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Longitudinal Data Analysis and Time Series

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2011

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Windows Executable For Gaussian Copula With Nbd Margins, Michael S. Smith Dec 2010

Windows Executable For Gaussian Copula With Nbd Margins, Michael S. Smith

Michael Stanley Smith

This is an example Windows 32bit program to estimate a Gaussian copula model with NBD margins. The margins are estimated first using MLE, and the copula second using Bayesian MCMC. The model was discussed in Danaher & Smith (2011; Marketing Science) as example 4 (section 4.2).

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