The uncertainty associated with the use of copulas in multivariate analysis

The uncertainty associated with the use of copulas in multivariate analysis

Zhou, C. (TU Delft Water Resources)
van Nooijen, R.R.P. (TU Delft Water Resources)
Kolechkina, A.G. (TU Delft Team Bart De Schutter)
Gargouri, E.F.G. (University of Tunis El Manar)
Slama, Fairouz (University of Tunis El Manar)
van de Giesen, N.C. (TU Delft Water Resources)

2023

The dependency structure between hydrological variables is of critical importance to hydrological modelling and forecasting. When a copula capturing that dependence is fitted to a sample, information on the uncertainty of the fit is needed for subsequent hydrological calculations and reasoning. A new method is proposed to report inferential uncertainty in a copula parameter. The method is based on confidence curves constructed with the use of a pseudo maximum likelihood estimator for the copula parameter. The method was tested on synthetic data and then used as a tool in two hydrological examples. The first examines the probability of major floods in two locations on the Rhine River and its tributaries in the same calendar year. In the second example, rainfall–runoff from a karst region in Tunisia was analysed to determine a confidence interval for the delay between precipitation and runoff.

confidence curve
copulas
coverage probability
pseudo maximum likelihood estimator
uncertainty analysis

http://resolver.tudelft.nl/uuid:b7e4221e-e417-4715-b4bb-f878da5f6874

https://doi.org/10.1080/02626667.2023.2249459

0262-6667

Hydrological Sciences Journal, 68 (15), 2169-2188

Institutional Repository

journal article

© 2023 C. Zhou, R.R.P. van Nooijen, A.G. Kolechkina, E.F.G. Gargouri, Fairouz Slama, N.C. van de Giesen