Book contents
- Copulas and Their Applications in Water Resources Engineering
- Copulas and Their Applications in Water Resources Engineering
- Copyright page
- Dedication
- Contents
- Preface
- Acknowledgments
- Part One Theory
- 1 Introduction
- 2 Preliminaries
- 3 Copulas and Their Properties
- 4 Symmetric Archimedean Copulas
- 5 Asymmetric Copulas
- 6 Plackett Copula
- 7 Non-Archimedean Copulas
- 8 Entropic Copulas
- 9 Copulas in Time Series Analysis
- Part Two Applications
- Index
- References
6 - Plackett Copula
from Part One - Theory
Published online by Cambridge University Press: 03 January 2019
Book contents
- Copulas and Their Applications in Water Resources Engineering
- Copulas and Their Applications in Water Resources Engineering
- Copyright page
- Dedication
- Contents
- Preface
- Acknowledgments
- Part One Theory
- 1 Introduction
- 2 Preliminaries
- 3 Copulas and Their Properties
- 4 Symmetric Archimedean Copulas
- 5 Asymmetric Copulas
- 6 Plackett Copula
- 7 Non-Archimedean Copulas
- 8 Entropic Copulas
- 9 Copulas in Time Series Analysis
- Part Two Applications
- Index
- References
Summary
Similar to the Archimedean copulas, the non-Archimedean copulas can be classified as one-parameter non-Archimedean bivariate copulas, two-parameter non-Archimedean bivariate copulas, and multivariate (d ≥ 3)d≥3) non-Archimedean copulas. In recent years, successful applications of non-Archimedean copulas, such as meta-elliptical copulas and Plackett copulas, have been reported in hydrology and water resources management. In this chapter, we will focus on Plackett copulas and more specifically bivariate and trivariate Plackett copula.
- Type
- Chapter
- Information
- Copulas and their Applications in Water Resources Engineering , pp. 242 - 260Publisher: Cambridge University PressPrint publication year: 2019
References
Kao, S. C. and Govindaraju, R. S. (2008). Trivarariate statistical analysis of extreme rainfall events via the Plackett family of copulas. Water Resources Research, 44(2), W02415, doi:10.1029/2007WR006261.Google Scholar
Palaro, H. P. and Hotta, L. K. (2006). Using conditional copula to estimate Value at Risk. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=818884.Google Scholar
Plackett, R. L. (1965). A class of bivariate distributions. Journal of the American Statistical Association, 60, 516–522.Google Scholar
Rosenblatt, M. (1952). Remarks on a multivariate transformation. Annals of Mathematical Statistics, 470–472.Google Scholar
Song, S. and Singh, V. P. (2010). Frequency analysis of droughts using the Plackett copula and parameter estimation by genetic algorithm. Stochastic Environmental Research and Risk Assessment, 24, 783–805, doi:10.1007/s00477–010–0364–5.CrossRefGoogle Scholar