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Multivariate Design Via Copulas : Volume 8, Issue 3 (10/06/2011)

By Salvadori, G.

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Book Id: WPLBN0004012940
Format Type: PDF Article :
File Size: Pages 36
Reproduction Date: 2015

Title: Multivariate Design Via Copulas : Volume 8, Issue 3 (10/06/2011)  
Author: Salvadori, G.
Volume: Vol. 8, Issue 3
Language: English
Subject: Science, Hydrology, Earth
Collections: Periodicals: Journal and Magazine Collection, Copernicus GmbH
Publication Date:
Publisher: Copernicus Gmbh, Göttingen, Germany
Member Page: Copernicus Publications


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Durante, F., Michele, C. D., & Salvadori, G. (2011). Multivariate Design Via Copulas : Volume 8, Issue 3 (10/06/2011). Retrieved from

Description: Dipartimento di Matematica, Università del Salento, Provinciale Lecce-Arnesano, P.O. Box 193, 73100 Lecce, Italy. Calculating return periods and design quantiles in a multivariate framework is a difficult problem: essentially, this is due to the lack of a natural total order in multi-dimensional Euclidean spaces. This paper tries to make the issue clear. First, we outline a possible way to introduce a coherent notion of multivariate total order, and discuss its consequences on the calculation of multivariate return period: in particular, the latter is based on Copulas and the Kendall's measure, which provides a consistent notion of multivariate quantile. Secondly, we introduce several approaches for the identification of critical design events: these latter quantities are of utmost importance in practical applications, but their calculation is yet limited, due to the lack of a suitable theoretical setting where to embed the problem. Throughout the paper, a case study involving the behavior of a dam is used to illustrate the new concepts outlined in this work.

Multivariate design via Copulas

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