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  • Particle filtering estimation for linear and nonlinear state-space models

     Acosta Argueta, Lesly Maria
    Defense's date: 2013-11-29
    Universitat Politècnica de Catalunya
    Theses

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  • Influenza vaccine coverage, influenza-associated morbidity and all-cause mortality in Catalonia (Spain)

     Muñoz Gracia, Maria del Pilar; Soldevila, Nuria; Martínez, Anna; Carmona, Glòria; Batalla, Joan; Acosta Argueta, Lesly Maria; Domínguez, Àngela
    Vaccine
    Date of publication: 2011-05-26
    Journal article

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    The objective of this work was to study the behaviour of influenza with respect to morbidity and allcause mortality in Catalonia, and their association with influenza vaccination coverage. The study was carried out over 13 influenza seasons, from epidemiological week 40 of 1994 to week 20 of 2007, and included confirmed cases of influenza and all-cause mortality. Two generalized linear models were fitted: influenza-associated morbidity was modelled by Poisson regression and all-cause mortality by negative binomial regression. The seasonal component was modelled with the periodic function formed by the sum of the sinus and cosines. Expected influenza mortality during periods of influenza virus circulation was estimated by Poisson regression and its confidence intervals using the Bootstrap approach. Vaccination coverage was associated with a reduction in influenza-associated morbidity (p < 0.001), but not with a reduction in all-cause mortality (p = 0.149). In the case of influenza-associated morbidity, an increase of 5% in vaccination coverage represented a reduction of 3% in the incidence rate of influenza. There was a positive association between influenza-associated morbidity and all-cause mortality. Excess mortality attributable to influenza epidemics was estimated as 34.4 (95% CI: 28.4–40.8) weekly deaths. In conclusion, all-cause mortality is a good indicator of influenza surveillance and vaccination coverage is associated with a reduction in influenza-associated morbidity but not with all-cause mortality.

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    Cobertura vacunal de gripe y evolución de la morbilidad declarada y la mortalidad por todas las causas en Cataluña  Open access

     Muñoz Gracia, Maria del Pilar; Soldevila, N.; Martínez, A.; Carmona, G.; Batalla, J; Acosta Argueta, Lesly Maria; Domínguez, A.
    Gaceta sanitaria
    Date of publication: 2010-10
    Journal article

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  • Forecasting volatility by means of Threshold models

     Muñoz Gracia, Maria del Pilar; Marquez, M D; Acosta Argueta, Lesly Maria
    Journal of forecasting
    Date of publication: 2007-08
    Journal article

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    Threshold volatility models: forecasting performance  Open access

     Marquez, M. D.; Muñoz Gracia, Maria del Pilar; Marti, Manuel; Acosta Argueta, Lesly Maria
    COMPSTAT International Conference on Computational Statistics
    Presentation's date: 2006-09
    Presentation of work at congresses

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    The aim of this paper is to compare the forecasting performance of competing volatility models, in order to capture the asymmetric effect in the volatility. We focus on examining the relative out-of-sample forecasting ability of the models (SETAR-TGARCH and SETAR-THSV), which contain the introduction of regimes based on thresholds in the mean equation and volatility equation, compared to the GARCH model and SV model. For each model, we consider two cases: Gaussian and t-Student measurement noise distribution. An important problem when evaluating the predictive ability of volatility models is that the “true” underlying process is not observable and thus a proxy must be defined for the unobservable volatility. To attain our proposal, the proxy volatility measure and the loss function must also be decided to ensure a correct ranking of models. Our empirical application suggests the following results: when time series include leverage effects on the mean, the introduction of threshold in the mean and variance equations produces more accurate predictions. If the leverage in the mean is not important, then the SVt is flexible enough to beat the threshold models.

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    Threshold volatility models: forecasting performance  Open access

     Márquez, M. Dolores; Muñoz Gracia, Maria del Pilar; Marti Recober, Manuel; Acosta Argueta, Lesly Maria
    COMPTSTAT 2006-Procedeeings in Computational Statistics
    Date of publication: 2006
    Journal article

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    The aim of this paper is to compare the forecasting performance of competing volatility models, in order to capture the asymmetric effect in the volatility. We focus on examining the relative out-of-sample forecasting ability of the models (SETAR-TGARCH and SETAR-THSV), which contain the introduction of regimes based on thresholds in the mean equation and volatility equation, compared to the GARCH model and SV model. For each model, we consider two cases: Gaussian and t-Student measurement noise distribution. An important problem when evaluating the predictive ability of volatility models is that the “true” underlying process is not observable and thus a proxy must be defined for the unobservable volatility. To attain our proposal, the proxy volatility measure and the loss function must also be decided to ensure a correct ranking of models. Our empirical application suggests the following results: when time series include leverage effects on the mean, the introduction of threshold in the mean and variance equations produces more accurate predictions. If the leverage in the mean is not important, then the SVt is flexible enough to beat the threshold models.

  • Rendimiento y volatilidad del IBEX 35: Capturando las asimetrías y el exceso de curtosis

     Márquez, M D; Muñoz Gracia, Maria del Pilar; Villazón, C; Marti Recober, Manuel; Acosta Argueta, Lesly Maria
    Date: 2005-01
    Report

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  • Capturing Asymmetries and Excess Kurtosis of IBEX 35 Index: A Survey

     Márquez, M D; Muñoz Gracia, Maria del Pilar; Villazón, C; Marti Recober, Manuel; Acosta Argueta, Lesly Maria
    Date: 2005-11
    Report

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  • TAR-GARCH and Stochastic Volatility Models: Evaluation Based on Simulations and Financial Time Series

     Acosta Argueta, Lesly Maria
    16th Symposium of IASC, COMPSTAT 2004
    Presentation's date: 2004-08-23
    Presentation of work at congresses

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  • TAR-GARCH and Stochastic Volatility Models: Evaluation Based on Simulations and Financial Time Series

     Muñoz Gracia, Maria del Pilar; Márquez, M. Dolores; Marti Recober, Manuel; Villazon, César; Acosta Argueta, Lesly Maria
    COMPSTAT 2004
    Presentation of work at congresses

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  • Early HCV dynamics on Peg-interferon and Ribavirin in HIV/HCV co-infection: indications for the investigation of new treatment approaches

     Ballesteros, A; Franco, S; Fuster, D; Planas, R; MARTINEZ, M; Acosta Argueta, Lesly Maria; Sirera, G; Salas, A; Tor, J; Rey-Joly, C; Tural C, B
    AIDS
    Date of publication: 2004-01
    Journal article

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  • Autoregressive parameter's estimation via particle filter

     Acosta Argueta, Lesly Maria; Marti Recober, Manuel; Muñoz Gracia, Maria del Pilar
    Congreso Nacional de Estadística e Investigación Operativa
    Presentation's date: 2003-04
    Presentation of work at congresses

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  • Autoregressive parameter's estimation via particle filter

     Acosta Argueta, Lesly Maria; Marti Recober, Manuel; Muñoz Gracia, Maria del Pilar
    Congreso Nacional de Estadística e Investigación Operativa
    Presentation of work at congresses

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