Journal ArticleDOI
Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask
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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
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Proceedings ArticleDOI
Combining Time Series Forecasting Models via Gumbel-Hougaard Copulas
Ricardo T. A. de Oliveira,Thaíze F. Oliveira,Paulo Renato Alves Firmino,Tiago A. E. Ferreira +3 more
TL;DR: This paper introduces copulas in the problem of combining time series forecasting models and proposes a maximum likelihood-based methodology in this context, and presents a Gumbel-Hougaard copulas model.
Dissertation
Applications of machine learning in computational biology
TL;DR: This thesis applies recent unsupervised learning methods to the analysis of large datasets of marketed drugs, and proposes a Bayesian iterative experimental design strategy and numerical results based on in silico biological network simulations are presented.
Journal ArticleDOI
Modeling Joint Probability of Wind and Flood Hazards in Boston
Yiming Jia,Mehrdad Sasani +1 more
TL;DR: In this paper, the authors modeled the joint probability of exceedance for wind and flooding in the Atlantic Coast of the United States due to hurricanes and floods caused by coastal storms and hurricanes.
Extra-Parametrized Extreme Value Copula : Extension to a Spatial Framework
Julie Carreau,Gwladys Toulemonde +1 more
TL;DR: In this article, an extension of the XGumbel copula to the spatial framework by defining the extra-parameters as a mapping shaped as a disk was proposed. And the inference of the Spatialized XGUMBEL copula is performed thanks to an Approximate Bayesian Computation (ABC) scheme with summary statistics based on upper tail dependence coefficients.
Posted ContentDOI
A rainfall design method for spatial flood risk assessment: considering multiple flood sources
TL;DR: In this paper, a rainfall design method for spatial flood risk assessment, which considers the joint effects of multiple flood sources, is proposed, and the concept of critical rainfall duration determined by the concentration time of flooding is introduced to connect response characteristics of different flood sources with rainfall.
References
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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).