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Document type:
Zeitschriftenaufsatz 
Author(s):
Smith, M., Min, A., Almeida,C. and Czado,C. 
Title:
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 s...    »
 
Keywords:
Longitudinal Copulas; Covariance Selection; Inhomogeneous Markov Process; Dvine; Bayesian Model Selection; Antedependent Model; Intraday Electricity Load 
Journal title:
Journal of the American Statistical Association 
Year:
2010 
Journal volume:
105 
Year / month:
2010-06 
Journal issue:
492 
Pages contribution:
1467-1479 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
Semester:
SS 09 
Format:
Text