feature in financial data. In this theses is presented the Bayesian estimation of a dynamic factor model, where the factors follow a multivariate autoregressive model, using multivariate t distribution. Since the multivariate t distribution is complex, it was represented in this work as a mix between a multivariate normal distribution and a square root of a chi-square distribution. This method allowed to define the posteriors. The inference on the parameters was made taking a sample of the posterior distribution, through the Gibbs Sampler. The convergence was verified through graphical analysis and the convergence tests Geweke (1992) and Raftery & Lewis (1992a). The method was applied in simulated data and in the indexes of the major stock exchanges in the world.