Rejoinder---Estimation Issues for Copulas Applied to Marketing Data

Authors:
Peter J. Danaher;Michael S. Smith
Affiliations:
Melbourne Business School, University of Melbourne, Carlton, Victoria 3053, Australia;Melbourne Business School, University of Melbourne, Carlton, Victoria 3053, Australia
Venue:
Marketing Science
Year:
2011

Citing 4
Cited 0

An Introduction to Copulas (Springer Series in Statistics)

An Introduction to Copulas (Springer Series in Statistics)
Modeling covariance matrices via partial autocorrelations

Journal of Multivariate Analysis
Modeling Multivariate Distributions Using Copulas: Applications in Marketing

Marketing Science
Commentary---A Latent Variable Perspective of Copula Modeling

Marketing Science

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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.