Modified Maximum Pseudo Likelihood Method of Copula Parameter Estimation for Skewed Hydrometeorological Data

被引:2
|
作者
Joo, Kyungwon [1 ]
Shin, Ju-Young [2 ]
Heo, Jun-Haeng [1 ]
机构
[1] Yonsei Univ, Dept Civil & Environm Engn, Seoul 03722, South Korea
[2] Natl Inst Meteorol Sci, Appl Meteorol Res Div, Seogwipo Si 63568, South Korea
基金
新加坡国家研究基金会;
关键词
parameter estimation of copula model; Gumbel copula; maximum pseudo-likelihood; modified maximum pseudo-likelihood; inference function for margin method; NONSTATIONARY FREQUENCY-ANALYSIS; PLOTTING POSITION FORMULA; RIVER-BASIN; WAKEBY DISTRIBUTION; DROUGHT; DEPENDENCE; INTENSITY; EXTREMES; RISK;
D O I
10.3390/w12041182
中图分类号
X [环境科学、安全科学];
学科分类号
08 ; 0830 ;
摘要
For multivariate frequency analysis of hydrometeorological data, the copula model is commonly used to construct joint probability distribution due to its flexibility and simplicity. The Maximum Pseudo-Likelihood (MPL) method is one of the most widely used methods for fitting a copula model. The MPL method was derived from the Weibull plotting position formula assuming a uniform distribution. Because extreme hydrometeorological data are often positively skewed, capacity of the MPL method may not be fully utilized. This study proposes the modified MPL (MMPL) method to improve the MPL method by taking into consideration the skewness of the data. In the MMPL method, the Weibull plotting position formula in the original MPL method is replaced with the formulas which can consider the skewness of the data. The Monte-Carlo simulation has been performed under various conditions in order to assess the performance of the proposed method with the Gumbel copula model. The proposed MMPL method provides more precise parameter estimates than does the MPL method for positively skewed hydrometeorological data based on the simulation results. The MMPL method would be a better alternative for fitting the copula model to the skewed data sets. Additionally, applications of the MMPL methods were performed on the two weather stations (Seosan and Yeongwol) in South Korea.
引用
收藏
页数:23
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