A flexible class of parametric transition regression models based on copulas: application to poliomyelitis incidence.
نویسندگان
چکیده
This paper presents an extension of a general parametric class of transitional models of order p. In these models, the conditional distribution of the current observation, given the present and past history, is a mixture of conditional distributions, each of them corresponding to the current observation, given each one of the p-lagged observations. Such conditional distributions are constructed using bivariate copula models which allow for a rich range of dependence suitable to model non-Gaussian time series. Fixed and time varying covariates can be included in the models. These models have the advantage of straightforward construction and estimation for the analysis of time series and more general longitudinal data. A poliomyelitis incidence data set is used to illustrate the proposed methods, contrary to other researches' conclusions whose methods are mainly based on linear models, we find significant evidence of a decreasing trend in polio infection after accounting for seasonality.
منابع مشابه
A goodness-of-fit test for multivariate multiparameter copulas based on multiplier central limit theorems
Recent large scale simulations indicate that a powerful goodness-of-fit test for copulas can be obtained from the process comparing the empirical copula with a parametric estimate of the copula derived under the null hypothesis. A first way to compute approximate p-values for statistics derived from this process consists of using the parametric bootstrap procedure recently thoroughly revisited ...
متن کاملDifferenced-Based Double Shrinking in Partial Linear Models
Partial linear model is very flexible when the relation between the covariates and responses, either parametric and nonparametric. However, estimation of the regression coefficients is challenging since one must also estimate the nonparametric component simultaneously. As a remedy, the differencing approach, to eliminate the nonparametric component and estimate the regression coefficients, can ...
متن کاملAnalysis of Dependency Structure of Default Processes Based on Bayesian Copula
One of the main problems in credit risk management is the correlated default. In large portfolios, computing the default dependencies among issuers is an essential part in quantifying the portfolio's credit. The most important problems related to credit risk management are understanding the complex dependence structure of the associated variables and lacking the data. This paper aims at introdu...
متن کاملOn Trivariate Copulas with Bivariate Linear Spearman Marginal Copulas
Based on the trivariate reduction technique two different trivariate Bernoulli mixtures of univariate uniform distributions and their associated trivariate copulas with bivariate linear Spearman marginal copulas are considered. Mathematical characterizations of these Bernoulli mixture models are obtained. Since Bernoulli mixture trivariate reduction copulas are not compatible with all valid gra...
متن کاملGeneralized Ridge Regression Estimator in Semiparametric Regression Models
In the context of ridge regression, the estimation of ridge (shrinkage) parameter plays an important role in analyzing data. Many efforts have been put to develop skills and methods of computing shrinkage estimators for different full-parametric ridge regression approaches, using eigenvalues. However, the estimation of shrinkage parameter is neglected for semiparametric regression models. The m...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
- Statistical methods in medical research
دوره 15 6 شماره
صفحات -
تاریخ انتشار 2006