Estimation issues for copulas applied to marketing data

Peter J. Danaher; Michael S. Smith

doi:10.1287/mksc.1100.0604

Estimation issues for copulas applied to marketing data

Research output: Contribution to journal › Article › Other › peer-review

Abstract

Estimating copula models using Bayesian methods presents some subtle challenges, ranging from specification of the prior to computational tractability. There is also some debate about what is the most appropriate copula to employ from those available. We address these issues here and conclude by discussing further applications of copula models in marketing.

Original language	English
Pages (from-to)	25-28
Number of pages	4
Journal	Marketing Science
Volume	30
Issue number	1
DOIs	https://doi.org/10.1287/mksc.1100.0604
Publication status	Published - Jan 2011
Externally published	Yes

Keywords

Bayesian estimation
Discrete copula
Gaussian copula
Markov chain monte carlo
Media modeling
Probability models
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10.1287/mksc.1100.0604

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Estimation issues for copulas applied to marketing data

Abstract

Keywords

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