CEMAT - Member

Members > Collaborators

Marta Ferreira

Institutional Address

Universidade do MInho
Escola de Ciências
Campus de Gualtar
4710-057 BRAGA

Phone: 253604352 | Email: msferreira@math.uminho.pt

Position

Assistant Professor, Universidade do Minho

Area

Statistics and Stochastic Processes

Principal Area

Extreme values theory

Qualifications

B.Sc., in Mathematics (Education) in University of Minho, 2000.

M. Sc. In Probability and Statistics in Faculty of Sciences in University of Lisbon, 2003.

PhD in Statistics and Operation Research (Probability and Statistics) in Faculty of Sciences in University of Lisbon, 2008.

Papers in International Journals

Ferreira, Helena; Ferreira, Marta (2022) The stopped clock model . Dependence Modeling: 10(1), 48-57.

Martins, A.P.; Ferreira, Helena; Ferreira, Marta (2022) A new random field on lattices . Statistics & Probability Letters: 186, 109478.

Ferreira, Helena; Ferreira, Marta (2021) Tail dependence and smoothness of time series . TEST: 30, 198–210.

Ferreira, Helena; Ferreira, Marta (2020) Dissecting the multivariate extremal index and tail dependence . RevStat: 18(4), 501-520.

Ferreira, Helena; Ferreira, Marta (2020) Multivariate medial correlation with applications . Depend. Model.: 8, 361–372.

Ferreira, Marta; Ferreira, Helena (2020) Tail Dependence Under Sample Failures . Theory Probab. Appl.: 64(4), 636-645.

Ferreira, Helena; Ferreira, Marta (2019) Asymptotic dependence of bivariate maxima . Communications in Statistics - Theory and Methods: 48(13), 3269-3279.

Leiva, V.; Lillo, C.; Gomes, M.I.; Ferreira, Marta (2019) Discussion of Birnbaum-Saunders distribution: A review of models, analysis, and applications and a novel financial extreme value data analytics from natural disasters . Applied Stochastic Models in Business and Industry: 35, 90-95.

Ferreira, Helena; Ferreira, Marta (2018) Estimating the extremal index through local dependence . Annales de l’Institut Henri Poincaré - Probabilités et Statistiques: 54(2), 587–605.

Ferreira, Marta (2018) Analysis of estimation methods for the extremal index . Electronic Journal of Applied Statistical Analysis: 11(1), 296-306.

Ferreira, Helena; Ferreira, Marta (2018) Multidimensional extremal dependence coefficients . Statistics & Probability Letters: 133, 1-8.

Ferreira, Marta (2018) Heuristic tools for the estimation of the extremal index: a comparison of methods . RevStat., (in press).

Ferreira, Marta (2016) A study of the jackknife method in the estimation of the extremal index . South African Statistical Journal: 50(2), 173-193.

Leiva, V.; Ferreira, Marta; Gomes, M.I.; Lillo, C. (2016) Extreme value Birnbaum–Saunders regression models applied to environmental data . Stochastic Environmental Research and Risk Assessment: 30(3), 1045-1058.

Ferreira, Marta (2016) Estimating the coefficient of asymptotic tail independence: a comparison of methods . in Methodology and Statistics: 13(2), 101-116.

Ferreira, Marta (2016) Estimating multivariate extremal dependence: a new proposal . Theory of Probability and Mathematical Statistics: 93, 169-175.

Ferreira, Helena; Ferreira, Marta (2015) Extremes of scale mixtures of multivariate time series . Journal of Multivariate Analysis: 137, 82–99.

Ferreira, Marta (2015) Estimating the extremal index through the tail dependence concept . Discussiones Mathematicae Probability and Statistics: 35(1-2), 61–74.

Ferreira, Helena; Ferreira, Marta (2014) Extremal behavior of pMAX processes . Statistics & Probability Letters: 93, 46-57.

Ferreira, Marta; Silva, Sérgio (2014) An analysis of a heuristic procedure to evaluate tail (in)dependence . Journal of Probability and Statistics: 2014, Article ID 913621.

Ferreira, Marta (2013) A study of exponential-type tails applied to Birnbaum-Saunders models . Chilean Statistical Society: 4(1), 91-101.

Ferreira, Marta (2013) Extremal (in)dependence of a maximum autoregressive process . Discussiones Mathematicae. Probability and Statistics: 33(1-2), 47-64.

Ferreira, Marta (2013) Nonparametric estimation of the tail-dependence coefficient . REVSTAT – Statistical Journal: 11(1), 1-16.

Ferreira, Marta (2013) On the tail index estimation of an autoregressive pareto process . Discussiones Mathematicae. Probability and Statistics: 33(1-2), 65-78.

Ferreira, Marta; Ferreira, Helena (2013) Extremes of multivariate ARMAX processes . TEST: 22(4), 606-627.

Ferreira, Marta (2012) On the extremal behavior of a pareto process: an alternative for armax modeling . Kybernetika: 48(1), 31-49.

Ferreira, Marta; Ferreira, Helena (2012) On extremal dependence: some contributions . TEST: 21(3), 566-583.

Gomes, M.I. ; Ferreira, Marta; Leiva, V. (2012) The Extreme Value Birnbaum-Saunders Model, its Moments and an Application in Biometry . Biometrical Letters: 49(2), 81-94.

Ferreira, Helena; Ferreira, Marta (2012) On extremal dependence of block vectors . Kybernetika: 48(5), 988-1006.

Ferreira, Helena; Ferreira, Marta (2012) Fragility Index of block tailed vectors . Journal of Statistical Planning and Inference: 142(7), 1837-1848.

Ferreira, Helena; Ferreira, Marta (2012) Tail dependence between order statistics . Journal of Multivariate Analysis: 105(1), 176-192.

Ferreira, Marta (2012) Parameter estimation and dependence characterization of the MAR(1) process . ProbStat Forum: 5(12), 107-111.

Ferreira, Marta; Gomes, M. Ivette; Leiva, V. (2012) On an extreme value version of the Birnbaum-Saunders distribution . REVSTAT – Statistical Journal: 10(2), 181-210.

Ferreira, Marta (2011) On tail dependence: a characterization for first-order max-autoregressive processes . Mathematical Notes: 90(5-6), 103–114.

Ferreira, Marta (2010) Estimation of the parameter of a pARMAX model . REVSTAT – Statistical Journal: 8(2), 139–149.

Ferreira, Marta; Canto e Castro, L. (2010) Modeling rare events through a pRARMAX process . Journal of Statistical Planning and Inference: 140(11), 3552-3566.

Ferreira, Marta; Canto e Castro, L. (2010) Asymptotic and Pre-Asymptotic Tail Behavior of a Power Max-Autoregressive Model . ProbStat Forum: 3(8), 91-107.

Ferreira, Marta; Canto e Castro, Luísa (2008) Tail and dependence behaviour of levels that persist for a fixed period of time . Extremes: 11(2), 113-133.

Papers or Chapters in Edited Books

Ferreira, Marta (2014) Tail Dependence of a Pareto Process . New Advances in Statistical Modeling and Applications, Studies in Theoretical and Applied Statistics, Springer International Publishing, 177-185.

Ferreira, Marta (2013) Contribuições adicionais para a estimação do índice extremal . Atas do XX Congresso Anual da Sociedade Portuguesa de Estatística: Estatística: novos desenvolvimentos e inspirações, Edições S.P.E., 123-135.

Ferreira, Marta; Canto e Castro, L. (2009) Um método de ajustamento do modelo pRARMAX . Atas do XVI Congresso Anual da Sociedade Portuguesa de Estatística, Estatística: arte de explicar o acaso, Edições S.P.E., 255-266.

Ferreira, Marta; Canto e Castro, L. (2008) Distribuição estacionária e comportamento extremal de um processo RARMAXp . Atas do XV Congresso Anual da Sociedade Portuguesa de Estatística, Estatística: da teoria à prática, Edições S.P.E., 203-214.

Ferreira, Marta; e Canto e Castro, L. (2007) Comportamento extremal de um modelo max-autorregressivo e dos respectivos níveis que persistem durante um período de tempo fixo . Atas do XIV Congresso Anual da Sociedade Portuguesa de Estatística, Estatística: Ciência Interdisciplinar Edições S.P.E., 369-380.

Ferreira, Marta; Canto e Castro, L. (2006) Contributos para o estudo da ocorrência prolongada no tempo de níveis extremos . Atas do XIII Congresso Anual de Estatística, Ciência Estatística, Edições S.P.E., 365-376.

Communications in Conference Proceedings

Ferreira, Marta; Rebelo, M. (2015) On the Hill estimator: a comparison of methods . Procs. of the XII Congress Galego of Statistics and Operational Research, 350-355.

Ferreira, Marta (2014) A heuristic procedure to estimate the tail index . Proceedings of the International Conference on Computational Science and Its Applications (ICCSA).

Ferreira, Marta; Canto e Castro, L. (2010) A Method For FittingA pRARMAX Model: An Application To Financial Data . Proceedings of the World Congress on Engineering (WCE 2010), June 30 - July 2, 2010, London, U.K.: Vol III, 2022-2026.

Ferreira, Marta; Canto e Castro, L. (2007) Stationarity and extremal behavior of the max-autoregressive ARMAXp and RARMAXp processes . Proceedings of the 56th Session of the ISI, Lisboa, 3586-3589.

Ferreira, Marta; Canto e Castro, L. (2007) Asymptotic and pre-asymptotic tail behavior of a power max-autoregressive model . Proceedings of the 15th European Young Statisticians Meeting-EYSM, Castro Urdiales, Spain.

Thesis

Ferreira, Marta (2008) Extremos em Séries Temporais Max-Autorregressivas . Tese de Doutoramento, FCUL.

Ferreira, Marta (2003) Aproximação da Função Quantil de Cauda Empírica . Tese de Mestrado, FCUL.

CEMAT - Center for Computational and Stochastic Mathematics

Instituto Superior Têcnico
Faculdade de Ciências
Universidade de Lisboa