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Time series, wavelets and high dimensional data

Grant number: 18/04654-9
Support Opportunities:Research Projects - Thematic Grants
Duration: September 01, 2018 - August 31, 2023
Field of knowledge:Physical Sciences and Mathematics - Probability and Statistics - Statistics
Principal Investigator:Pedro Alberto Morettin
Grantee:Pedro Alberto Morettin
Host Institution: Instituto de Matemática e Estatística (IME). Universidade de São Paulo (USP). São Paulo , SP, Brazil
Pesquisadores principais:
Aluísio de Souza Pinheiro ; Hedibert Freitas Lopes ; Luiz Koodi Hotta ; Ronaldo Dias
Associated researchers:Airlane Pereira Alencar ; Chang Chiann ; Guilherme Vieira Nunes Ludwig ; João Ricardo Sato ; José Carlos Simon de Miranda ; Márcio Poletti Laurini ; Mauricio Enrique Zevallos Herencia ; Michel Helcias Montoril
Associated grant(s):19/10800-0 - Extensions of Hierarchical Models, Penalized Regression, Reference Priors and Functional Data Analysis., AV.BR
18/26158-3 - A wavelet model for quasi-periodic signals, AV.EXT
Associated scholarship(s):22/02273-3 - Wavelets and statistics for change detection on SAR/POLSAR images, BP.IC
21/05136-4 - Robust singular spectrum analysis, classification, dimension reduction of functional data with applications to climate change and epidemiological data, BP.PD
21/04468-3 - Wavelets, quasi U-statistics and functional estimation: decomposability and adaptability, BP.PD
+ associated scholarships 21/06057-0 - A causal mediation analysis in the presence of multiple time-varying mediators, BP.PD
21/04513-9 - Wavelet feature screening in high dimensional regression models, BP.PD
21/04729-1 - Forecasts and identification of buying and selling moments using time series models and neural networks in financial market, BP.IC
21/01516-7 - Composite likelihood: a simulation study, BP.IC
19/05917-6 - New methodologies in deformation of temporal spaces, BP.DD
18/19548-0 - Modern portfolio theory, risk parity and applications, BP.IC - associated scholarships


This project is a natural follow-up to the thematic project 13/00506-1 entitled Séries Temporais, Ondaletas e Análise de Dados Funcionais (Time Series, Wavelets and Functional data Analysis), from 01/07/2013 to 30/06/2018. The methodologies have potential and effective application to Medicine, Biology, Physics, Chemistry, Finance, Engineering, etc. These methods should solve theoretical and applied problems on the following topics: (1) Generalizations of ARMA models; (2) Wavelets; (3) Quasi U-statistics; (4) Outliers in time series; (5) Financial Volatility, including high frequency data; (6) Functional data analysis; (7) High dimensional data, with emphasis in time series, spatial data, financial series, satellite images, genetics, DNA sequences, microarrays and MRI. Results will be published in international journals with selective editorial policies and shall be presented in scientific conferences. Forming human resources is one of our main concerns. For this effect we will supervise pos-docs, undergraduate research assistantships, master theses and PhD dissertations. Seminars will be held regularly, in which the presentation of results, exchange of ideas, and where prospective talents may get acquainted with these research areas. In order to bring a serious push in this area in Brazil we intend to start a "Summer School" which will reunite every year international and Brazilian guest speakers, the project team, advanced undergraduate and graduate students. Two intermediate short courses will be held as well as a workshop where the state of the art and open problems will be discussed, and new and/or established scientific collaborations will happen. (AU)

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Scientific publications (49)
(References retrieved automatically from Web of Science and SciELO through information on FAPESP grants and their corresponding numbers as mentioned in the publications by the authors)
BAECKER, LEA; DAFFLON, JESSICA; DA COSTA, PEDRO F.; GARCIA-DIAS, RAFAEL; VIEIRA, SANDRA; SCARPAZZA, CRISTINA; CALHOUN, VINCE D.; SATO, JOAO R.; MECHELLI, ANDREA; PINAYA, WALTER H. L.. Brain age prediction: A comparison between machine learning models using region- and voxel-based morphometric data. Human Brain Mapping, v. 42, n. 8, . (18/21934-5, 18/04654-9)
MARCOS ANTÔNIO MACÊDO; JOÃO RICARDO SATO; RODRIGO A. BRESSAN; PEDRO MARIO PAN. Adolescent depression and resting-state fMRI brain networks: a scoping review of longitudinal studies. Revista Brasileira de Psiquiatria, . (14/50917-0, 18/04654-9, 18/21934-5)
MINEO, EDUARDO; ALENCAR, AIRLANE PEREIRA; MOURA, MARCELO; FABRIS, ANTONIO ELIAS. Forecasting the Term Structure of Interest Rates with Dynamic Constrained Smoothing B-Splines. JOURNAL OF RISK AND FINANCIAL MANAGEMENT, v. 13, n. 4, . (18/04654-9)
VANZELLA, PATRICIA; BALARDIN, JOANA B.; FURUCHO, ROGERIO A.; ZIMEO MORAIS, GUILHERME AUGUSTO; JANZEN, THENILLE BRAUN; SAMMLER, DANIELA; SATO, JOAO R.. fNIRS Responses in Professional Violinists While Playing Duets: Evidence for Distinct Leader and Follower Roles at the Brain Level. FRONTIERS IN PSYCHOLOGY, v. 10, . (18/04654-9)
REBELLO, KEILA; MOURA, LUCIANA M.; XAVIER, GABRIELA; SPINDOLA, LETICIA M.; CARVALHO, CAROLINA MUNIZ; HOEXTER, MARCELO QUEIROZ; GADELHA, ARY; PICON, FELIPE; PAN, PEDRO MARIO; ZUGMAN, ANDRE; et al. Association between spontaneous activity of the default mode network hubs and leukocyte telomere length in late childhood and early adolescence. JOURNAL OF PSYCHOSOMATIC RESEARCH, v. 127, . (13/08531-5, 18/21934-5, 14/50917-0, 14/07280-1, 18/04654-9)
TRUCIOS, CARLOS; ZEVALLOS, MAURICIO; HOTTA, LUIZ K.; SANTOS, ANDRE A. P.. Covariance Prediction in Large Portfolio Allocation. ECONOMETRICS, v. 7, n. 2, . (16/18599-4, 18/03012-3, 13/00506-1, 18/04654-9)
SATO, JOAO RICARDO; BIAZOLI JR, CLAUDINEI EDUARDO; MOURA, LUCIANA MONTEIRO; CROSSLEY, NICOLAS; ZUGMAN, ANDRE; PICON, FELIPE ALMEIDA; HOEXTER, MARCELO QUEIROZ; AMARO JR, EDSON; MIGUEL, EURIPEDES CONSTANTINO; ROHDE, LUIS AUGUSTO; et al. Association Between Fractional Amplitude of Low-Frequency Spontaneous Fluctuation and Degree Centrality in Children and Adolescents. BRAIN CONNECTIVITY, v. 9, n. 5, p. 379-387, . (16/04983-7, 13/08531-5, 18/21934-5, 14/50917-0, 18/04654-9)
HEINZE, RAFAEL ALVES; VANZELLA, PATRICIA; ZIMEO MORAIS, GUILHERME AUGUSTO; SATO, JOAO RICARDO. Hand motor learning in a musical context and prefrontal cortex hemodynamic response: a functional near-infrared spectroscopy (fNIRS) study. COGNITIVE PROCESSING, v. 20, n. 4, p. 507-513, . (18/21934-5, 18/04654-9)
VATTIMO, EDOARDO F. Q.; BARROS, VIVIAN B.; REQUENA, GUARACI; SATO, JOAO R.; FATORI, DANIEL; MIGUEL, EURIPEDES C.; SHAVITT, ROSELI G.; HOEXTER, MARCELO Q.; BATISTUZZO, MARCELO C.. Caudate volume differences among treatment responders, non-responders and controls in children with obsessive-compulsive disorder. EUROPEAN CHILD & ADOLESCENT PSYCHIATRY, v. 28, n. 12, p. 1607-1617, . (13/08531-5, 18/21934-5, 18/04654-9, 14/50917-0, 09/09949-8)
CHAIM, PEDRO; LAURINI, MARCIO P.. Nonlinear dependence in cryptocurrency markets. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, v. 48, p. 32-47, . (18/04654-9)
ESPARZA ALBARRACIN, ORLANDO YESID; ALENCAR, AIRLANE PEREIRA; HO, LINDA LEE. Generalized autoregressive and moving average models: multicollinearity, interpretation and a new modified model. JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, v. 89, n. 10, p. 1819-1840, . (18/04654-9)
VALENTE, FERNANDA; LAURINI, MARCIO. Tornado Occurrences in the United States: A Spatio-Temporal Point Process Approach. ECONOMETRICS, v. 8, n. 2, . (18/04654-9)
RIBEIRO, ADELE HELENA; VIDAL, MACIEL CALEBE; SATO, JOAO RICARDO; FUJITA, ANDRE. Granger Causality among Graphs and Application to Functional Brain Connectivity in Autism Spectrum Disorder. Entropy, v. 23, n. 9, . (18/04654-9, 18/21934-5)
MARCOS ANTÔNIO MACÊDO; JOÃO RICARDO SATO; RODRIGO A. BRESSAN; PEDRO MARIO PAN. Adolescent depression and resting-state fMRI brain networks: a scoping review of longitudinal studies. Revista Brasileira de Psiquiatria, v. 44, n. 4, p. 420-433, . (14/50917-0, 18/04654-9, 18/21934-5)
MENDES, SERGIO LEONARDO; LOPEZ PINAYA, WALTER HUGO; PAN, PEDRO; SATO, JOAO RICARDO. Estimating Gender and Age from Brain Structural MRI of Children and Adolescents: A 3D Convolutional Neural Network Multitask Learning Model. COMPUTATIONAL INTELLIGENCE AND NEUROSCIENCE, v. 2021, . (18/21934-5, 18/04654-9)
TRAMBAIOLLI, LUCAS R.; TOSSATO, JULIANA; CRAVO, ANDRE M.; BIAZOLI, JR., CLAUDINEI E.; SATO, JOAO R.. Subject-independent decoding of affective states using functional near-infrared spectroscopy. PLoS One, v. 16, n. 1, . (18/21934-5, 18/04654-9, 15/17406-5, 17/05225-1)
PINHEIRO, HILDETE P.; SEN, PRANAB K.; PINHEIRO, ALUISIO; KIIHL, SAMARA F.. A nonparametric approach to assess undergraduate performance. STATISTICA NEERLANDICA, . (11/15047-7, 13/09357-9, 18/04654-9)
DA SILVA FERREIRA BARRETO, CANDIDA; ZIMEO MORAIS, GUILHERME AUGUSTO; VANZELLA, PATRICIA; SATO, JOAO RICARDO. Combining the intersubject correlation analysis and the multivariate distance matrix regression to evaluate associations between fNIRS signals and behavioral data from ecological experiments. Experimental Brain Research, v. 238, n. 10, . (18/21934-5, 18/04654-9)
FONSECA, RODNEY V.; PINHEIRO, ALUISIO. Wavelet estimation of the dimensionality of curve time series. ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, v. 72, n. 5, p. 1175-1204, . (16/24469-6, 13/00506-1, 18/04654-9)
GOMEZ, LUZ M.; PORTO, ROGERIO F.; MORETTIN, PEDRO A.. Nonparametric regression with warped wavelets and strong mixing processes. ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, . (19/23078-1, 18/04654-9)
VALENTE, FERNANDA; LAURINI, MARCIO. Spatio-temporal analysis of fire occurrence in Australia. STOCHASTIC ENVIRONMENTAL RESEARCH AND RISK ASSESSMENT, v. 35, n. 9, p. 1759-1770, . (18/04654-9)
SOARES JR, RAIMUNDO DA SILVA; LUKASOVA, KATERINA; CARTHERY-GOULART, MARIA TERESA; SATO, JOAO RICARDO. Student's Perspective and Teachers' Metacognition: Applications of Eye-Tracking in Education and Scientific Research in Schools. FRONTIERS IN PSYCHOLOGY, v. 12, . (19/25795-2, 18/04654-9, 18/21934-5)
OKU, AMANDA YUMI AMBRIOLA; SATO, JOAO RICARDO. Predicting Student Performance Using Machine Learning in fNIRS Data. FRONTIERS IN HUMAN NEUROSCIENCE, v. 15, . (19/17907-5, 18/04654-9, 18/21934-5)
GARCIA-DIAS, RAFAEL; SCARPAZZA, CRISTINA; BAECKER, LEA; VIEIRA, SANDRA; PINAYA, WALTER H. L.; CORVIN, AIDEN; REDOLFI, ALBERTO; NELSON, BARNABY; CRESPO-FACORRO, BENEDICTO; MCDONALD, COLM; et al. Neuroharmony: A new tool for harmonizing volumetric MRI data from unseen scanners. NeuroImage, v. 220, . (18/21934-5, 18/04654-9)
SATO, JOAO RICARDO; BIAZOLI, CLAUDINEI EDUARDO; ZUGMAN, ANDRE; PAN, PEDRO MARIO; ARANTES BUENO, ANA PAULA; MOURA, LUCIANA MONTEIRO; GADELHA, ARY; PICON, FELIPE ALMEIDA; AMARO JR, EDSON; SALUM, GIOVANNI ABRAHAO; et al. Long-term stability of the cortical volumetric profile and the functional human connectome throughout childhood and adolescence. European Journal of Neuroscience, v. 54, n. 6, . (18/21934-5, 16/19376-9, 13/08531-5, 14/50917-0, 18/04654-9)
GABRIEL, A. F. B.; ALENCAR, A. P.; MIRAGLIA, S. G. E. K.. Dengue outbreaks: unpredictable incidence time series. EPIDEMIOLOGY AND INFECTION, v. 147, . (18/04654-9)
BUENO, A. P. A.; SATO, J. R.; HORNBERGER, M.. Eye tracking - The overlooked method to measure cognition in neurodegeneration?. Neuropsychologia, v. 133, . (18/21934-5, 17/23020-8, 16/19376-9, 18/04654-9)
CHAIM, PEDRO; LAURINI, MARCIO P.. Volatility and return jumps in bitcoin. ECONOMICS LETTERS, v. 173, p. 158-163, . (18/04654-9)
CHOU-CHEN, SHU WEI; MORETTIN, PEDRO A.. Indirect inference for locally stationary ARMA processes with stable innovations. JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, . (18/04654-9)
BARRETO, CANDIDA; BRUNERI, GUILHERME DE ALBUQUERQUE; BROCKINGTON, GUILHERME; AYAZ, HASAN; SATO, JOAO RICARDO. A New Statistical Approach for fNIRS Hyperscanning to Predict Brain Activity of Preschoolers' Using Teacher's. FRONTIERS IN HUMAN NEUROSCIENCE, v. 15, . (18/21934-5, 18/04654-9)
DA FONSECA, EDER LUCIO; ALENCAR, AIRLANE PEREIRA; MORETTIN, PEDRO ALBERTO. Time-varying cointegration model using wavelets. Statistics & Probability Letters, v. 145, p. 260-267, . (18/04654-9)
CHAIM, PEDRO; LAURINI, MARCIO P.. Is Bitcoin a bubble?. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v. 517, p. 222-232, . (18/04654-9)
LAURINI, M. P.. A spatio-temporal approach to estimate patterns of climate change. ENVIRONMETRICS, v. 30, n. 1, . (18/04654-9)
VALENTE, FERNANDA; LAURINI, MARCIO. Spatio-temporal analysis of fire occurrence in Australia. STOCHASTIC ENVIRONMENTAL RESEARCH AND RISK ASSESSMENT, . (18/04654-9)
ZEVALLOS, MAURICIO. A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns. REVISTA ECONOMIA, v. 42, n. 84, p. 94-101, . (18/04654-9)
AMBRIOLA OKU, AMANDA YUMI; ZIMEO MORAIS, GUILHERME AUGUSTO; ARANTES BUENO, ANA PAULA; FUJITA, ANDRE; SATO, JOAO RICARDO. Potential Confounders in the Analysis of Brazilian Adolescent's Health: A Combination of Machine Learning and Graph Theory. INTERNATIONAL JOURNAL OF ENVIRONMENTAL RESEARCH AND PUBLIC HEALTH, v. 17, n. 1, . (19/17907-5, 18/21934-5, 16/19376-9, 18/04654-9)
TRUCIOS, CARLOS; MAZZEU, JOAO H. G.; HOTTA, LUIZ K.; VALLS PEREIRA, PEDRO L.; HALLIN, MARC. Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting. INTERNATIONAL JOURNAL OF FORECASTING, v. 37, n. 4, p. 1520-1534, . (16/18599-4, 18/03012-3, 18/04654-9)
VALENTE, FERNANDA; LAURINI, MARCIO P.. Robust trend estimation for COVID-19 in Brazil. SPATIAL AND SPATIO-TEMPORAL EPIDEMIOLOGY, v. 39, . (18/04654-9)
SATO, JOAO RICARDO; BIAZOLI JUNIOR, CLAUDINEI EDUARDO; MEDEIROS DE ARAUJO, ELIDIANNE LAYANNE; RODRIGUES, JULIA DE SOUZA; ANDRADE, SUELLEN MARINHO. A guide for the use of fNIRS in microcephaly associated to congenital Zika virus infection. SCIENTIFIC REPORTS, v. 11, n. 1, . (18/04654-9, 18/21934-5, 20/13425-3)
TRUCIOS, CARLOS; MAZZEU, JOAO H. G.; HALLIN, MARC; HOTTA, LUIZ K.; VALLS PEREIRA, PEDRO L.; ZEVALLOS, MAURICIO. Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, . (18/04654-9, 16/18599-4, 18/03012-3)
MOURA, RODOLFO C.; LAURINI, MARCIO P.. Spillovers and jumps in global markets: A comparative analysis. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, v. 26, n. 4, p. 5997-6013, . (18/04654-9)
HOKAMA, JULIO; MORETTIN, PEDRO; BOLFARINE, HELENO; GALEA, MANUEL. Inference in a linear functional relationship with replications. BRAZILIAN JOURNAL OF PROBABILITY AND STATISTICS, v. 35, n. 3, p. 569-589, . (18/04654-9)
VALENTE, FERNANDA; LAURINI, MARCIO POLETTI. Estimating spatiotemporal patterns of deaths by COVID-19 outbreak on a global scale. BMJ OPEN, v. 11, n. 8, . (18/04654-9)
PINAYA, WALTER H. L.; SCARPAZZA, CRISTINA; GARCIA-DIAS, RAFAEL; VIEIRA, SANDRA; BAECKER, LEA; DA COSTA, PEDRO F.; REDOLFI, ALBERTO; FRISONI, GIOVANNI B.; PIEVANI, MICHELA; CALHOUN, VINCE D.; et al. sing normative modelling to detect disease progression in mild cognitive impairment and Alzheimer's disease in a cross-sectional multi-cohort stud. SCIENTIFIC REPORTS, v. 11, n. 1, . (18/21934-5, 18/04654-9)
MOURA, RODOLFO C.; LAURINI, MARCIO P.. Spillovers and jumps in global markets: A comparative analysis. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, . (18/04654-9)

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