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The Most Entropic Copula Based on Shannon Entropy and Blest's Measure and It's Application in Hydrology
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Elaheh Kadkhoda    , Gholam Reza Mohtashami Borzadaran * , Mohammad Amini |
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Abstract: (784 Views) |
| Maximum entropy copula theory is a combination of copula and entropy theory. This method obtains the maximum entropy distribution of random variables by considering the dependence structure. In this paper, the most entropic copula based on Blest's measure is introduced, and its parameter estimation method is investigated. The simulation results show that if the data has low tail dependence, the proposed distribution performs better compared to the most entropic copula distribution based on Spearman's coefficient. Finally, using the monthly rainfall series data of Zahedan station, the application of this method in the analysis of hydrological data is investigated. |
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| Keywords: The most entropic copula, Spearman's correlation coefficient, Blest’s rank correlation coefficient, Tail dependence, Drought, Return period. |
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Full-Text [PDF 791 kb]
(426 Downloads)
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Type of Study: Applied |
Subject:
Statistical Inference
Received: 2022/12/28 | Accepted: 2024/08/31 | Published: 2024/06/4
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