Journal ArticleDOI
Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask
Reads0
Chats0
TLDR
This paper presents an introduction to inference for copula models, based on rank methods, by working out in detail a small, fictitious numerical example, the various steps involved in investigating the dependence between two random variables and in modeling it using copulas.Abstract:
This paper presents an introduction to inference for copula models, based on rank methods. By working out in detail a small, fictitious numerical example, the writers exhibit the various steps involved in investigating the dependence between two random variables and in modeling it using copulas. Simple graphical tools and numerical techniques are presented for selecting an appropriate model, estimating its parameters, and checking its goodness-of-fit. A larger, realistic application of the methodology to hydrological data is then presented.read more
Citations
More filters
Journal ArticleDOI
Copula-based risk evaluation of global meteorological drought in the 21st century based on CMIP5 multi-model ensemble projections
TL;DR: In this article, the authors present a global-scale analysis of the joint return periods (T) of meteorological drought characteristics (duration D, severity S, and peak P) at the 6-and 12-month scales under the Representative Concentration Pathways scenarios RCP2.6 and RCP4.5.
Space-time scenarios of wind power generation produced using a Gaussian copula with parametrized precision matrix
TL;DR: A modelling approach taking advantage of sparsity of precision matrices is introduced for the description of the underlying space-time dependence structure and the proposed parametrization of the dependence structure accounts for such important process characteristics as non-constant conditional precisions and direction-dependent cross-correlations.
Dissertation
Uncertainty analysis and decision-aid: methodological, technical and managerial contributions to engineering and R&D studies
TL;DR: The main message delivered by this document, which is also the connecting thread of the technical and scientific activity presented herein, is that advanced mathematical methods and tools are necessary to solve engineering problems.
Journal ArticleDOI
Copula-based agricultural conditional value-at-risk modelling for geographical diversifications in wheat farming portfolio management
TL;DR: In this article, a new statistical approach was proposed to investigate whether the geographical spread of wheat farm portfolios across three climate broad-acre (i.e., rain-fed) zones could potentially reduce financial risks for producers in the Australian agro-ecological zones.
Journal ArticleDOI
Link between copula and tomography
TL;DR: This paper elaborate on the possible link between copula and CT and tries to see whether the methods used in one domain into the other.
References
More filters
Book
An Introduction to Copulas
TL;DR: This book discusses the fundamental properties of copulas and some of their primary applications, which include the study of dependence and measures of association, and the construction of families of bivariate distributions.
Journal ArticleDOI
Non-Uniform Random Variate Generation.
B. J. T. Morgan,Luc Devroye +1 more
TL;DR: This chapter reviews the main methods for generating random variables, vectors and processes in non-uniform random variate generation, and provides information on the expected time complexity of various algorithms before addressing modern topics such as indirectly specified distributions, random processes, and Markov chain methods.
Book ChapterDOI
A Class of Statistics with Asymptotically Normal Distribution
TL;DR: In this article, the authors considered the problem of estimating a U-statistic of the population characteristic of a regular functional function, where the sum ∑″ is extended over all permutations (α 1, α m ) of different integers, 1 α≤ (αi≤ n, n).