Recent Papers and Technical Reports


·         Latif, S.A. and Morettin, P.A. (2014). Estimation of a Spearman-type Multivariate Measure of Local Dependence.  To appear, International Journal of Statistics and Probability.

·         Latif, S.A. and Morettin, P.A. (2013). Estimation of a Correlation Measure for Independent Samples and Time Series Data.  Sankhya, Series B, Vol 2013, 1-23.

·         Alencar, A.P., Morettin, P.A. and Toloi, C.M.C. (2013). State Space Switching Models via Wavelets.  Studies in Nonlinear Dynamics and Econometrics, Vol 13, 1-18.

·         Salcedo,G., Porto, R. and Morettin, P.A. (2012). Comparing Nonstationary and Irregularly Spaced Time Series.  Computational Statistics and Data Analysis, Vol 56, 3921-3934.

·         Latif, S.A. and Morettin, P.A. (2012). Estimation of a Spearman-type Measure of Local Dependence. International Journal of Statistics and Economics, Vol. 8, 43-69.

·         Porto, R.F., Morettin, P.A. and Aubin, E.C.Q. (2012). Regression with Autocorrelated Errors  Using Design-adapted Haar Wavelets.  Journal of Time Series Econometrics, Vol. 4, Issue 1, Article 4.

·         Moura, M.S.A., Morettin, P.A.,  Toloi, C.M.C. and Chiann, C. (2012). Time-varying Transfer Function Models. [pdf]  Journal of Probability and Statistics, Volume 2012(2012), Article ID451076, 31 pages.

·         Sáfadi, T. and Morettin, P.A. (2012). A wavelet analysis to compare environmental time series.  Advances and Applications of Statistics, Vol. 26, 79-96.

·         Safadi,T., Alencar, A.P and Morettin, P.A (2011). The dynamic factor model: an application to stock market indexes  International Journal of Statistics & Economics, Vol 7, 127-141.

·         Latif, S.A. and Morettin, P.A. (2011). Nonparametric Estimation of Sibuya’s Measure of Local Dependence for Time Series.  Advances and Applications of Statistics, Vol 23, 1-27.

·         J.C.S. de Miranda and P.A. Morettin (2011). Estimation of the Intensity of Non-homogeneous Point Processes via Wavelets. [pdf]    Annals of the Institute of Statistical Mathematics, Vol. 63, 1221-1246.

·         Salcedo, G., Morettin, P.A. and Toloi, C.M.C. (2011). Stochastic Discrete Autoregressive Dynamical Systems with Heteroskedasticity.  Differential Equations and Dynamical Systems, Vol. 19, 211-236.

·         P.A. Morettin, C.M.C. Toloi, C. Chiann and J.C.S. de Miranda (2011). Wavelet Estimation of Copulas for Time series. [pdf] <  Journal of Time Series Econometrics, Vol. 3, Issue 3, Article 4, pp 1-29.

·         Bortoluzzo, A.B., Morettin, P.A. and Toloi, C.M.C. (2010). Time-varying Autoregressive Conditional Duration Models. [pdf] Journal of Applied Statistics, Vol. 37, 847-864.

·         Lagos, B., Morettin, P.A. and Barroso, L.P. (2010). Some Corrections of the Score Test Statistic for Gaussian ARMA Models.  Brazilian Journal of Probability and Statistics, Vol 24, 434-456.

·         P.A. Morettin, C.M.C. Toloi, C. Chiann and J.C.S. de Miranda (2010). Wavelet Smoothed Empirical Copula Estimators. [pdf] Brazilian Review of Finance, Vol. 8, 263-281.

·         Taddeo, M.M. and Morettin, P.A. (2010). The Analysis of Single-Index Models with Scale Mixture of Normal Errors by Using Bayesian P-Splines. Submitted.

·         Sato, JR, Takahashi, DY, Arcuri, SM, Sameshima, K, Morettin, PA, Baccala, LA. (2009). Frequency Domain Connectivity Identification: An Application of Partial Directed Coherence in fMRI. Human Brain Mapping, Vol. 30, 452-461.

·         Alencar, A.P., Morettin, P.A., Toloi, C.M.C. and Zandonade, E. (2009). Wavelet Estimation of State Space Models.  Current Development in Theory and Applications of Wavelets, Vol. 3, 1-30.

·         Latif, S.A. and Morettin, P.A. (2009). Sibuya’s Measure of Local Dependence. [pdf] Estadistica, Vol. 61, 121-147..

·         De Melo Ferraz, J.E. and Morettin, P.A. (2008). Estimation  of Stochastic Conditional Duration Models Using the Empirical Characteristic Function. Preprint..

·         R.D. Porto, P.A. Morettin , D.B. Percival and E.Q. Aubin (2009). Wavelet Shrinkage for Regression Models with Random Design and Correlated Errors. [pdf]   Submitted. ..

·         J.R. Sato, S. Costafreda, P.A. Morettin and M.J. Brammer(2008). Measuring Time Series Predictability Using Support Vector Regression.  Communications in Statistics-Simulation and Computation, Vol. 37,  1183-1197.

·         J.R. Sato, J. Mourão-Miranda, M.G. Martin, E.Amaro Jr, P.A. Morettin and M.J. Brammer (2008). The Impact of Functional Connectivity Changes on Support Vector Machines Mapping of fMRI Data. Journal of Neuroscience Methods, Vol. 172, 94-104.

·         J.R. Sato, C. Chiann, E. Taniguchi, E. G. dos Santos, P.R. Arantes, M.L. Mourao, E. Amaro Jr and P.A. Morettin (2008). Identifying multi-subject cortical activation in fMRI: a frequency domain approach. [ps]  Journal of Data Science, Vol. 6, 89-103.

·         Salcedo, G., Sato, R., Morettin, P., Toloi, C. (2008). Comparing Time-varying Autoregressive Structures of Locally Stationary Processes. [pdf]   International Journal of Wavelets, Multiresolution and Information Processing, Vol. 6, 1-23.

·         R.D. Porto, P.A. Morettin and E.Q. Aubin (2008). Wavelet Regression with Correlated Errors on a Piecewise Holder Class.  Statistics and Probability Letters, Vol. 78, 2739-2743.

·         Fujita, A, Sato, JR, Garay-Malpartida, HM, Morettin, PA, Sogayar, MC and Ferreira, CE. (2007). Time-varying Modelling of Gene Expression Regulatory Networks Using the Wavelet Dynamic Vector Autoregressive Method. Bioinformatics, Vol. 23, 1623-1630.

·         Sato, JR, Fujita, A, Amaro Jr, E, Mourao-Miranda, J, Morettin, PA and Brammer, MJ. (2007). DWT-CEM: An Algorithm for Scale-Temporal Clustering in fMRI. Biological Cybernetics, Vol. 97, 33-45.

·         Porto, R.F., Sato, J.R., Aubin, E.C. and Morettin, P.A. (2007). Wavelet Smoothing for Data with Autocorrelated Errors. [pdf] Current Development in Theory and Applications of Wavelets, Vol. 1, 143-164.

·         Sato, J.R., Morettin, P.A., Arantes, P.R. and Amaro Jr, E. (2007). Wavelet Based Time-varying Vector Autoregressive Models. [pdf]Computational Statistics and Data Analysis, Vol. 51, 5847-5866.

·         Morettin, P.A. and Chiann, C. (2007). Estimation of Functional-Coefficient Autoregressive Models by Wavelet Methods.  Current Developments in Theory and Applications of Wavelets, Vol. 1, 309-340. .

·         J.R. Sato, D. Takahashi, E. F. Cardoso, E.Amaro Jr. and P.A. Morettin (2006). Intervention Models in Functional Connectivity Identification Applied to FMRI. [pdf]International Journal of Biomedical Imaging, Vol. 2006, 1-7.

·         J.R. Sato, M.M. Felix, E.Amaro Jr., D.Takahashi, M.J. Brammer and P.A. Morettin (2006). A Method to Produce Evolving Functional Connectivity Maps During the Course of an fMRI Experiment Using Wavelet-based Time-Varying Granger Causality. [pdf]NeuroImage, Vol. 31, 187-196.

·         Chiann, C. and Morettin, P.A. (2005). Time Domain Nonlinear Estimation of Time Varying Linear Systems. Journal of Nonparametric Statistics, Vol. 17, 365-383.

·         Arino, M., Morettin, P.A. and Vidakovic, B. (2004).Wavelet Scalograms and Their Applications in Economic Time Series. [pdf]Brazilian Journal of Probability and Statistics, Vol. 18, 37-51.

·         Lagos, B. and Morettin, P.A. (2004) " Improvement of The Likelihood Ratio Test Statistic in ARMA Models". [pdf]Journal of Time Series Analysis, Volume 25, 83-101.

·         Zandonade, E. and Morettin, P.A. (2003). Wavelets in State Space Models. Applied Stochastic Models in Business and Industry, Vol. 19, 199-219. [pdf]

·         Safadi, T. and Morettin, P.A. (2003). A Bayesian Analysis of Autoregressive Models with Random Normal Coefficients. [ps] Journal of Statistical Computation and Simulation, Vol. 73, 563-574.

·         Safadi, T. and Morettin, P.A. (2001) Bayesian analysis of the open loop threshold autoregressive model. [ps] Brazilian Journal of Statistics, Vol. 62, 91-105.

·         Brillinger, D.R., Chiann, C., Irizarry, R.A. and Morettin, P.A. (2001). Automatic Methods for Generating Seismic Intensity Maps. [ps] Journal of Applied Probability, Volume 38A, 189-202, Special Issue on Probability, Statistics and Seismology: A festschrift for David Vere-Jones.

·         Mentz, R.P., Morettin, P.A. and Toloi, C.M.C. (2001). Bias Correction for Estimators of the Residual Variance in the ARMA(1,1) Model.[ps] Estadistica, Vol. 53, 1-40.

·         Brillinger, D.R., Chiann, C., Irizarry, R. and Morettin, P.A. (2000). Some Wavelet-Based Analyses of Markov Data[ps] . Signal Processing, Vol. 80, 1607-1627.

·         Safadi, T. and Morettin, P.A. (2000). A Bayesian Analysis of the Threshold ARMA Model. [ps] Sankhya, Series B, Volume 62, Pt. 3, 353-371.

·         Chiann, C. and Morettin, P.A. (1999). Estimation of time-varying linear systems. [ps] . Statistical Inference for Stochastic Processes, Vol. 2, 253-285.

·         Mentz, R.P., Morettin, P.A. and Toloi, C.M.C. (1999). On Least squares Estimation of the Residual Variance in the First Order Moving Average Model. Computational Statistics and Data Analysis, 29, 485-499.

·         Mentz, R.P., Morettin, P.A. and Toloi, C.M.C. (1998). <On Residual Variance Estimation in Autoregressive Models. [ps] Journal of Time Series Analysis, 19(2), 187-208.

·         Safadi, T. and Morettin, P.A. (1998). A Bayesian Analysis of Asymmetric Time Series. [ps] Brazilian Journal of Probability and Statistics, Vol. 12, 1-15.

·         Chiann, C. and Morettin, P.A. (1998). A Wavelet Analysis for Time Series. J. Nonparametric Statistics, Vol. 10, 1-46.

·         Mentz, R.P., Morettin, P.A. and Toloi, C.M.C. (1997). Residual Variance Estimation in Moving Average Models. Communications in Statistics-Theory and Methods, 26(8), 1905-1923.

·         Morettin, P.A. (1997). Wavelets in Statistics". [ps]   São Paulo Journal of Mathematical Sciences, Vol. 3, 211-272, 1997.

·         Morettin, P.A. (1996). From Fourier to Wavelet Analysis of Time Series. Proceedings in Computational Statistics (A.Prat, editor), Physica-Verlag, 111-122.


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