http://www.wiki.leg.ufpr.br/ 2026-04-08T13:36:50-0300 http://www.wiki.leg.ufpr.br/ http://www.wiki.leg.ufpr.br/lib/tpl/monobook/images/favicon.ico text/html 2008-10-17T18:40:21-0300 Anonymous (anonymous@undisclosed.example.com) http://www.wiki.leg.ufpr.br/doku.php/projetos:ehlers:bayesgrad?rev=1224279621&do=diff A Bayesian Approach for Computing Claim Amounts of Occuring but Not Reported Events Abstract For many reasons, insurance companies often do not report outstanding claims as soon as they occur (incurred but not reported or IBNR). Instead, there is a time interval between the time of occurrence and the claims. Therefore, in practice it is of central interest to provide reserves for these outstanding claims. In this project, several Bayesian models are proposed and compared in terms of their pre… text/html 2007-09-20T11:37:11-0300 Anonymous (anonymous@undisclosed.example.com) http://www.wiki.leg.ufpr.br/doku.php/projetos:ehlers:bips?rev=1190299031&do=diff Bayesian Inference in the Physical Sciences Bayesian Inference in the Physical Sciences This project concerns the use and development of Bayesian methods of special relevance to applications in the physical sciences. Participants * Ricardo Ehlers * José Carlos Coninck text/html 2007-09-09T11:39:42-0300 Anonymous (anonymous@undisclosed.example.com) http://www.wiki.leg.ufpr.br/doku.php/projetos:ehlers:bsfi?rev=1189348782&do=diff Bayesian Statistics for Finance and Insurance State of the art research in the development, implementation, and real-world applications of statistical models in actuarial sciences and finance. Projects * A Bayesian Approach for Computing Claim Amounts of Occuring but Not Reported Events * Modelling Volatility in Financial Time Series text/html 2009-03-19T15:16:53-0300 Anonymous (anonymous@undisclosed.example.com) http://www.wiki.leg.ufpr.br/doku.php/projetos:ehlers:dlm?rev=1237486613&do=diff Bayesian Dynamic Models - Ricardo Ehlers Bayesian Dynamic Models - Ricardo Ehlers Abstract Dynamic models also known as state space models are formulated to allow for changes in the parameter values along time and have been used to the analysis and forecast of time series and space-time processes. A dynamic model may be specified by the following pair of equations, text/html 2007-12-03T17:45:05-0300 Anonymous (anonymous@undisclosed.example.com) http://www.wiki.leg.ufpr.br/doku.php/projetos:ehlers:gen?rev=1196711105&do=diff Genetic Algorithms for Model Comparison Genetic Algorithms for Model Comparison Abstract In this project we develop for regression models trans-dimensional genetic algorithms for the exploration of large model spaces. Our algorithms can be used in two different ways. The first possibility is to search the best model according to some criteria such as AIC or BIC. The second possibility is to use our algorithms to explore the model space, search for the most probable models and estimate their p… text/html 2007-04-11T22:42:20-0300 Anonymous (anonymous@undisclosed.example.com) http://www.wiki.leg.ufpr.br/doku.php/projetos:ehlers:marketing?rev=1176342140&do=diff Equipe Equipe Silvia, Ricardo Ehlers, Márcia Resumo Colocar aqui apenas as coisas do projeto relacionadas com o LEG Atividades To Do list * Escrever o projeto de iniciação científica seguindo modelo da PRPPG. (Silvia) * Usar a função rbprobitGibbs com dados simulados como na seção 3.8 do livro. (Marcia) text/html 2007-09-07T11:18:44-0300 Anonymous (anonymous@undisclosed.example.com) http://www.wiki.leg.ufpr.br/doku.php/projetos:ehlers:mcmc?rev=1189174724&do=diff Abstract Abstract In this project methodological research focuses on the development of computationally intensive methods for statistical inference under both the classical and Bayesian paradigms. The work can be split into several key areas: the development of novel simulation algorithms; the development of tools to assess the performance of existing simulation algorithms; and the mathematical study of the performance and properties of new and existing simulation methods. text/html 2009-03-19T15:14:53-0300 Anonymous (anonymous@undisclosed.example.com) http://www.wiki.leg.ufpr.br/doku.php/projetos:ehlers:par?rev=1237486493&do=diff Abstract Abstract In this project we study problems of inference and forecasting in autoregressive models with periodic correlation from a Bayesian perspective. Normality and unimodality assumptions are rarely verified in practice and the usual approach is to try Box-Cox transformations to obtain approximate normality and stabilize the periodic variance. More recently, mixture models were developed to take into account asymmetry and multimodality. text/html 2008-10-17T18:42:31-0300 Anonymous (anonymous@undisclosed.example.com) http://www.wiki.leg.ufpr.br/doku.php/projetos:ehlers:sf?rev=1224279751&do=diff Stochastic Production Frontier Models Stochastic Production Frontier Models Abstract In this project we use Markov chain Monte Carlo (MCMC) methods in order to estimate and compare stochastic production frontier models from a Bayesian perspective. We consider a number of competing models in terms of different production functions and the distribution of the asymmetric error term. All MCMC simulations are done using the package JAGS (Just Another Gibbs Sampler), a clone of the classic BUGS pac… text/html 2009-03-23T19:49:11-0300 Anonymous (anonymous@undisclosed.example.com) http://www.wiki.leg.ufpr.br/doku.php/projetos:ehlers:spacetime?rev=1237848551&do=diff This is part of Luiz Ledo's MSc dissertation. Participants * Ricardo Ehlers (ICMC-USP), Marina Paes (UFRJ) and Luiz Ledo (UFRJ) Some references text/html 2008-04-07T14:10:30-0300 Anonymous (anonymous@undisclosed.example.com) http://www.wiki.leg.ufpr.br/doku.php/projetos:ehlers:ts?rev=1207588230&do=diff Bayesian Forecasting and Time Series Analysis - Ricardo Ehlers Bayesian Forecasting and Time Series Analysis - Ricardo Ehlers Projects * Bayesian Dynamic Models * Smooth Transition Autoregressive Models * Periodic Autoregressive Models * Modelling volatility in Financial Time Series text/html 2009-01-19T17:00:33-0300 Anonymous (anonymous@undisclosed.example.com) http://www.wiki.leg.ufpr.br/doku.php/projetos:ehlers:volprev?rev=1232391633&do=diff Modelagem de Volatilidade em Séries Financeiras Modelagem de Volatilidade em Séries Financeiras palavras chaves:Curva de Impacto de Notícia, Volatilidade,Teorias de Expectativas dos Agentes, ARCH, Séries Temporais Introdução Apesar de as crises de 1973 a 1979 mostrarem ao mundo as conseqüências de uma economia sustentada energeticamente por um combustível vulnerável a fortes volatilidades no preço, o petróleo continua sendo o energético mais consumido no mundo. Recentemente suas cotações vem…