Metaelliptical copulas and their use in frequency analysis of multivariate hydrological data

Abstract

Metaelliptical copulas are introduced as a flexible tool for modeling multivariate data in hydrology. The properties of this broad class of dependence functions are reviewed, along with associated rank-based procedures for copula parameter estimation and goodness-of-fit testing. A new graphical diagnostic tool is also proposed for selecting an appropriate metaelliptical copula. Peak, volume, and duration of the annual spring flood for the Romaine River (Québec, Canada) are used for illustration purposes. Copyright 2007 by the American Geophysical Union.