Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask
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VIEW THE REPLYPublication: Journal of Hydrologic Engineering
Volume 12, Issue 4
Abstract
This paper presents an introduction to inference for copula models, based on rank methods. By working out in detail a small, fictitious numerical example, the writers exhibit the various steps involved in investigating the dependence between two random variables and in modeling it using copulas. Simple graphical tools and numerical techniques are presented for selecting an appropriate model, estimating its parameters, and checking its goodness-of-fit. A larger, realistic application of the methodology to hydrological data is then presented.
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Acknowledgments
Partial funding in support of this work was provided by the Natural Sciences and Engineering Research Council of Canada, the fonds québécois de la recherche sur la nature et les technologies, the Institut de finance mathématique de Montréal, and Hydro-Québec.
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Published In
Journal of Hydrologic Engineering
Volume 12 • Issue 4 • July 2007
Pages: 347 - 368
Copyright
© 2007 ASCE.
History
Received: Aug 29, 2006
Accepted: Aug 29, 2006
Published online: Jul 1, 2007
Published in print: Jul 2007
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