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Fitting bivariate copulas to the dependence structure between storm characteristics: a detailed analysis based on 105 year 10 min rainfall

Sander Vandenberghe (UGent) , Niko Verhoest (UGent) and Bernard De Baets (UGent)
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Abstract
The use of copulas as flexible tools for constructing marginal-free distribution functions for multivariate phenomena, such as rainfall, recently enjoys substantial attention by researchers in hydrology. In this study, commonly used bivariate copulas and techniques for fitting such bivariate copulas are applied to different couples of storm variables based on an extensive data set of 105 years of 10 min rainfall, observed at Uccle, Belgium. In the analysis, various problems that can occur are highlighted, and opportunities for further research are outlined. After selecting storms and introducing a meaningful solution to circumvent the presence of abundant ties in the data, a detailed seasonal dependence analysis is provided, together with a study on tail dependence. Further, different existing parameter estimation techniques and goodness-of-fit methods for selecting the most appropriate bivariate copulas are applied and compared. Finally, attention is given to the presence of asymmetric dependence and nonexchangeability.
Keywords
ARCHIMEDEAN COPULAS, 3-COPULA, COEFFICIENT, MODELS, TIME-SERIES, TAIL-DEPENDENCE, PROBABILITY INTEGRAL TRANSFORMATION, FLOOD FREQUENCY-ANALYSIS, DISTRIBUTIONS, TESTS

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Citation

Please use this url to cite or link to this publication:

Chicago
Vandenberghe, Sander, Niko Verhoest, and Bernard De Baets. 2010. “Fitting Bivariate Copulas to the Dependence Structure Between Storm Characteristics: a Detailed Analysis Based on 105 Year 10 Min Rainfall.” Water Resources Research 46.
APA
Vandenberghe, Sander, Verhoest, N., & De Baets, B. (2010). Fitting bivariate copulas to the dependence structure between storm characteristics: a detailed analysis based on 105 year 10 min rainfall. WATER RESOURCES RESEARCH, 46.
Vancouver
1.
Vandenberghe S, Verhoest N, De Baets B. Fitting bivariate copulas to the dependence structure between storm characteristics: a detailed analysis based on 105 year 10 min rainfall. WATER RESOURCES RESEARCH. 2010;46.
MLA
Vandenberghe, Sander, Niko Verhoest, and Bernard De Baets. “Fitting Bivariate Copulas to the Dependence Structure Between Storm Characteristics: a Detailed Analysis Based on 105 Year 10 Min Rainfall.” WATER RESOURCES RESEARCH 46 (2010): n. pag. Print.
@article{868839,
  abstract     = {The use of copulas as flexible tools for constructing marginal-free distribution functions for multivariate phenomena, such as rainfall, recently enjoys substantial attention by researchers in hydrology. In this study, commonly used bivariate copulas and techniques for fitting such bivariate copulas are applied to different couples of storm variables based on an extensive data set of 105 years of 10 min rainfall, observed at Uccle, Belgium. In the analysis, various problems that can occur are highlighted, and opportunities for further research are outlined. After selecting storms and introducing a meaningful solution to circumvent the presence of abundant ties in the data, a detailed seasonal dependence analysis is provided, together with a study on tail dependence. Further, different existing parameter estimation techniques and goodness-of-fit methods for selecting the most appropriate bivariate copulas are applied and compared. Finally, attention is given to the presence of asymmetric dependence and nonexchangeability.},
  author       = {Vandenberghe, Sander and Verhoest, Niko and De Baets, Bernard},
  issn         = {0043-1397},
  journal      = {WATER RESOURCES RESEARCH},
  keyword      = {ARCHIMEDEAN COPULAS,3-COPULA,COEFFICIENT,MODELS,TIME-SERIES,TAIL-DEPENDENCE,PROBABILITY INTEGRAL TRANSFORMATION,FLOOD FREQUENCY-ANALYSIS,DISTRIBUTIONS,TESTS},
  language     = {eng},
  pages        = {17},
  title        = {Fitting bivariate copulas to the dependence structure between storm characteristics: a detailed analysis based on 105 year 10 min rainfall},
  url          = {http://dx.doi.org/10.1029/2009WR007857},
  volume       = {46},
  year         = {2010},
}

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