Modeling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence
Authors:
- Michael SmithMSMichael Smith
- Aleksey MinAMAleksey Min
- Carlos AlmeidaCACarlos Almeida
- Claudia CzadoCCClaudia Czado
- 1 December 2010
- journal article
- Published by Taylor & Francis in Journal of the American Statistical Association
- Vol. 105 (492) , 1467-1479
Abstract
Copulas have proven to be very successful tools for the flexible modeling of cross-sectional dependence. In this paper we express the dependence structure of continuous-valued time series data usin...Keywords
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