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Social and Behavioral Sciences

Michael Stanley Smith

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Full-Text Articles in Statistical Models

Inversion Copulas From Nonlinear State Space Models With An Application To Inflation Forecasting, Michael S. Smith, Worapree Ole Maneesoonthorn May 2018

Inversion Copulas From Nonlinear State Space Models With An Application To Inflation Forecasting, Michael S. Smith, Worapree Ole Maneesoonthorn

Michael Stanley Smith

We propose the construction of copulas through the inversion of nonlinear state space models. These copulas allow for new time series models that have the same serial dependence structure as a state space model, but with an arbitrary marginal distribution, and flexible density forecasts. We examine the time series properties of the copulas, outline serial dependence measures, and estimate the models using likelihood-based methods. Copulas constructed from three example state space models are considered: a stochastic volatility model with an unobserved component, a Markov switching autoregression, and a Gaussian linear unobserved component model. We show that all three inversion copulas …

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Variational Bayes Estimation Of Discrete-Margined Copula Models With Application To Ime Series, Ruben Loaiza-Maya, Michael S. Smith Nov 2017

Variational Bayes Estimation Of Discrete-Margined Copula Models With Application To Ime Series, Ruben Loaiza-Maya, Michael S. Smith

Michael Stanley Smith

We propose a new variational Bayes estimator for high-dimensional copulas with discrete, or a combination of discrete and continuous, margins. The method is based on a variational approximation to a tractable augmented posterior, and is faster than previous likelihood-based approaches. We use it to estimate drawable vine copulas for univariate and multivariate Markov ordinal and mixed time series. These have dimension $rT$, where $T$ is the number of observations and $r$ is the number of series, and are difficult to estimate using previous methods. 
The vine pair-copulas are carefully selected to allow for heteroskedasticity, which is a feature of most ordinal …

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From Amazon To Apple: Modeling Online Retail Sales, Purchase Incidence And Visit Behavior, Anastasios Panagiotelis, Michael S. Smith, Peter Danaher Dec 2013

From Amazon To Apple: Modeling Online Retail Sales, Purchase Incidence And Visit Behavior, Anastasios Panagiotelis, Michael S. Smith, Peter Danaher

Michael Stanley Smith

In this study we propose a multivariate stochastic model for website visit duration, page views, purchase incidence and the sale amount for online retailers. The model is constructed by composition from carefully selected distributions, and involves copula components. It allows for the strong nonlinear relationships between the sales and visit variables to be explored in detail, and can be used to construct sales predictions. The model is readily estimated using maximum likelihood, making it an attractive choice in practice given the large sample sizes that are commonplace in online retail studies. We examine a number of top-ranked U.S. online retailers, …

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Bicycle Commuting In Melbourne During The 2000s Energy Crisis: A Semiparametric Analysis Of Intraday Volumes, Michael S. Smith, Goeran Kauermann Dec 2010

Bicycle Commuting In Melbourne During The 2000s Energy Crisis: A Semiparametric Analysis Of Intraday Volumes, Michael S. Smith, Goeran Kauermann

Michael Stanley Smith

Cycling is attracting renewed attention as a mode of transport in western urban environments, yet the determinants of usage are poorly understood. In this paper we investigate some of these using intraday bicycle volumes collected via induction loops located at ten bike paths in the city of Melbourne, Australia, between December 2005 and June 2008. The data are hourly counts at each location, with temporal and spatial disaggregation allowing for the impact of meteorology to be measured accurately for the first time. Moreover, during this period petrol prices varied dramatically and the data also provide a unique opportunity to assess …

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