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
Proceedings ArticleDOI
Dynamic buffer overflow detection for GPGPUs
TL;DR: A tool that uses canaries to detect buffer overflows caused by GPGPU kernels that wraps OpenCL™ API calls and alerts users to any kernel that writes outside of a memory buffer is described.
Journal ArticleDOI
Estimating the error distribution in multivariate heteroscedastic time-series models
TL;DR: In this paper, a semiparametric method is proposed for estimating the dependence parameter and the joint distribution of the error term in a class of multivariate time-series models when the marginal distributions of the errors are unknown.
Journal ArticleDOI
Three-dimensional identification of hydrological drought and multivariate drought risk probability assessment in the Luanhe River basin, China
TL;DR: In this paper, a really spatio-temporal continuum identification method was used to identify and characterize hydrological drought events in a three-dimensional framework and further assess the potential drought risk probability in a multivariate framework in the Luanhe River basin during 1961-2011.
Journal ArticleDOI
Multivariate density model comparison for multi-site flood-risk rainfall in the French Mediterranean area
Julie Carreau,Christophe Bouvier +1 more
TL;DR: In this paper, the authors compared eight multivariate density models for multi-site flood-risk rainfall in the French Mediterranean area, using data from eight rain gauge stations at the Gardon at Anduze, a small Mediterranean catchment.
Journal ArticleDOI
On the size of the class of bivariate extreme-value copulas with a fixed value of Spearman's rho or Kendall's tau
TL;DR: In this article, the smallest possible compact set containing the graph of all Pickands dependence functions whose corresponding bivariate extreme-value copula has a fixed value of Spearman's rho or Kendall's tau is identified.
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).