World Library  


Add to Book Shelf
Flag as Inappropriate
Email this Book

Multivariate Design Via Copulas : Volume 8, Issue 3 (10/06/2011)

By Salvadori, G.

Click here to view

Book Id: WPLBN0004012940
Format Type: PDF Article :
File Size: Pages 36
Reproduction Date: 2015

Title: Multivariate Design Via Copulas : Volume 8, Issue 3 (10/06/2011)  
Author: Salvadori, G.
Volume: Vol. 8, Issue 3
Language: English
Subject: Science, Hydrology, Earth
Collections: Periodicals: Journal and Magazine Collection, Copernicus GmbH
Historic
Publication Date:
2011
Publisher: Copernicus Gmbh, Göttingen, Germany
Member Page: Copernicus Publications

Citation

APA MLA Chicago

Durante, F., Michele, C. D., & Salvadori, G. (2011). Multivariate Design Via Copulas : Volume 8, Issue 3 (10/06/2011). Retrieved from http://hawaiilibrary.net/


Description
Description: Dipartimento di Matematica, Università del Salento, Provinciale Lecce-Arnesano, P.O. Box 193, 73100 Lecce, Italy. Calculating return periods and design quantiles in a multivariate framework is a difficult problem: essentially, this is due to the lack of a natural total order in multi-dimensional Euclidean spaces. This paper tries to make the issue clear. First, we outline a possible way to introduce a coherent notion of multivariate total order, and discuss its consequences on the calculation of multivariate return period: in particular, the latter is based on Copulas and the Kendall's measure, which provides a consistent notion of multivariate quantile. Secondly, we introduce several approaches for the identification of critical design events: these latter quantities are of utmost importance in practical applications, but their calculation is yet limited, due to the lack of a suitable theoretical setting where to embed the problem. Throughout the paper, a case study involving the behavior of a dam is used to illustrate the new concepts outlined in this work.

Summary
Multivariate design via Copulas

Excerpt
Barbe, P., Genest, C., Ghoudi, K., and R{é}millard, B.: On {K}endall's process, J. Multivar. Anal., 58, 197–229, 1996.; Belloni, A. and Winkler, R.: On multivariate quantiles under partial orders, Ann. Stat., 39(2), 1125–1179, 2011.; Belzunce, F., Castaño, A., Olvera-Cervantes, A., and Suárez-Llorens, A.: Quantile curves and dependence structure for bivariate distributions, Comp. Stat. Data Anal., 51, 5112–5129, 2007.; Berg, D.: Copula goodness-of-fit testing: an overview and power comparison, E}ur. {J. {F}inance, 15, 675–701, 2009.; Bowman, A. and Azzalini, A.: Applied Smoothing Techniques for Data Analysis, Oxford University Press, New York, 1997.; Bras, R. L.: Hydrology: an Introduction to Hydrologic Science, Addison-Wesley, Boston, 1st edition, 1990.; Briere, F.: Drinking-Water Distribution, Sewage, and Rainfall Collection, Polytechnic International, Montreal, Canada, 1999.; Chaouch, M. and Goga, C.: Design-based estimation for geometric quantiles with application to outlier detection, Comp. Stat. Data Anal., 54, 2214–2229, 2010.; Chebana, F. and Ouarda, T. B. M. J.: Index flood-based multivariate regional frequency analysis, Water Resour. Res., 45, W10435, doi:10.1029/2008WR007490, 2009.; Chebana, F. and Ouarda, T. B. M. J.: Multivariate quantiles in hydrological frequency analysis, Environmetrics, 22(1), 63–78, doi:10.1002/env.1027, 2011a.; Chebana, F. and Ouarda, T.: Multivariate extreme value identification using depth functions, Environmetrics, 22, 441–455, doi:10.1002/env.1089, 2011b.; Cherubini, U. and Romagnoli, S.: Computing the volume of N-dimension Copulas, Appl. {M}ath. {F}inance, 16, 307–314, 2009.; Chow, V. T., Maidment, D., and Mays, L. W.: Applied {H}ydrology, 1st edition, McGraw-Hill, Singapore, 1988.; Davison, A. C. and Hinkley, D. V.: Bootstrap methods and their application, vol. 1 of Cambridge Series in Statistical and Probabilistic Mathematics, Cambridge University Press, Cambridge, 1997.; De Michele, C., Salvadori, G., Canossi, M., Petaccia, A., and Rosso, R.: Bivariate statistical approach to check adequacy of dam spillway, J. Hydrol. Eng.-ASCE, 10, 50–57, 2005.; De Michele, C., Salvadori, G., Passoni, G., and Vezzoli, R.: A multivariate model of sea storms using copulas, Coast. Engin., 54, 734–751, 2007.; DiCiccio, T. J. and Efron, B.: Bootstrap confidence intervals, Stat. Sci., 11, 189–228, 1996.; Durante, F. and Salvadori, G.: On the construction of multivariate extreme value models via copulas, Environmetrics, 21, 143–161, 2010.; Embrechts, P., Kl{ü}ppelberg, C., and Mikosch, T.: Modelling Extremal Events for Insurance and Finance, 4th edition, Springer-Verlag, 2003.; Feller, W.: An Introduction to Probability and its Applications, vol. 1, 3rd edition, J. Wiley & Sons, New York, 1971.; Genest, C. and Favre, A.: Everything you always wanted to know about copula modeling but were afraid to ask, J. Hydrol. Eng., 12, 347–368, 2007. \clearpage; Genest, C. and Rivest, L.-P.: Statistical inference procedures for bivariate {A}rchimedean copulas, J. Am. Stat. Assoc., 88, 1034–1043, 1993.; Genest, C. and Rivest, L.-P.: On the multivariate probability

 

Click To View

Additional Books


  • Predictions of Rainfall-runoff Response ... (by )
  • Streamflow Response of a Small Forested ... (by )
  • Continental Hydrosystem Modelling: the C... (by )
  • Hydrogeomorphic Controls on Runoff in a ... (by )
  • Simulation of High Mountainous Discharge... (by )
  • Spatial Analysis of Precipitation in a H... (by )
  • Overview of the First Hymex Special Obse... (by )
  • Sensitivity of Point Scale Runoff Predic... (by )
  • Experiences from Online and Classroom Ed... (by )
  • Long-range Forecasting of Intermittent S... (by )
  • Coupling the Modified Scs-cn and Rusle M... (by )
  • Are Droughts Occurrence and Severity Agg... (by )
Scroll Left
Scroll Right

 



Copyright © World Library Foundation. All rights reserved. eBooks from Hawaii eBook Library are sponsored by the World Library Foundation,
a 501c(4) Member's Support Non-Profit Organization, and is NOT affiliated with any governmental agency or department.