Browsing by Author "Abanto-Valle, Carlos A."

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    A Bayesian approach for mixed effects state-space models under skewness and heavy tails
    (2023) Hernandez-Velasco, Lina L.; Abanto-Valle, Carlos A.; Dey, Dipak K.; Castro, Luis M.
    Human immunodeficiency virus (HIV) dynamics have been the focus of epidemiological and biostatistical research during the past decades to understand the progression of acquired immunodeficiency syndrome (AIDS) in the population. Although there are several approaches for modeling HIV dynamics, one of the most popular is based on Gaussian mixed-effects models because of its simplicity from the implementation and interpretation viewpoints. However, in some situations, Gaussian mixed-effects models cannot (a) capture serial correlation existing in longitudinal data, (b) deal with missing observations properly, and (c) accommodate skewness and heavy tails frequently presented in patients' profiles. For those cases, mixed-effects state-space models (MESSM) become a powerful tool for modeling correlated observations, including HIV dynamics, because of their flexibility in modeling the unobserved states and the observations in a simple way. Consequently, our proposal considers an MESSM where the observations' error distribution is a skew-t. This new approach is more flexible and can accommodate data sets exhibiting skewness and heavy tails. Under the Bayesian paradigm, an efficient Markov chain Monte Carlo algorithm is implemented. To evaluate the properties of the proposed models, we carried out some exciting simulation studies, including missing data in the generated data sets. Finally, we illustrate our approach with an application in the AIDS Clinical Trial Group Study 315 (ACTG-315) clinical trial data set.
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    A Censored Time Series Analysis for Responses on the Unit Interval: An Application to Acid Rain Modeling
    (2024) Schumacher, Fernanda L.; Matos, Larissa A.; Lachos, Victor H.; Abanto-Valle, Carlos A.; Castro, Luis M.
    In this paper, we propose an autoregressive model for time series in which the variable of interest lies in the unit interval and is subject to certain threshold values below or above which the measurements are not quantifiable. The model includes an independent beta regression (Ferrari and Cribari-Neto, J. Appl. Stat., 31, 799-815 2004) as a special case. A Markov chain Monte Carlo (MCMC) algorithm is tailored to obtain Bayesian posterior distributions of unknown quantities of interest. The likelihood function was used to compute Bayesian model selection measures. We discuss the construction of the proposed model and compare it with alternative models by using simulated data. Finally, we illustrate the use of our proposal by modeling a left-censored weekly series of acid rain data.
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    Approximate Bayesian Estimation of Stochastic Volatility in Mean Models Using Hidden Markov Models: Empirical Evidence from Emerging and Developed Markets
    (2024) Abanto-Valle, Carlos A.; Rodriguez, Gabriel; Castro Cepero, Luis M.; Garrafa-Aragon, Hernan B.
    The stochastic volatility in mean (SVM) model proposed by Koopman and Uspensky (J Appl Econ 17:667-689, 2002) is revisited. This paper has two goals. The first is to offer a methodology that requires less computational time in simulations and estimates compared with others proposed in the literature as in Abanto-Valle et al. (Q Rev Econ Financ 80:272-286, 2021) and others. To achieve the first goal, we propose to approximate the likelihood function of the model applying Hidden Markov Models machinery to make possible Bayesian inference in real-time. We sample from the posterior distribution of parameters with a multivariate Normal distribution with mean and variance given by the posterior mode and the inverse of the Hessian matrix evaluated at this posterior mode using importance sampling. Further, the frequentist properties of estimators are analyzed conducting a simulation study. The second goal is to provide empirical evidence estimating the SVM model using daily data for five Latin American stock markets, USA, England, Japan and China. The results indicate that volatility negatively impacts returns, suggesting that the volatility feedback effect is stronger than the effect related to the expected volatility. This result is similar to the findings of Koopman and Uspensky (J Appl Econ 17:667-689, 2002), where the respective coefficient is negative but non statistically significant. However, in our case, all countries (except Peru and China) presents negative and statistically significant effects. Our results are similar to those found using Hamiltonian Monte Carlo (HMC) and Riemannian HMC methods based on Abanto-Valle et al. (Q Rev Econ Financ 80:272-286, 2021).