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Metaelliptical copulas and their use in frequency analysis of multivariate hydrological data.

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Genest, Christian; Favre, Anne-Catherine; Béliveau, Julie; Jacques, Christine (2007). Metaelliptical copulas and their use in frequency analysis of multivariate hydrological data. Water Resources Research , vol. 43 , nº 9. W09401. DOI: 10.1029/2006WR005275.

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Résumé

Metaelliptical copulas are introduced as a flexible tool for modeling multivariate data in hydrology. The properties of this broad class of dependence functions are reviewed, along with associated rank‐based procedures for copula parameter estimation and goodness‐of‐fit testing. A new graphical diagnostic tool is also proposed for selecting an appropriate metaelliptical copula. Peak, volume, and duration of the annual spring flood for the Romaine River (Québec, Canada) are used for illustration purposes.

Type de document: Article
Mots-clés libres: copula; frequency analysis; metaelliptical class
Centre: Centre Eau Terre Environnement
Date de dépôt: 29 nov. 2019 15:02
Dernière modification: 29 nov. 2019 15:02
URI: http://espace.inrs.ca/id/eprint/9492

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