Copulas in econometrics

Y Fan, AJ Patton - Annu. Rev. Econ., 2014 - annualreviews.org
Copulas are functions that describe the dependence between two or more random
variables. This article provides a brief review of copula theory and two areas of economics in …

[图书][B] Dependence modeling with copulas

H Joe - 2014 - books.google.com
Dependence Modeling with Copulas covers the substantial advances that have taken place
in the field during the last 15 years, including vine copula modeling of high-dimensional …

[引用][C] Econometric analysis of count data

R Winkelmann - 2008 - books.google.com
The “count data”? eld has further? ourished since the previous edition of this book was
published in 2003. The development of new methods has not slowed down by any means …

Copula modeling: an introduction for practitioners

PK Trivedi, DM Zimmer - Foundations and Trends® in …, 2007 - nowpublishers.com
This article explores the copula approach for econometric modeling of joint parametric
distributions. Although theoretical foundations of copulas are complex, this paper …

Copula-based regression models: A survey

N Kolev, D Paiva - Journal of statistical planning and inference, 2009 - Elsevier
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A copula-based approach to accommodate residential self-selection effects in travel behavior modeling

CR Bhat, N Eluru - Transportation Research Part B: Methodological, 2009 - Elsevier
The dominant approach in the literature to dealing with sample selection is to assume a
bivariate normality assumption directly on the error terms, or on transformed error terms, in …

Modeling customer opt-in and opt-out in a permission-based marketing context

V Kumar, X Zhang, A Luo - Journal of Marketing Research, 2014 - journals.sagepub.com
The rise of new media is helping marketers evolve from digital to interactive marketing,
which facilitates a two-way communication between marketers and customers without …

Copula‐based regression models for a bivariate mixed discrete and continuous outcome

AR de Leon, B Wu - Statistics in Medicine, 2011 - Wiley Online Library
This paper is concerned with regression models for correlated mixed discrete and
continuous outcomes constructed using copulas. Our approach entails specifying marginal …

How individual characteristics affect university students drop-out: a semiparametric mixed-effects model for an Italian case study

F Belloc, A Maruotti, L Petrella - Journal of applied Statistics, 2011 - Taylor & Francis
University drop-out is a topic of increasing concern in Italy as well as in other countries. In
empirical analysis, university drop-out is generally measured by means of a binary variable …

Model-based clustering using copulas with applications

I Kosmidis, D Karlis - Statistics and computing, 2016 - Springer
The majority of model-based clustering techniques is based on multivariate normal models
and their variants. In this paper copulas are used for the construction of flexible families of …