Um modelo dinâmico para séries temporais contínuas com massa em zero

Abstract

We present in this dissertation a model for continuous time series in which the observed values are nonnegative but have a proportion of zeros (mass in zero). The model is based on the theory of Dynamic Linear Model (DLM) and Dynamic Generalized Linear Model (DGLM) Which allows us to make inferences of the parameters in a recursive way through the Kalman filter. To evaluate the proposed model was developed a simulation study and applications in time series of pluviometric precipitation.