Estimation procedures for exchangeable Marshall copulas with hydrological application

Arbeitspapier

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. Speci cally, 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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: SFB 649 Discussion Paper ; No. 2014-014

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Estimation: General ; Semiparametric and Nonparametric Methods: General
• Thema: Copula ; Kendall distribution ; Marshall-Olkin distribution ; Non-parametric Estimation ; Risk Management

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Durante, Fabrizio ; Okhrin, Ostap
• Ereignis: Veröffentlichung
• (wer): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
• (wo): Berlin
• (wann): 2014

Weitere Informationen

• Handle: http://hdl.handle.net/10419/93224
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ