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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 (2010) WATER RESOURCES RESEARCH. 46.
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.
Please use this url to cite or link to this publication:
author
organization
year
type
journalArticle (original)
publication status
published
subject
keyword
ARCHIMEDEAN COPULAS, 3-COPULA, COEFFICIENT, MODELS, TIME-SERIES, TAIL-DEPENDENCE, PROBABILITY INTEGRAL TRANSFORMATION, FLOOD FREQUENCY-ANALYSIS, DISTRIBUTIONS, TESTS
journal title
WATER RESOURCES RESEARCH
Water Resour. Res.
volume
46
pages
17 pages
Web of Science type
Article
Web of Science id
000274134400002
JCR category
WATER RESOURCES
JCR impact factor
2.737 (2010)
JCR rank
2/75 (2010)
JCR quartile
1 (2010)
ISSN
0043-1397
DOI
10.1029/2009WR007857
language
English
UGent publication?
yes
classification
A1
additional info
article no. W01512 (17 p.)
copyright statement
I have transferred the copyright for this publication to the publisher
id
868839
handle
http://hdl.handle.net/1854/LU-868839
date created
2010-02-19 09:27:44
date last changed
2010-02-22 08:26:08
@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},
}

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.