This paper considers the problem of modeling migraine severity assessments and their dependence on weather and time characteristics. Since ordinal severity measurements arise from a single patient dependencies among the measurements have to be accounted for. For this the autoregressive ordinal...

Copulas have proven to be very successful tools for the flexible modelling of cross-sectional dependence. In this paper we express the dependence structure of continuous-valued time series data using a sequence of bivariate copulas. This corresponds to a type of decomposition recently called a...

In this paper we introduce a fractionally integrated exponential continuous time GARCH(p,d,q) process. It is defined in such a way it is a continuous time extension of the discrete time FIEGARCH(p,d,q) process. We investigate stationarity and moment properties of the new model. It is also shown...

This paper considers the problem of modeling migraine severity assessments and their dependence on weather and time characteristics. Since ordinal severity measurements arise from a single patient, dependencies among the measurements have to be accounted for. For this the autoregressive ordinal...