High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization

We use a recently proposed fast test of copula radial symmetry based on multiplier bootstrap and obtain an equivalent randomization test. The literature shows the statistical superiority of the randomization approach in the bivariate case. We extend the comparison of statistical performance focusing on the high-dimensional regime in a simulation study. We document radial asymmetry in the joint distribution of the percentage changes of sectorial industrial production indices of the European Union.

A Class of Copula-Based Bivariate Poisson Time Series Models with Applications

A class of bivariate integer-valued time series models was constructed via copula theory. Each series follows a Markov chain with the serial dependence captured using copula-based transition probabilities from the Poisson and the zero-inflated Poisson (ZIP) margins. The copula theory was also used again to capture the dependence between the two series using either the bivariate Gaussian or “t-copula” functions. Such a method provides a flexible dependence structure that allows for positive and negative correlation, as well. In addition, the use of a copula permits applying different margins with a complicated structure such as the ZIP distribution. Likelihood-based inference was used to estimate the models’ parameters with the bivariate integrals of the Gaussian or t-copula functions being evaluated using standard randomized Monte Carlo methods. To evaluate the proposed class of models, a comprehensive simulated study was conducted. Then, two sets of real-life examples were analyzed assuming the Poisson and the ZIP marginals, respectively. The results showed the superiority of the proposed class of models.

A Vine Copula-Based Global Sensitivity Analysis Method for Structures with Multidimensional Dependent Variables

For multidimensional dependent cases with incomplete probability information of random variables, global sensitivity analysis (GSA) theory is not yet mature. The joint probability density function (PDF) of multidimensional variables is usually unknown, meaning that the samples of multivariate variables cannot be easily obtained. Vine copula can decompose the joint PDF of multidimensional variables into the continuous product of marginal PDF and several bivariate copula functions. Based on Vine copula, multidimensional dependent problems can be transformed into two-dimensional dependent problems. A novel Vine copula-based approach for analyzing variance-based sensitivity measures is proposed, which can estimate the main and total sensitivity indices of dependent input variables. Five considered test cases and engineering examples show that the proposed methods are accurate and applicable.

Flood routing via a copula-based approach

Floods are among the most common natural disasters that if not controlled may cause severe damage and high costs. Flood control and management can be done using structural measures that should be designed based on the flood design studies. The simulation of outflow hydrograph using inflow hydrograph can provide useful information. In this study, a copula-based approach was applied to simulate the outflow hydrograph of various floods, including the Wilson River flood, the River Wye flood and the Karun River flood. In this regard, two-dimensional copula functions and their conditional density were used. The results of evaluating the dependence structure of the studied variables (inflow and outflow hydrographs) using Kendall's tau confirmed the applicability of copula functions for bivariate modeling of inflow and outflow hydrographs. The simulation results were evaluated using the root-mean-square error, the sum of squared errors and the Nash–Sutcliffe efficiency coefficient (NSE). The results showed that the copula-based approach has high performance. In general, the copula-based approach has been able to simulate the peak flow and the rising and falling limbs of the outflow hydrographs well. Also, all simulated data are at the 95% confidence interval. The NSE values for the copula-based approach are 0.99 for all three case studies. According to NSE values and violin plots, it can be seen that the performance of the copula-based approach in simulating the outflow hydrograph in all three case studies is acceptable and shows a good performance.

Analyzing the duration frequency and severity of drought using copula function in the Yazd city

Duration and severity are the two main variables used in drought analysis. The copula functions are appropriate for multivariate drought analysis, as it lacks the limitations of the classical multivariate distribution function. This study investigated the bivariate frequency analysis of drought duration and severity of Yazd city in Iran synoptic station during 1953–2013. To this end, first, the drought duration and severity variables were derived from the 6-month Standardized Precipitation Index. Then, considering the distribution functions, the gamma distribution function was selected for analyzing the severity and the exponential distribution function was selected for analyzing the duration and then the Clayton copula function was selected out of the three copula functions as the most appropriate one. After conducting bivariate frequency analysis, the joint seasonal and conjunctive return period and conditional return period curves were plotted. The current study well signified that multivariate analyses could present better interpretations of the reality; for example, as it was identified in conditional return period curves of the drought, for every constant duration, the amount of the return period changed as the severity changed. On the contrary, in analyzing the univariate of duration, no effects of severity were observed.