Ciclo de Palestras 2017 – 2° Semestre

Palestras do Departamento de Metodos Estatísticos - Instituto de Matemática - UFRJ

2º semestre de 2017
As palestras ocorrerem no Auditório do Laboratório de Sistemas Estocásticos (LSE), sala I-044b, as 15:30 h, a menos de algumas exceções devidamente indicadas.

Lista Completa (palestras previstas para datas futuras podem sofrer alterações):

There has been considerable advances in understanding the properties of the LASSO procedure in sparse high-dimensional models. Most of the work is, however, limited to the independent and identically distributed setting whereas most time series extensions consider independent and/or Gaussian innovations. Kock and Callot (2016, Journal of Econometrics) derived equation-wise oracle inequalities for Gaussian vector autoregressive models. We extend their work to a broader set of innovation processes, by assuming that the error process is non-Gaussian and conditionally heteroskedastic. It is of particular interest for financial risk modeling and covers several multivariate-GARCH specifications, such as the BEKK model, and other factor stochastic volatility specifications. We apply this method to model and forecast large panels of daily realized volatilities.

20/09 (excepcionalmente na UFF as 14hs)

We will present two different viewpoints on fixation: In the first part of the talk, we identify a general class of evolutive processes which share many features with the classical Moran and Wright-Fisher (WF) processes—and include both of them. We also identify when a process in this class will have a strictly increasing fixation, and show that (WF) processes may have a decreasing fixation, contrary to the Moran processes. We also show that WF is universal from the point of view of fixation: given almost any fixation vector, there is at least one WF process that realises it. In the second part, we show how to construct continuous approximations of the fixation probability for birth-death processes that are valid beyond the weak-selection limit. Using this approximation we give continuous restatements of two classical concepts in the discrete setting: (i) the ESS$_N$ and (ii) risk dominant strategies. In particular, we obtain an asymptotic definition in the quasi-neutral regime of the celebrated 1/3 law. This is joint work with FACC Chalub.

Para alguns autores o século XX foi o fim das grandes certezas na História das Ciências, o fim da era da inocência. Na Economia, infelizmente, chegamos ao século XXI sem que as grandes certezas fossem minimamente abaladas, ainda que empiricamente não tenham qualquer sustentação. A Crise de 2008/2009 levou a um intenso debate e economistas renomados foram chamados ao Congresso Americano para explicar por que não foram capazes de prever a Grande Crise. As ciências sociais, em geral, carecem de um método comum e aceito por todos de refutação de teorias o que permite a coexistência de teorias antagônicas para explicar os fenômenos. No entanto, da mesma forma que os argumentos teóricos, as implicações derivadas para política econômica são igualmente antagônicas. Na palestra, será apresentado um referencial teórico e metodológico distinto do mainstream econômico e serão discutidas as diferentes implicações para política econômica, procurando trazer a análise para a atual situação da economia brasileiras e as propostas alternativa existentes.


Existe praticamente um consenso de que a proporção de suicídios cometidos com armas de fogo em relação ao suicídio total é a melhor maneira de medir indiretamente a prevalência dessas armas. No entanto, essa proxy não é precisa para localidades com baixa densidade populacional, tendo em conta que os suicídios são eventos raros. Para contornar esse problema, exploramos as características socioeconômicas das vítimas de suicídio, de modo a propor uma nova proxy para prevalência de arma de fogo. Avaliamos o nosso indicador com microdados de suicídio do Ministério da Saúde (MS), entre 2000 e 2010.


We discuss an “operational”‘ approach to testing convex composite hypotheses when the underlying distributions are heavy-tailed. It relies upon Euclidean separation of convex sets and can be seen as an extension of the approach to testing by convex optimization. In particular, we show how one can construct quasi-optimal testing procedures for families of distributions which are majorated, in a certain precise sense, by a sub-spherical symmetric one and study the relationship between tests based on Euclidean separation and “potential-based tests.” We apply the promoted methodology in the problem of sequential detection and illustrate its practical implementation in an application to sequential detection of changes in the input of a dynamic system. (Joint work with Anatoli Juditsky and Arkadi Nemirovski)


Inferência em população finita é uma área da estatística notadamente reconhecida por sua importância prática e sua aparente dicotomia com outras áreas da inferência estatística. Contudo a inferência em modelos de superpopulação possui objetivos bastante semelhantes à inferência estatística. Nesta palestra, os fundamentos teóricos da inferência em populações finitas baseada em modelos serão abordados e suas diferenças com relação à inferência usual serão ressaltadas. O papel do plano amostral na inferência de parâmetros de interesse também será discutido. Finalmente, apresentaremos algumas aplicações e desenvolvimentos recentes na área.


Brazil has a dual higher education market with the coexistence of public no-tuition institutions and private tuition-funded enterprises. About 3/4 of enrollments are in private higher education institutions (HEI). Still heavily regulated, since the market liberalization in 1997, private institutions can merge and acquire (M&A) other private HEI. We provide an overview of the recent growth of this sector and the significant role of mergers and aquisitions. We show that entry rates are small and fastest growing HEIs exploited M&A extensively. We evaluate the effects of mergers on employment. Using Difference-in-Difference analysis, we estimate smaller faculty size and a proportional to a reduction in enrollment after a merger, on average.


The main goal of ERICA – Study of Cardiovascular Risks in Adolescents, was to estimate the prevalence of cardiovascular risk factors in adolescents from 12 to 17 years who attended public and private schools in Brazilian cities with more than 100 thousands inhabitants. The study will also enable the investigation of several associations involving sociodemographic characteristics, cardiovascular risk factors and metabolic changes. Besides the questionnaire filled out by 85,000 adolescents, weight, height, waist circumference, and blood pressure were measured. Also, in subsample of approximately 42,000 adolescents studying in the morning term, blood was drawn for measuring lipids, glucose, insulin, and glycated hemoglobin.