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Joint frequency analysis of streamflow and sediment amount with copula functions in the Kızlırmak Basin, Turkey

NATURAL HAZARDS 2025年第4期121卷 4219-4238页

作者： Baykal, Tahsin Kirikkale Univ Fac Engn & Nat Sci Kirikkale Turkiye

The accurate determination of sediment amount is crucial for the design and operation of reservoirs. The sediment rating curve (SRC) is the most widely used method for determining sediment amount. The SRC was derived from streamflow and sediment amount measurements taken at hydrometric monitoring stations. However, when measurements cannot be made at these stations (such as flooding), sediment amount determination becomes difficult. Therefore, in recent years, researchers have used copula functions to determine the relationship between streamflow and sediment amount. In this study, the joint distribution functions of streamflow and sediment amount at five different stations (Av & scedil;ar, Bulukaba & scedil;& imath;, & Idot;n & ouml;z & uuml;, S & ouml;& gbreve;& uuml;tl & uuml;han and Yamula) in the K & imath;z & imath;l & imath;rmak Basin, one of the most important basins of Turkey, were determined. Initially, the relationship between streamflow and sediment amount was examined and a positive correlation was found between the parameters. Then, the marginal distributions of each dataset were determined and joint distributions were generated using the Burr, Roch-Alegre, BB1 and Tawn copula functions. The root mean square error of the mean square error (RMSE) and Nash-Sutcliffe efficiency (NSE) were used to select the optimal joint function. According to the optimal joint function determined for each station, the common return periods for both the AND and OR scenarios were calculated. When joint return periods were analyzed, the amount of sediment exceeded the average amount of sediment at all stations.

关键词： copula functions Joint distribution Joint return period Sediment amount Streamflow

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Saffron price dynamics in Iran: Influence of the standardized precipitation index with copula functions

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JOURNAL OF CLEANER PRODUCTION 2025年 495卷

作者： Vahedi, Jabraeil Ghahremanzadeh, Mohammad Pishbahar, Esmaeil Dashti, Ghader Samadianfard, Saeed Univ Tabriz Fac Agr Dept Agr Econ Tabriz *** Iran Univ Tabriz Fac Agr Dept Water Sci & Engn Tabriz *** Iran

This study investigates the relationship between climatic variability, represented by the Standardized Precipitation Index (SPI), and saffron prices in Iran's key producing regions of Torbat Heydarieh and Torbat Jam from 1991 to 2022. We employed a rigorous copula-based framework, specifically the Frank copula to model the joint probability distribution of saffron prices and SPI. According to our analysis, there is a significant negative correlation between higher SPI values and lower saffron prices. The probability of prices falling below the long-term average of 1000 $kg-1 is 62%, regardless of weather conditions. During wet periods in Torbat Heydarieh, this probability increases to 73%, while it drops to 36% in dry periods. In Torbat Jam, the probabilities are similarly notable: 72% for wet periods and 30% for dry periods. The findings demonstrate that drought conditions, while expected to result in price spikes due to reduced supply, also decrease the perceived downside risk of prices. These insights enhance the understanding of the complex interplay between climate and agricultural pricing dynamics, emphasizing the necessity for integrated risk management strategies among stakeholders. Furthermore, they underscore the urgency for research into the psychological dynamics of traders' behaviors and the broader climate impacts on agricultural commodities.

关键词： Climate change copula functions Price risk Standardized precipitation index Saffron price

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Univariate and Bivariate Hydrological Drought Frequency Analysis by copula functions

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WATER RESOURCES MANAGEMENT 2023年第12期37卷 4881-4907页

作者： Deger, Ibrahim Halil Esit, Musa Yuce, Mehmet Ishak Hasan Kalyoncu Univ Civil Engn Dept Gaziantep Turkiye Adiyaman Univ Civil Engn Dept Adiyaman Turkiye Gaziantep Univ Civil Engn Dept Gaziantep Turkiye

Drought duration and severity are two significant and strongly related drought characteristics. In this study, the Streamflow Drought Index (SDI) is utilized to acquire drought characteristics using mean monthly streamflow records of 36 stations in the Euphrates Basin, considering 3- and 6-month time scales. Mann-Kendall's rank correlation coefficient is utilized for analyzing the dependence between severity and duration, as well as for deciding the suitability of series for joint return periods. Six marginal distributions are used to model the marginal distributions of duration and severity. The best fit marginal distributions of these drought characteristics and the best copulas among ten copula types were utilized for constructing univariate return periods of 10, 20, 50, 100, 200, and 500-years and bivariate return periods considering the T-DS (and) and T & PRIME;(DS) (or) cases. The best copulas are analyzed by tail dependence and by goodness of fit tests. Results indicate that the correlation coefficients are between 0.691-0.893 in SDI-3 while they are between 0.741-0.904 in SDI-6. Marginal distribution analyses show that the Lognormal and Weibull distributions are the best-fit distributions for drought duration and severity in SDI-3 while the Lognormal and Gamma were noted to be the most suitable distributions for duration and severity, respectively in SDI-6. Analyses reveal that the Gumbel copula has a clear superiority to model joint return periods in both time scales. Different parts of the basin are at risk of drought for various return periods.

关键词： Drought Hydrological drought Drought characteristics copula functions Euphrates basin Water resources management

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The use of copula functions for predictive analysis of correlations between extreme storm tides

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PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2014年 413卷 489-497页

作者： Domino, Krzysztof Blachowicz, Tomasz Ciupak, Maurycy Silesian Tech Univ Ctr Sci & Educ Inst Phys PL-44100 Gliwice Poland Natl Res Inst Inst Meteorol & Water Management PL-01673 Warsaw Poland

In this paper we present a method used in quantitative description of weakly predictable hydrological, extreme events at inland sea. Investigations for correlations between variations of individual measuring points, employing combined statistical methods, were carried out. As a main tool for this analysis we used a two-dimensional copula function sensitive for correlated extreme effects. Additionally, a new proposed methodology, based on Detrended Fluctuations Analysis (DFA) and Anomalous Diffusion (AD), was used for the prediction of negative and positive auto-correlations and associated optimum choice of copula functions. As a practical example we analysed maximum storm tides data recorded at five spatially separated places at the Baltic Sea. For the analysis we used Gumbel, Clayton, and Frank copula functions and introduced the reversed Clayton copula. The application of our research model is associated with modelling the risk of high storm tides and possible storm flooding. (C) 2014 Elsevier B.V. All rights reserved.

关键词： copula functions Storm tides Detrended fluctuations analysis Anomalous diffusion Correlations Hurst exponent

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Locally Private High-Dimensional Crowdsourced Data Release Based on copula functions

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IEEE TRANSACTIONS ON SERVICES COMPUTING 2022年第2期15卷 778-792页

作者： Wang, Teng Yang, Xinyu Ren, Xuebin Yu, Wei Yang, Shusen Xi An Jiao Tong Univ Sch Comp Sci & Technol Xian 710049 Shaanxi Peoples R China Towson Univ Dept Comp & Informat Sci Towson MD 21252 USA Xi An Jiao Tong Univ Sch Math & Stat Xian 710049 Shaanxi Peoples R China

With the increasing popularity of crowdsourcing services, high-dimensional crowdsourced data provides a wealth of knowledge. Nonetheless, unprecedented privacy threats to participants have emerged, due to complex correlations among multiple attributes and the vulnerabilities of untrusted crowdsourcing servers. Differential privacy-based paradigms have been proposed to release privacy-preserving datasets with statistical approximation. Nonetheless, most existing schemes are limited when facing highly correlated attributes, and cannot prevent privacy threats from untrusted crowdsourcing servers. To address this issue, we propose two novel solutions, namely LoCop and DR_LoCop, which guarantee local differential privacy based on the randomized response technique while synthesizing and releasing high-dimensional crowdsourced data with high data utility. Particularly, LoCop leverages copula theory to synthesize high-dimensional crowdsourced data via univariate marginal distribution and attribute dependence. Univariate marginal distribution is estimated by the Lasso-based regression algorithm from aggregated privacy-preserving bit strings. Dependencies among attributes are modeled as multivariate Gaussian copula. Based on LoCop, the enhanced solution DR_LoCop not only takes advantage of C-vine copula to reflect conditional dependencies among high-dimensional attributes, but also achieves dimension reduction. Extensive experiments on real-world datasets demonstrate that our solutions substantially outperform the state-of-the-art techniques in terms of both data utility and computational overhead.

关键词： Privacy Differential privacy Servers Correlation Crowdsourcing Dimensionality reduction High-dimensional crowdsourced data copula functions local differential privacy data synthesis and release

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Reliability-based design optimization for vehicle body crashworthiness based on copula functions

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ENGINEERING OPTIMIZATION 2020年第8期52卷 1362-1381页

作者： Wang, Qiong Huang, Zhiliang Dong, Junhong Hunan Univ Coll Mech & Vehicle Engn State Key Lab Adv Design & Mfg Vehicle Body Changsha Hunan Peoples R China China Automot Technol & Res Ctr Co Ltd Tianjin Peoples R China

Vehicle body crashworthiness is crucial in a traffic accident. It can protect passengers from serious injury or death and reduce vehicle damage. To provide a more effective design framework for ensuring crash safety, a reliability-based design optimization (RBDO) method for vehicle body crashworthiness considering complex parametric correlation is developed by integrating copula functions. An RBDO model is formulated for the vehicle body crashworthiness problem based on a finite element model of a vehicle crash. Taking into account the correlation of random parameters, the optimal copula function is selected by the Bayesian method to model parametric correlation and build the joint probability distribution function. An efficient solution strategy is provided to perform the reliability analysis and optimization design of crashworthiness. The results demonstrate that the proposed method is reliable and has a high accuracy for crashworthiness design.

关键词： Reliability-based design optimization nonlinear correlation copula functions vehicle body crashworthiness Bayesian method

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Using copula functions in Bayesian Analysis: A Comparison of the Lognormal Conjugate

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ENGINEERING ECONOMIST 2015年第2期60卷 89-108页

作者： Herath, Hemantha S. B. Kumar, Pranesh Brock Univ Goodman Sch Business Dept Accounting St Catharines ON L2S 3A1 Canada Univ No British Columbia Coll Sci & Management Math Program Prince George BC V2L 5P2 Canada

Bayesian techniques have been applied to analyze sequential investment decisions in the capital budgeting literature. This article introduces copula-based Bayesian analysis as an alternative to the traditional approach where conjugate relationships do not exist. Using a numerical example, we illustrate the steps involved in the copula-based Bayesian approach. Graphical techniques for selecting an appropriate copula are also discussed. The unique ability of copulas to model nonlinear dependence rationalizes the use of copula functions as an alternative technique.

关键词： Bayesian analysis Capital budget Decision making in investments Graphic methods copula functions Lognormal distribution

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Measure-invariance of copula functions as tool for testing no-arbitrage assumption

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JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS 2018年 338卷 80-90页

作者： Romagnoli, Silvia Univ Bologna Dept Stat Via Belle Arti 41 I-40126 Bologna Italy

copulas, which are invariant under margins' transforms induced by some change of measure, are investigated. It is emphasized that this particular kind of transforms induced by some change of measure, largely used in pricing techniques, preserves the invariance of the aggregation operator and a sufficient condition to assure it is proved. The discussion is extended to the time-preserving of measure-invariance;a characterization of its stability in time for multivariate stationary processes, based on the dynamic copula representation (see Cherubini et al., 2011), is provided. Finally a measure invariance-based statistical test for the absence of arbitrage opportunity assumption and its preservation in time is proposed and an empirical experiment based on quotes of S&P 500 futures and options traded on the Chicago Mercantile Exchange (CME) is discussed. (C) 2018 Elsevier B.V. All rights reserved.

关键词： Change of measure copula functions Invariance property Transform of margins Absence of arbitrages

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The use of copula functions for modeling the risk of investment in shares traded on world stock exchanges

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PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2015年 424卷 142-151页

作者： Domino, Krzysztof Blachowicz, Tomasz Silesian Tech Univ Ctr Sci & Educ Inst Phys PL-44100 Gliwice Poland

In this paper the two dimensional model of the investment in shares is presented. The shares prices from five different world stock exchanges (New York, London, Frankfurt, Honk Kong, and Sydney) are examined. The copula functions are used to model the risk of investment. The Hurst threshold exponent derived from the local Detrended Fluctuation Analysis is used to determine the safe investment portfolios with no extreme drops in shares prices. The most important result states that the threshold value is not universal for different markets, however, it is influenced by the subsequent level of market freedom. It was shown, that the level, relatively larger in US, UK, and Australia than in Germany and China, affects the Hurst exponent threshold value. (C) 2015 Elsevier B.V. All rights reserved.

关键词： Econophysics Stock exchanges copula functions Hurst exponent Detrended Fluctuation Analysis Safe investment portfolios

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The use of copula functions for modeling the risk of investment in shares traded on the Warsaw Stock Exchange

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PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2014年 413卷 77-85页

作者： Domino, Krzysztof Blachowicz, Tomasz Silesian Tech Univ Ctr Sci & Educ Inst Phys PL-44100 Gliwice Poland

In our work copula functions and the Hurst exponent calculated using the local Detrended Fluctuation Analysis (DFA) were used to investigate the risk of investment made in shares traded on the Warsaw Stock Exchange. The combination of copula functions and the Hurst exponent calculated using local DFA is a new approach. For copula function analysis bivariate variables composed of shares prices of the PEKAO bank (a big bank with high capitalization) and other banks (PKOBP, BZ WBK, MBANK and HANDLOWY in decreasing capitalization order) and companies from other branches (KGHM-mining industry, PKNORLEN-petrol industry as well as ASSECO-software industry) were used. Hurst exponents were calculated for daily shares prices and used to predict high drops of those prices. It appeared to be a valuable indicator in the copula selection procedure, since Hurst exponent's low values were pointing on heavily tailed copulas e.g. the Clayton one. (C) 2014 Elsevier B.V. All rights reserved.

关键词： Econophysics Warsaw Stock Exchange copula functions Hurst exponent Detrended fluctuation analysis copula selection procedure

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