Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask

This paper presents an introduction to inference for copula models, based on rank methods. By working out in detail a small, fictitious numerical example, the writers exhibit the various steps involved in investigating the dependence between two random variables and in modeling it using copulas. Sim...

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Bibliographic Details
Published in:Journal of hydrologic engineering 2007-07, Vol.12 (4), p.347-368
Main Authors: Genest, Christian, Favre, Anne-Catherine
Format: Article
Language:English
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TECHNICAL PAPERS
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Summary:This paper presents an introduction to inference for copula models, based on rank methods. By working out in detail a small, fictitious numerical example, the writers exhibit the various steps involved in investigating the dependence between two random variables and in modeling it using copulas. Simple graphical tools and numerical techniques are presented for selecting an appropriate model, estimating its parameters, and checking its goodness-of-fit. A larger, realistic application of the methodology to hydrological data is then presented.
ISSN:1084-0699
1943-5584
DOI:10.1061/(ASCE)1084-0699(2007)12:4(347)