Abstract
A new flexible way of modeling the dependence between the components of non-normal multivariate longitudinal-data is proposed by using
the copula approach. The presence of longitudinal data is increasing in the scientific areas where several variables are measured over a sample
of statistical units at different times, showing two types of dependence: between variables and across time. In order to account both type of
dependence the proposed model considers two levels of analysis. First given a specific time, we model the relations of variables using copula. The
use of the copula allows us to relax the assumption of normality. In the second level, each longitudinal series, corresponding to a given response
over time, is modelled separately using a pair copula decomposition to relate the distributions of the variables describing the observation taken in
different times. The use of the pair copula decomposition allows us to overcome the problem of the multivariate copulae used in the literature which
suffer from rather inflexible structures in high dimension. The result is a new extreme flexible multivariate longitudinal model, which overcomes
the problem of modelling simultaneous dependence between two or more non-normal time-series.
Lingua originale | English |
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Titolo della pubblicazione ospite | Book of Abstracts CFE 2014 8th International Conference on Computational anf Financial Econometrics, ERCIM 2014 tth International Conference of the ERCIM Working Grup on Computational and Methodological Statistics |
Pagine | 177 |
Numero di pagine | 1 |
Stato di pubblicazione | Pubblicato - 2014 |
Evento | 8th International Conference on
Computational and Financial Econometrics (CFE 2014)
and
7th International Conference of the
ERCIM (European Research Consortium for Informatics and Mathematics) Working Group on
Computational and Methodological Statistics (ERCIM 2014) - Pisa Durata: 6 dic 2014 → 9 dic 2014 |
Convegno
Convegno | 8th International Conference on Computational and Financial Econometrics (CFE 2014) and 7th International Conference of the ERCIM (European Research Consortium for Informatics and Mathematics) Working Group on Computational and Methodological Statistics (ERCIM 2014) |
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Città | Pisa |
Periodo | 6/12/14 → 9/12/14 |
Keywords
- D-vine
- longitudinal model
- multivariate distribution
- pair copula construction