70 citations · 139 across the 22 of their papers we have counts for
8 papers · 1 filter
A GARMA Framework for Unit-Bounded Time Series Based on the Unit-Lindley Distribution with Application to Renewable Energy Data
Guilherme Pumi, Danilo Hiroshi Matsuoka, Taiane Schaedler Prass
The Unit-Lindley is a one-parameter family of distributions in obtained from an appropriate transformation of the Lindley distribution. In this work, we introduce a class o…
Unit-Weibull Autoregressive Moving Average Models
Guilherme Pumi, Taiane Schaedler Prass, Cleiton Guollo Taufemback
In this work we introduce the class of unit-Weibull Autoregressive Moving Average models for continuous random variables taking values in . The proposed model is an observat…
On the behavior of the DFA and DCCA in trend-stationary processes
Taiane Schaedler Prass, Guilherme Pumi
In this work, we develop the asymptotic theory of the Detrended Fluctuation Analysis (DFA) and Detrended Cross-Correlation Analysis (DCCA) for trend-stationary stochastic processes…
A Dynamic Model for Double Bounded Time Series With Chaotic Driven Conditional Averages
Guilherme Pumi, Taiane Schaedler Prass, Rafael Rigão Souza
In this work we introduce a class of dynamic models for time series taking values on the unit interval. The proposed model follows a generalized linear model approach where the ran…
A Semiparametric Estimator for Long-Range Dependent Multivariate Processes
Guilherme Pumi, Sílvia R. C. Lopes
In this paper we propose a generalization of a class of Gaussian Semiparametric Estimators (GSE) of the fractional differencing parameter for long-range dependent multivariate time…
A Generalization of a Gaussian Semiparametric Estimator on Multivariate Long-Range Dependent Processes
Guilherme Pumi, Sílvia R. C. Lopes
In this paper we propose and study a general class of Gaussian Semiparametric Estimators (GSE) of the fractional differencing parameter in the context of long-range dependent multi…
Parameterization of Copulas and Covariance Decay of Stochastic Processes
Guilherme Pumi, Sílvia R. C. Lopes
In this work we study the problem of constructing stochastic processes with a predetermined covariance decay by parameterizing its marginals and a given family of copulas. We show…
Copulas Related to Manneville-Pomeau Processes
Sílvia R. C. Lopes, Guilherme Pumi
In this work we derive the copulas related to Manneville-Pomeau processes. We examine both bidimensional and multidimensional cases and derive some properties for the related copul…