Modeling longitudinal data using a pair-copula decomposition of serial dependence

Journal of the American Statistical Association

Volumn 105, Issue 492, 2010, Pages 1467-1479

  Smith, Michael ^a   Min, Aleksey ^b   Almeida, Carlos ^b   Czado, Claudia ^b  

^a UNIVERSITY OF MELBOURNE   (Australia)

^b TECHNICAL UNIVERSITY OF MUNICH   (Germany)

Author keywords

Bayesian model selection; Copula diagnostic; Covariance selection; D vine; Goodness of fit; Inhomogeneous Markov process; Intraday electricity load; Longitudinal copulas

Indexed keywords

EID: 78651271358     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/jasa.2010.tm09572     Document Type: Article

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