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Title:

Modelling longitudinal data using a pair-copula decomposition of serial dependence.

Document type:
Zeitschriftenaufsatz
Author(s):
Smith, M., Min, A., Almeida,C. and Czado,C.
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 select...     »
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
Fulltext / DOI:
doi:10.1198/jasa.2010.tm09572
WWW:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1647530
Status:
Verlagsversion / published
Semester:
SS 09
Format:
Text
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