Abstract
Copulas are appropriate tools in drought frequency analysis. However, uncertainties originating from copulas in such frequency analysis have not received significant consideration. This study aims to develop a drought severity-areal extent-frequency (SAF) curve with copula theory and to evaluate the uncertainties in the curve. Three uncertainty sources are considered: different copula functions, copula parameter estimations, and copula input data. A case study in Heihe River basin in China is used as an example to illustrate the proposed approach. Results show that: (1) the dependence structure of drought severity and areal extent can be modeled well by Gumbel; Clayton and Frank depart the most from Gumbel in estimating drought SAF curves; (2) both copula parameter estimation and copula input data contribute to the uncertainties of SAF curves; uncertainty ranges associated with copula input data present wider than those associated with parameter estimations; (3) with the conditional probability decreasing, the differences in the curves derived from different copulas are increasing, and uncertainty ranges of the curves caused by copula parameter estimation and copula input data are also increasing. These results highlight the importance of uncertainty analysis of copula application, given that most studies in hydrology and climatology use copulas for extreme analysis.
Parameter estimation risk in asset pricing and risk management: A Bayesian approach
