Abstract
A comprehensive parametric approach to study the probability distribution of rainfall data at scales of hydrologic interest (e.g. from few minutes up to daily) requires the use of mixed distributions with a discrete part accounting for the occurrence of rain and a continuous one for the rainfall amount. In particular, when a bivariate vector (X, Y) is considered (e.g. simultaneous observations from two rainfall stations or from two instruments such as radar and rain gauge), it is necessary to resort to a bivariate mixed model. A quite flexible mixed distribution can be defined by using a 2-copula and four marginals, obtaining a bivariate copula-based mixed model. Such a distribution is able to correctly describe the intermittent nature of rainfall and the dependence structure of the variables. Furthermore, without loss of generality and with gain of parsimony this model can be simplified by some transformations of the marginals. The main goals of this work are: (1) to empirically explore the behaviour of the parameters of marginal transformations as a function of time scale and inter-gauge distance, by analysing data from a network of rain gauges; (2) to compare the properties of the regression curves associated to the copula-based mixed model with those derived from the model simplified by transformations of the marginals. The results from the investigation of transformations’ parameters are in agreement with the expected theoretical dependence on inter-gauge distance, and show dependence on time scale. The analysis on the regression curves points out that: (1) a copula-based mixed model involves regression curves quite close to some non-parametric models; (2) the performance of the parametric regression decreases in the same cases in which non-parametric regression shows some instability; (3) the copula-based mixed model and its simplified version show similar behaviour in term of regression for mid-low values of rainfall.
Similar content being viewed by others
References
Capéraà P, Fougères A-L, Genest C (1997) A nonparametric estimation procedure for bivariate extreme value copulas. Biometrika 84(3):567–577
Cherubini U, Luciano E, Vecchiato W (2004) Copula methods in finance. Wiley, Chichester
Ciach GJ, Krajewski WF, Villarini G (2007) Product-error-driven uncertainty model for probabilistic precipitation estimation with NEXRAD data. J Hydrometeorol 8(6):1325–1347
Cleveland WS (1993) Visualizing data. Hobart Press, Summit
Coles S, Heffernan J, Tawn J (1999) Dependence measures for extreme value analyses. Extremes 2(4):339–365
Downton F (1970) Bivariate exponential distributions in reliability theory. J Roy Stat Soc Ser B 32:408–417
Fang H-B, Fang K-T, Kotz S (2002) The meta-elliptical distributions with given marginals. J Multivariate Anal 82(1):1–16
Frahm G, Junker M, Schmidt R (2005) Estimating the tail-dependence coefficient: properties and pitfalls. Insur Math Econ 37:80–100
Genest C, Favre A-C (2007) Everything you always wanted to know about copula modeling but were afraid to ask. J Hydrol Eng 12(4):347–368
Genest C, Rémillard B (2008) Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models. Annales de l’Institut Henri Poincaré—Probabilités et Statistiques. doi: 10.1214/07-AIHP148
Genest C, Favre A-C, Béliveau J, Jacques C (2007) Metaelliptical copulas and their use in frequency analysis of multivariate hydrological data. Water Resour Res 43:W09401. doi:10.1029/2006WR005275
Genest C, Rémillard B, Beaudoin D (2008) Goodness-of-fit tests for copulas: a review and a power study. Insur Math Econ. doi:10.1016/j.insmatheco.2007.10.005
Ha E, Yoo C (2007) Use of mixed bivariate distributions for deriving inter-station correlation coefficients of rain rate. Hydrol Process 21(22):3078–3086
Habib E, Krajewski WF, Ciach GJ (2001) Estimation of rainfall interstation correlation. J Hydrometeorol 2:621–629
Herr HD, Krzysztofowicz R (2005) Generic probability distribution of rainfall in space: the bivariate model. J Hydrol 306:234–263
Hosking JRM, Wallis JR (1997) Regional frequency analysis: an approach based on L-moments. Cambridge University Press, Cambridge
Joe H (1997) Multivariate models and dependence concepts. Chapman & Hall, New York
Kayano K, Shimizu K (1994) Optimal thresholds for a mixture of lognormal distributions as the continuous part of the mixed distribution. J Appl Meteorol 33:1543–1550
Kedem B, Chiu LS, Karni Z (1990) An analysis of the threshold method for measuring area-average rainfall. J Appl Meteorol 29:3–20
Kottegota NT, Rosso R (1997) Probability, statistics, and reliability for civil and environmental engineers. McGraw-Hill, New York
Kotz S, Balakrishnan N, Johnson NL (2000) Continuous multivariate distributions, 2nd edn. Wiley, New York
Kuhn G, Khan S, Ganguly AR, Branstetter ML (2007) Geospatial–temporal dependence among weekly precipitation extremes with applications to observations and climate model simulations in South America. Adv Water Resour 30:2401–2423
Nelsen RB (2006) An introduction to copulas, 2nd edn. Springer, New York
Poulin A, Huard D, Favre A-C, Pugin S (2007) Importance of tail dependence in bivariate frequency analysis. J Hydrol Eng 12(4):394–403
Salvadori G, De Michele C, Kottegoda NT, Rosso R (2007) Extremes in nature: an approach using copulas. Springer, Dordrecht
Schmidt R (2005) Tail dependence. In: Cizek P, Härdle W, Weron R (eds) Statistical tools in finance and insurance. Springer, New York
Schmidt R, Stadtmüller U (2006) Non-parametric estimation of tail dependence. Scand J Stat 33:307–335
Serinaldi F (2008) Analysis of inter-gauge dependence by Kendall’s τK, upper tail dependence coefficient, and 2-copulas with application to rainfall fields. Stoch Environ Res Risk Assess. doi:10.1007/s00477-007-0176-4
Shimizu K (1993) A bivariate mixed lognormal distribution with an analysis of rainfall data. J Appl Meteorol 32:161–171
Sirangelo B, Versace P, De Luca DL (2007) Rainfall nowcasting by at site stochastic model P.R.A.I.S.E. Hydrol Earth Syst Sci 11:1341–1351
Sklar A (1959) Fonction de répartition à n dimensions et leurs marges. Publications de Institut de Statistique Université de Paris 8:229–231
Villarini G, Serinaldi F, Krajewski WF (2008) Modeling radar-rainfall estimation uncertainties using parametric and non-parametric approaches. Adv Water Resour (submitted)
Yoo C, Ha E (2007) Effect of zero measurements on the spatial correlation structure of rainfall. Stoch Environ Res Risk Assess 21:287–297
Yoo C, Jung K-S, Kim T-W (2005) Rainfall frequency analysis using a mixed gamma distribution: evaluation of the global warming effect on daily rainfall. Hydrol Processes 19(19):3851–3861
Acknowledgments
The author wishes to thank G. Villarini for fruitful comments and discussions, and two anonymous referees for their thorough and constructive reviews. The CNR-IRPI and the Umbria Regional Hydrometeorological Service are acknowledged for kindly providing the data.
Author information
Authors and Affiliations
Corresponding author
Additional information
An erratum to this article can be found at http://dx.doi.org/10.1007/s00477-008-0281-z
Appendix
Appendix
The copulas belonging to Gumbel family (also known as Gumbel–Hougaard family) have expression:
were α ≥ 1 is a dependence parameter. For α = 1, Gumbel copula approaches the Product copula Π (u, v) = uv describing independence of random variables U and V. For α → ∞, Gumbel copula approaches the Fréchet–Hoeffding upper bound M(u, v) = min{u, v}, denoting perfect positive association. Kendall’s τ K and α are related as follows:
The lower and upper tail dependence coefficients for copulas of this family are, respectively, \( \lambda _{{\text{L}}} = 0 \) and \( \lambda _{{\text{U}}} = 2 - 2^{{{1 \mathord{\left/ {\vphantom {1 \alpha }} \right. \kern-\nulldelimiterspace} \alpha }}} . \) From the latter and Eq. (17), it follows that:
Gumbel family belongs to Archimedean and Extreme Value classes of copulas (for more details, consult Nelsen (2006) and Salvadori et al. (2007), among others).
Student copula belongs to meta-elliptical class introduced by Fang et al. (2002) (see also Genest et al. (2007) for hydrological applications). It is given by:
where α ∈ [–1, 1] is a dependence parameter and \( t_{\upsilon }^{{ - 1}} \) is the quantile function of Student distribution with υ degrees of freedom. The cases α = 0, 1, −1 correspond, respectively, to \( C_{{t_{\upsilon } }} = \Uppi ,C_{{t_{\upsilon } }} = M, \) and \( C_{{t_{\upsilon } }} = W, \) where W(u,v) = max{u + v−1,0} is Fréchet–Hoeffding lower bound, which describes perfect negative association. Parameter α corresponds to Pearson’s correlation coefficient and is related to Kendall’s τ K by:
Lower and upper tail dependence coefficients are equal and given by:
From Eqs. (20) and (21), it follows the relation between τ K and λ U:
Rights and permissions
About this article
Cite this article
Serinaldi, F. Copula-based mixed models for bivariate rainfall data: an empirical study in regression perspective. Stoch Environ Res Risk Assess 23, 677–693 (2009). https://doi.org/10.1007/s00477-008-0249-z
Published:
Issue Date:
DOI: https://doi.org/10.1007/s00477-008-0249-z