Search Results - "Pizzinga, Adrian"

Diffuse Kalman filtering with linear constraints on the state parameters by Pizzinga, Adrian, Fernandes, Marcelo

“…We give a general proof, based on Piet de Jong's diffuse Kalman filter, that imposing linear constraints on state smoothing is still feasible under diffuse…”
Get full text

State‐space models for predicting IBNR reserve in row‐wise ordered runoff triangles: Calendar year IBNR reserves & tail effects by Costa, Leonardo, Pizzinga, Adrian

“…The issue of modeling and forecasting IBNR (incurred but not reported) actuarial reserve under Kalman filter techniques and extensions, using data arranged in…”
Get full text

Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models by Pizzinga, Adrian, Fernandes, Marcelo

“…Replacing the state vector of a linear state‐space model by any one‐to‐one linear transformation does not alter maximum likelihood estimation. We extend this…”
Get full text

Constrained Kalman Filtering: Additional Results by Pizzinga, Adrian

“…This paper deals with linear state space modelling subject to general linear constraints on the state vector. The discussion concentrates on four topics: the…”
Get full text

Diffuse Restricted Kalman Filtering by Pizzinga, Adrian

“…This article investigates how the use of an initial diffuse state vector affects the use of the Kalman smoother under linear restrictions. The contribution is…”
Get full text

Further investigation into restricted Kalman filtering by Pizzinga, Adrian

“…In this paper I return to the issue of estimating linear state space models with constrained state vectors. My endeavor is towards the following tasks: (i) to…”
Get full text

A pairs trading strategy based on linear state space models and the Kalman filter by de Moura, Carlos Eduardo, Pizzinga, Adrian, Zubelli, Jorge

“…Among many strategies for financial trading, pairs trading has played an important role in practical and academic frameworks. Loosely speaking, it involves a…”
Get full text

An Extensive Comparison of Some Well‐Established Value at Risk Methods by Calmon, Wilson, Ferioli, Eduardo, Lettieri, Davi, Soares, Johann, Pizzinga, Adrian

“…Summary In the last two decades, several methods for estimating Value at Risk have been proposed in the literature. Four of the most successful approaches are…”
Get full text

Independent events and their complements. Part II by Mizuno, Gabriel Perez, Crispim, Carolina Martins, Pizzinga, Adrian

“…In a previous classroom note (Crispim et al., 2021), we addressed the proving (and the teaching) of a former and famous probability fact: if n random events…”
Get full text

Modeling and predicting IBNR reserve: extended chain ladder and heteroscedastic regression analysis by Costa, Leonardo, Pizzinga, Adrian, Atherino, Rodrigo

“…This work deals with two methodologies for predicting incurred but not reported (IBNR) actuarial reserves. The first is the traditional chain ladder, which is…”
Get full text

On the Statistical Validation of Technical Analysis by Rosane Riera Freire, Cristiano Fernandes, Rodrigo Atherino, Adrian Pizzinga, Giuliano Lorenzoni

“…Technical analysis, or charting, aims on visually identifying geometrical patterns in price charts in order to antecipate price "trends". In this paper we…”
Get full text

Independent events and their complements by Crispim, Carolina Martins, Mizuno, Gabriel Perez, Pizzinga, Adrian

“…Take a family of independent events. If some of these events, or all of them, are replaced by their complements, then independence still holds. This fact,…”
Get full text

Restricted Kalman filter applied to dynamic style analysis of actuarial funds by Marques, Reinaldo, Pizzinga, Adrian, Vereda, Luciano

“…We use dynamic style analysis to unveil the strategies followed by Brazilian actuarial funds from January 2004 to August 2008 and investigate whether managers’…”
Get full text

State space models for the exchange rate pass-through: determinants and null/full pass-through hypotheses by de Souza, Rafael Martins, Maciel, Luiz Felipe Pires, Pizzinga, Adrian

“…In this article, we formulate linear Gaussian state space models for the estimation of the exchange rate pass-through of the Brazilian Real against the US…”
Get full text

Restricted Kalman filtering revisited by Pizzinga, Adrian, Fernandes, Cristiano, Contreras, Sergio

“…We propose a more compact and general derivation of results concerning the estimation of linear state space models with linear restrictions in the state…”
Get full text

Semi-strong dynamic style analysis with time-varying selectivity measurement: Applications to Brazilian exchange-rate funds by Pizzinga, Adrian, Vereda, Luciano, Atherino, Rodrigo, Fernandes, Cristiano

“…This paper deals with restricted linear state space models for dynamic style analysis with time‐varying selectivity measurement. Implementation and…”
Get full text

Methodological Procedure for Estimating Brazilian Quarterly GDP Series by Cerqueira, Luiz Fernando, Pizzinga, Adrian, Fernandes, Cristiano

“…This paper presents a methodology for estimating the Brazilian GDP quarterly series in the period between 1960-1996. Firstly, an Engle-Granger's static…”
Get full text

Sobre a Validação Estatística da Análise Técnica by Lorenzoni, Giuliano, Pizzinga, Adrian, Atherino, Rodrigo, Fernandes, Cristiano, Freire, Rosane Riera

“…A análise técnica, ou grafismo, consiste na identificação visual de padrões geométricos em gráficos de séries de preços de mercado com o objetivo de antecipar…”
Get full text