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
An event-based approach for extreme joint probabilities of waves and sea levels
Franck Mazas,Luc Hamm +1 more
TL;DR: In this paper, a methodology for determining extreme joint probabilities of two metocean variables, in particular wave height and sea level, is presented, focusing on the sampling of the time series, which should be based on the notion of event.
Journal ArticleDOI
A monitoring and prediction system for compound dry and hot events
TL;DR: In this paper, a monitoring and prediction system of compound dry and hot events at the global scale is introduced, which consists of two indicators (Standardized Compound Event Indicator (SCEI) and a binary variable) that incorporate both hot and dry conditions for characterizing the severity and occurrence.
Journal ArticleDOI
A Blueprint for Full Collective Flood Risk Estimation: Demonstration for European River Flooding.
Francesco Serinaldi,Chris Kilsby +1 more
TL;DR: It is shown that the temporal dependence exerts a key role in reproducing interannual persistence, and thus magnitude and frequency of annual proxy flood losses aggregated at a basin‐wide scale, while copulas allow the preservation of the spatial dependence of losses at weekly and annual time scales.
Journal ArticleDOI
A Copula-Based Approach for Accommodating the Underreporting Effect in Wildlife‒Vehicle Crash Analysis
TL;DR: In this paper, a Gaussian copula regression model linking wildlife-vehicle collisions and the underreporting outcome was proposed to consider the underreported in WVC data, and the proposed copula model may be a better alternative to the conventional negative binomial (NB) model for modeling underreported WVC.
Journal ArticleDOI
A Note on Identification of Bivariate Copulas for Discrete Count Data
TL;DR: In this article, the authors show that if the model has a regression structure such that the exogenous variable(s) generates additional variation in the outcomes and thus more completely covers the outcome domain, then the identification concerns diminish.
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).