Modeling volatility in heat rate variability

• Tipo: Artigo em Livro de Atas de Conferência Internacional
• Data: 2016

Autores

Leite, A (Autor) Outra; Maria Eduarda Silva (Autor) FEP; Rocha, AP (Autor) FCUP

Ata de Conferência Internacional

Título: 38th Annual International Conference of the IEEE Engineering in Medicine and Biology Society, EMBC 2016, Orlando, FL, USA, August 16-20, 2016

Páginas: 3582-3585

Indexação

ISI Web of Knowledge - 4 Citações

Scopus - 5 Citações

Outras Informações

ID Authenticus: P-00M-4P9

DOI: 10.1109/EMBC.2016.7591502

Abstract (EN): 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.

Idioma: Inglês

Tipo (Avaliação Docente): Científica