Please use this identifier to cite or link to this item:
https://hdl.handle.net/10216/86116
Author(s): | Leite, A Maria Eduarda Silva Rocha, AP |
Title: | Modeling volatility in heat rate variability |
Issue Date: | 2016 |
Abstract: | Modeling Heart Rate Variability (HRV) data has become important for clinical applications and as a research tool. These data exhibit long memory and time-varying conditional variance (volatility). In HRV, volatility is traditionally estimated by recursive least squares combined with short memory AutoRegressive (AR) models. This work considers a parametric approach based on long memory Fractionally Integrated AutoRegressive Moving Average (ARFIMA) models with heteroscedastic errors. To model the heteroscedasticity nonlinear Generalized Autoregressive Conditionally Heteroscedastic (GARCH) and Exponential Generalized Autoregressive Conditionally Heteroscedastic (EGARCH) models are considered. The latter are necessary to model empirical characteristics of conditional volatility such as clustering and asymmetry in the response, usually called leverage in time series literature. The ARFIMA-EGARCH models are used to capture and remove long memory and characterize conditional volatility in 24 hour HRV recordings from the Noltisalis database. © 2016 IEEE. |
URI: | https://repositorio-aberto.up.pt/handle/10216/86116 |
Source: | 38th Annual International Conference of the IEEE Engineering in Medicine and Biology Society, EMBC 2016, Orlando, FL, USA, August 16-20, 2016 |
Document Type: | Artigo em Livro de Atas de Conferência Internacional |
Rights: | openAccess |
License: | https://creativecommons.org/licenses/by-nc/4.0/ |
Appears in Collections: | FCUP - Artigo em Livro de Atas de Conferência Internacional FEP - Artigo em Livro de Atas de Conferência Internacional |
Files in This Item:
File | Description | Size | Format | |
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157744.pdf | EMBC16_submission1972_ALeite_MESilva_APRocha_FinalVersion | 418.46 kB | Adobe PDF | View/Open |
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