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Estimation procedures for exchangeable Marshall copulas with hydrological application

Durante, Fabrizio ; Okhrin, Ostap

Stochastic environmental research and risk assessment, 2015-01, Vol.29 (1), p.205-226 [Periódico revisado por pares]

Berlin/Heidelberg: Springer-Verlag

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Título:
Estimation procedures for exchangeable Marshall copulas with hydrological application
Autor: Durante, Fabrizio ; Okhrin, Ostap
Assuntos: Aquatic Pollution ; Chemistry and Earth Sciences ; Computational Intelligence ; Computer Science ; Earth and Environmental Science ; Earth Sciences ; Ecological risk assessment ; Environment ; environmental science ; Estimating techniques ; Exchange ; Hydrologic sciences ; Hydrology ; Illustrations ; Math. Appl. in Environmental Science ; Mathematical models ; Original Paper ; Physics ; Probability Theory and Stochastic Processes ; Random variables ; Risk assessment ; Simulation ; Statistics for Engineering ; stochastic processes ; Waste Water Technology ; Water Management ; Water Pollution Control
É parte de: Stochastic environmental research and risk assessment, 2015-01, Vol.29 (1), p.205-226
Notas: http://dx.doi.org/10.1007/s00477-014-0866-7
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Descrição: Complex phenomena in environmental sciences can be conveniently represented by several inter-dependent random variables. In order to describe such situations, copula-based models have been studied during the last year. In this paper, we consider a novel family of bivariate copulas, called exchangeable Marshall copulas. Such copulas describe both positive and (upper) tail association between random variables. Specifically, inference procedures for the family of exchangeable Marshall copulas are introduced, based on the estimation of their (univariate) generator. Moreover, the performance of the proposed methodologies is shown in a simulation study. Finally, an illustration describes how the proposed procedures can be useful in a hydrological application.
Editor: Berlin/Heidelberg: Springer-Verlag
Idioma: Inglês

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Estimation procedures for exchangeable Marshall copulas with hydrological application

Durante, Fabrizio ; Okhrin, Ostap

Berlin/Heidelberg: Springer-Verlag

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