Estimation procedures for exchangeable Marshall copulas with hydrological application

Fabrizio Durante and Ostap Okhrin

No 2014-014, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Abstract: Complex phenomena in environmental sciences can be conveniently represented by several inter-dependent random variables. In order to describe such situations, copula-based models have been studied during the last year. In this paper, we consider a novel family of bivariate copulas, called exchangeable Marshall copulas. Such copulas describe both positive and (upper) tail association between random variables. Speci cally, inference procedures for the family of exchangeable Marshall copulas are introduced, based on the estimation of their (univariate) generator. Moreover, the performance of the proposed methodologies is shown in a simulation study. Finally, an illustration describes how the proposed procedures can be useful in a hydrological application.

Keywords: Copula; Kendall distribution; Marshall-Olkin distribution; Non-parametric Estimation; Risk Management (search for similar items in EconPapers)
JEL-codes: C13 C14 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb649:sfb649dp2014-014

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