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
Extremeness of recent drought events in Switzerland: dependence on variable and return period choice
TL;DR: In this paper, the authors investigated different types of drought, including meteorological, hydrological, agricultural, and groundwater drought, and at the two characteristics deficit and deficit duration, and showed that the 2018 event was especially severe in north-eastern Switzerland in terms of soil moisture, with return periods locally exceeding 100 years.
Journal ArticleDOI
A new hybrid method to improve the ultra-short-term prediction of LOD
Sadegh Modiri,Sadegh Modiri,Santiago Belda,Santiago Belda,Mostafa Hoseini,Robert Heinkelmann,José M. Ferrándiz,Harald Schuh,Harald Schuh +8 more
TL;DR: In this study, the combination of Copula-based analysis and singular spectrum analysis (SSA) method is introduced to improve the accuracy of the forecasted LOD.
Journal ArticleDOI
Short time step continuous rainfall modeling and simulation of extreme events
TL;DR: In this paper, a stochastic point precipitation model is proposed to reproduce average rainfall event properties along with extreme values, which is based on an alternating renewal framework and events are characterized by variables describing durations, amounts and peaks.
Journal ArticleDOI
Toward daily climate scenarios for Canadian Arctic coastal zones with more realistic temperature-precipitation interdependence
TL;DR: In this paper, two 2-dimensional (2D) methods for statistically adjusting climate model simulations to develop plausible local daily temperature (Tmean) and precipitation (Pr) scenarios are presented.
Proceedings ArticleDOI
D-vine EDA: a new estimation of distribution algorithm based on regular vines
TL;DR: The D-vine EDA is introduced and experiments and statistical tests are performed to assess the best algorithm to model the dependence structure in a joint distribution with marginals of different type.
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).