Title:

Modeling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence

Authors:

Michael Smith (U Melbourne)
Aleksey Min (Zentrum Mathematik, U Technology, Munich)
Carlos Almeida (Zentrum Mathematik, U Technology, Munich)
Claudia Czado (Zentrum Mathematik, U Technology, Munich)

Journal:

Journal of the American Statistical Association

Year:

2010

Volume:

105

Pages:

1467-1479

JEL codes:

C32 - Time-Series Models
L94 - Electric Utilities