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

作者：Christian Genest, Anne‐Catherine Favre · 发表于：Journal of Hydrologic Engineering · 年份：2007 · DOI：10.1061/(asce)1084-0699(2007)12:4(347) · 被引用次数：1650 · 研究领域：Hydrology and Drought Analysis、Financial Risk and Volatility Modeling、Soil Geostatistics and Mapping

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.