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Metaelliptical copulas and their use in frequency analysis of multivariate hydrological data
Author(s) -
Genest C.,
Favre A.C.,
Béliveau J.,
Jacques C.
Publication year - 2007
Publication title -
water resources research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.863
H-Index - 217
eISSN - 1944-7973
pISSN - 0043-1397
DOI - 10.1029/2006wr005275
Subject(s) - copula (linguistics) , multivariate statistics , goodness of fit , statistics , econometrics , flood myth , multivariate analysis , hydrology (agriculture) , mathematics , computer science , geology , geography , geotechnical engineering , archaeology
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.