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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Journal IssueDOI
Spatial contagion between financial markets: a copula-based approach
Fabrizio Durante,Piotr Jaworski +1 more
TL;DR: In this paper, a method for defining and investigating spatial contagion between two financial markets X and Y by using the information contained in their copula is proposed, and a practical illustration of the introduced method is also given by examining the presence of contagion among two European stock indices (namely, FTSE 100 and DAX).
Journal ArticleDOI
Bivariate return periods and their importance for flood peak and volume estimation
TL;DR: In this article, the authors defined the return period of a flood event in a univariate context and defined its definititiveness in a more general context, and proposed an approach to estimate the flood event magnitudes with a certain return period.
Journal ArticleDOI
Probabilistic modeling of flood characterizations with parametric and minimum information pair-copula model
TL;DR: It is demonstrated that any multivariate density can be approximated to any degree of desired precision using minimum information pair-copula model and can be practically used for probabilistic flood hazard assessment.
Journal ArticleDOI
Dependence between flood peaks and volumes: a case study on climate and hydrological controls
Ladislav Gaál,Ján Szolgay,Silvia Kohnová,Kamila Hlavčová,Juraj Parajka,Alberto Viglione,Ralf Merz,Günter Blöschl +7 more
TL;DR: In this paper, a case study is performed based on 330 catchments in Austria ranging from 6 to 500 km2 in size, and the consistency of the peak-volume relationship is quantified by the Spearman rank correlation coefficient.
Journal ArticleDOI
Inference in multivariate Archimedean copula models
TL;DR: It is proved here that this property continues to hold in the trivariate case, and strong evidence is provided that it extends to any dimension.
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).