Estimating strategies for multiparameter Multivariate Extreme Value copulas

Estimating strategies for multiparameter Multivariate Extreme Value copulas

Multivariate Extreme Value models are a fundamental tool in order to assess potentially dangerous events. Exploiting recent theoretical developments in the theory of Copulas, new multiparameter models can be easily constructed. In this paper we suggest several strategies in order to estimate the par...

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Main Authors: G. Salvadori, C. De Michele
Format: Article
Language:English
Published: Copernicus Publications 2011-01-01
Series:Hydrology and Earth System Sciences
Online Access:http://www.hydrol-earth-syst-sci.net/15/141/2011/hess-15-141-2011.pdf
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spelling doaj-d3a7f3f437a74f29907300df750d6f882020-11-25T00:43:20ZengCopernicus PublicationsHydrology and Earth System Sciences1027-56061607-79382011-01-0115114115010.5194/hess-15-141-2011Estimating strategies for multiparameter Multivariate Extreme Value copulasG. SalvadoriC. De MicheleMultivariate Extreme Value models are a fundamental tool in order to assess potentially dangerous events. Exploiting recent theoretical developments in the theory of Copulas, new multiparameter models can be easily constructed. In this paper we suggest several strategies in order to estimate the parameters of the selected copula, according to different criteria: these may use a single station approach, or a cluster strategy, or exploit all the pair-wise relationships between the available gauge stations. An application to flood data is also illustrated and discussed. http://www.hydrol-earth-syst-sci.net/15/141/2011/hess-15-141-2011.pdf
collection DOAJ
language English
format Article
sources DOAJ
author G. Salvadori
C. De Michele
spellingShingle G. Salvadori
C. De Michele
Estimating strategies for multiparameter Multivariate Extreme Value copulas
Hydrology and Earth System Sciences
author_facet G. Salvadori
C. De Michele
author_sort G. Salvadori
title Estimating strategies for multiparameter Multivariate Extreme Value copulas
title_short Estimating strategies for multiparameter Multivariate Extreme Value copulas
title_full Estimating strategies for multiparameter Multivariate Extreme Value copulas
title_fullStr Estimating strategies for multiparameter Multivariate Extreme Value copulas
title_full_unstemmed Estimating strategies for multiparameter Multivariate Extreme Value copulas
title_sort estimating strategies for multiparameter multivariate extreme value copulas
publisher Copernicus Publications
series Hydrology and Earth System Sciences
issn 1027-5606
1607-7938
publishDate 2011-01-01
description Multivariate Extreme Value models are a fundamental tool in order to assess potentially dangerous events. Exploiting recent theoretical developments in the theory of Copulas, new multiparameter models can be easily constructed. In this paper we suggest several strategies in order to estimate the parameters of the selected copula, according to different criteria: these may use a single station approach, or a cluster strategy, or exploit all the pair-wise relationships between the available gauge stations. An application to flood data is also illustrated and discussed.
url http://www.hydrol-earth-syst-sci.net/15/141/2011/hess-15-141-2011.pdf
work_keys_str_mv AT gsalvadori estimatingstrategiesformultiparametermultivariateextremevaluecopulas
AT cdemichele estimatingstrategiesformultiparametermultivariateextremevaluecopulas
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