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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Smith, M.; Min, A.; Almeida,C.; Czado,C. 
Nicht-TUM Koautoren:
ja 
Kooperation:
Titel:
Modelling Longitudinal Data using a Pair-Copula Decomposition of Serial Dependence 
Abstract:
Copulas have proven to be very successful tools for the flexible modelling of cross-sectional dependence. In this paper we express the dependence structure of continuous time series data using a sequence of bivariate copulas. This corresponds to a type of decomposition recently called a ‘vine’ in the graphical models literature, where each copula is entitled a ‘pair-copula’. We propose a Bayesian approach for the estimation of this dependence structure for longitudinal data. Bayesian selection i...    »
 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Journal of the American Statistical Association 
Jahr:
2010 
Band / Volume:
105 
Heft / Issue:
492 
Seitenangaben Beitrag:
1467-1479 
Reviewed:
ja 
Sprache:
en 
Status:
Erstveröffentlichung 
Semester:
SS 02 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein