Global S&T Development Trend Analysis Platform of Resources and Environment
DOI | 10.1002/2016WR020242 |
Multivariate Copula Analysis Toolbox (MvCAT): Describing dependence and underlying uncertainty using a Bayesian framework | |
Sadegh, Mojtaba1,2; Ragno, Elisa1; AghaKouchak, Amir1,3 | |
2017-06-01 | |
发表期刊 | WATER RESOURCES RESEARCH
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ISSN | 0043-1397 |
EISSN | 1944-7973 |
出版年 | 2017 |
卷号 | 53期号:6 |
文章类型 | Article |
语种 | 英语 |
国家 | USA |
英文摘要 | We present a newly developed Multivariate Copula Analysis Toolbox (MvCAT) which includes a wide range of copula families with different levels of complexity. MvCAT employs a Bayesian framework with a residual-based Gaussian likelihood function for inferring copula parameters and estimating the underlying uncertainties. The contribution of this paper is threefold: (a) providing a Bayesian framework to approximate the predictive uncertainties of fitted copulas, (b) introducing a hybrid-evolution Markov Chain Monte Carlo (MCMC) approach designed for numerical estimation of the posterior distribution of copula parameters, and (c) enabling the community to explore a wide range of copulas and evaluate them relative to the fitting uncertainties. We show that the commonly used local optimization methods for copula parameter estimation often get trapped in local minima. The proposed method, however, addresses this limitation and improves describing the dependence structure. MvCAT also enables evaluation of uncertainties relative to the length of record, which is fundamental to a wide range of applications such as multivariate frequency analysis. |
领域 | 资源环境 |
收录类别 | SCI-E |
WOS记录号 | WOS:000405997000040 |
WOS关键词 | MONTE-CARLO-SIMULATION ; EXTREME-VALUE ANALYSIS ; DIFFERENTIAL EVOLUTION ; FREQUENCY-ANALYSIS ; PARAMETER-ESTIMATION ; GLOBAL OPTIMIZATION ; GAUSSIAN COPULA ; DROUGHT INDEX ; INFERENCE ; RAINFALL |
WOS类目 | Environmental Sciences ; Limnology ; Water Resources |
WOS研究方向 | Environmental Sciences & Ecology ; Marine & Freshwater Biology ; Water Resources |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://119.78.100.173/C666/handle/2XK7JSWQ/21775 |
专题 | 资源环境科学 |
作者单位 | 1.Univ Calif Irvine, Dept Civil & Environm Engn, Irvine, CA 92697 USA; 2.Boise State Univ, Dept Civil Engn, Boise, ID 83725 USA; 3.Univ Calif Irvine, Ctr Hydrometeorol & Remote Sensing, Irvine, CA 92697 USA |
推荐引用方式 GB/T 7714 | Sadegh, Mojtaba,Ragno, Elisa,AghaKouchak, Amir. Multivariate Copula Analysis Toolbox (MvCAT): Describing dependence and underlying uncertainty using a Bayesian framework[J]. WATER RESOURCES RESEARCH,2017,53(6). |
APA | Sadegh, Mojtaba,Ragno, Elisa,&AghaKouchak, Amir.(2017).Multivariate Copula Analysis Toolbox (MvCAT): Describing dependence and underlying uncertainty using a Bayesian framework.WATER RESOURCES RESEARCH,53(6). |
MLA | Sadegh, Mojtaba,et al."Multivariate Copula Analysis Toolbox (MvCAT): Describing dependence and underlying uncertainty using a Bayesian framework".WATER RESOURCES RESEARCH 53.6(2017). |
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