Assessing the copula selection for bivariate frequency analysis based on the tail dependence test

Journal of earth system science

Nguyen D D^1,2¹  Jayakumar K V^1² 

[1] Department of Civil Engineering, National Institute of Technology, Warangal 506 004, India.^1;Division of Water Resources and Environment, Thuyloi University, Ho Chi Minh City 700000, Vietnam.^2

关键词: Bivariate frequency analysis;    extreme value copula;    extremal measures;    Gaussian copula;    tail dependence coefficient;    tail dependence test;   

DOI  :  

学科分类：天文学(综合)

来源: Indian Academy of Sciences

【 摘 要 】

The flood characteristics, namely, peak, duration and volume provide important information for the design of hydraulic structures, water resources planning, reservoir management and flood hazard mapping. Flood is a complex phenomenon defined by strongly correlated characteristics such as peak, duration and volume. Therefore, it is necessary to study the simultaneous, multivariate, probabilistic behaviour of flood characteristics. Traditional multivariate parametric distributions have widely been applied for hydrological applications. However, this approach has some drawbacks such as the dependence structure between the variables, which depends on the marginal distributions or the flood variables that have the same type of marginal distributions. Copulas are applied to overcome the restriction of traditional bivariate frequency analysis by choosing the marginals from different families of the probability distribution for flood variables. The most important step in the modelling process using copula is the selection of copula function which is the best fit for the data sample. The choice of copula may significantly impact the bivariate quantiles. Indeed, this study indicates that there is a huge difference in the joint return period estimation using the families of extreme value copulas and no upper tail copulas (Frank, Clayton and Gaussian) if there exists asymptotic dependence in the flood characteristics. This study suggests that the copula function should be selected based on the dependence structure of the variables. From the results, it is observed that the result from tail dependence test is very useful in selecting the appropriate copula for modelling the joint dependence structure of flood variables. The extreme value copulas with upper tail dependence have proved that they are appropriate models for the dependence structure of the flood characteristics and Frank, Clayton and Gaussian copulas are the appropriate copula models in case of variables which are diagnosed as asymptotic independence.

【 授权许可】

CC BY