Prezados
Redistas,
O
PROGRAMA DE PÓS-GRADUAÇÃO EM MATEMÁTICA APLICADA E COMPUTACIONAL, DA FCT/UNESP,
CONVIDA PARA A PALESTRA:
?MODELING OF COMPLEX STOCHASTIC SYSTEMS VIA LATENT
FACTORS? PALESTRANTE: PROF. DR. HEDIBERT FREITAS LOPES - THE UNIVERSITY OF CHICAGO BOOTH LOCAL...........:
AUDITÓRIO
DA FCT - DISCENTE V DIA.................: 29/11/2012 HORÁRIO......:
14h00
Abstract:
Factor models, and related statistical tools for dimension reduction, have been
widely and routinely used in psychometric, item response theory, geology, econometric and
biological, amongst many other fields, since the late 1960¹s when Karl
G. Jöreskog, a Swedish statistician, proposed the first reliable numerical
method for maximum likelihood estimation (MLE) in factor analysis (Jöreskog,
1969). Such developments happened, certainly not by chance, around the same time
the computer industry was
experiencing major advances. From a Bayesian perspective, Martin and
McDonald (1975) showed that MLE suffers from several inconsistency issues (for
instance, negative idiosyncratic variances). Nonetheless, Bayesian
researchers themselves could not produce general algorithms for exact posterior
inference for factor models until the early 1990¹s when the computer
industry had another wave of major advances and Markov chain Monte Carlo (MCMC)
schemes were almost instantly customized for all fields cited above. In
this talk, my goal is to illustrate
how such advances, both in factor modeling and statistical computing, have
driven my own research in financial econometrics, spatio-temporal modeling and macro- and
microeconomics, among others. This will be done by linking my
own. Aparecida D. P. Souza
Departamento de Estatística Faculdade de Ciências e Tecnologia UNESP - Campus de Presidente Prudente-SP Fone: + 55 18 3229-5617 - Fax: + 55 18 3221-8333 |