The application of the hybrid copula-GARCH approach in the simulation of extreme discharge values
Abstract Statistical analysis and simulation of annual maximum discharge values, while considering the corresponding maximum daily rainfall, provide a comprehensive view of flood management. This research presents the application of copula functions for simulating and modeling two variables of annua...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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SpringerOpen
2022-11-01
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| Series: | Applied Water Science |
| Subjects: | |
| Online Access: | https://doi.org/10.1007/s13201-022-01788-z |
| _version_ | 1798044490324246528 |
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| author | Mohammad Nazeri Tahroudi Mirali Mohammadi Keivan Khalili |
| author_facet | Mohammad Nazeri Tahroudi Mirali Mohammadi Keivan Khalili |
| author_sort | Mohammad Nazeri Tahroudi |
| collection | DOAJ |
| description | Abstract Statistical analysis and simulation of annual maximum discharge values, while considering the corresponding maximum daily rainfall, provide a comprehensive view of flood management. This research presents the application of copula functions for simulating and modeling two variables of annual maximum discharge and corresponding precipitation. In this research, the performance of copula-based models and ARCH-based models including VAR-GARCH, copula, and copula-GARCH models was then evaluated to simulate the annual maximum discharge values. The simulation results of all three models were evaluated using NSE and NRMSE statistics. According to the 95% confidence intervals, the accuracy of all three models was confirmed. The correlation results of the studied pair variables confirmed the possibility of using copula-based models. The results of simulations revealed that a higher accuracy of the copula-GARCH approach compared with two models copula and VAR-GARCH. Considering 76% efficiency (NSE = 0.76) of the copula-GARCH approach, the results indicated 20 and 2.7% improvements in the performance of the proposed approach compared to both VAR-GARCH and copula models. The results also illustrated that by combining nonlinear ARCH models with copula-based simulations, the reliability of simulation results increased. The results obtained in this study suggest that the proposed method is very effective for increasing the certainty of frequency analysis of two variables. Because the copula-GARCH approach simulates the average values, the first and third quarters, as well as the amplitude of changes of 5 and 95% of the data better than the other two models. Graphical abstract Violin plot of AMD series in copula scale |
| first_indexed | 2024-04-11T23:04:43Z |
| format | Article |
| id | doaj.art-1df4d557b1674539836bb37fd1c3114e |
| institution | Directory Open Access Journal |
| issn | 2190-5487 2190-5495 |
| language | English |
| last_indexed | 2024-04-11T23:04:43Z |
| publishDate | 2022-11-01 |
| publisher | SpringerOpen |
| record_format | Article |
| series | Applied Water Science |
| spelling | doaj.art-1df4d557b1674539836bb37fd1c3114e2022-12-22T03:58:02ZengSpringerOpenApplied Water Science2190-54872190-54952022-11-01121211310.1007/s13201-022-01788-zThe application of the hybrid copula-GARCH approach in the simulation of extreme discharge valuesMohammad Nazeri Tahroudi0Mirali Mohammadi1Keivan Khalili2Department of Water Engineering, University of BirjandDepartment of Civil Engineering, Faculty of Engineering, Urmia UniversityDepartment of Water Engineering, Urmia UniversityAbstract Statistical analysis and simulation of annual maximum discharge values, while considering the corresponding maximum daily rainfall, provide a comprehensive view of flood management. This research presents the application of copula functions for simulating and modeling two variables of annual maximum discharge and corresponding precipitation. In this research, the performance of copula-based models and ARCH-based models including VAR-GARCH, copula, and copula-GARCH models was then evaluated to simulate the annual maximum discharge values. The simulation results of all three models were evaluated using NSE and NRMSE statistics. According to the 95% confidence intervals, the accuracy of all three models was confirmed. The correlation results of the studied pair variables confirmed the possibility of using copula-based models. The results of simulations revealed that a higher accuracy of the copula-GARCH approach compared with two models copula and VAR-GARCH. Considering 76% efficiency (NSE = 0.76) of the copula-GARCH approach, the results indicated 20 and 2.7% improvements in the performance of the proposed approach compared to both VAR-GARCH and copula models. The results also illustrated that by combining nonlinear ARCH models with copula-based simulations, the reliability of simulation results increased. The results obtained in this study suggest that the proposed method is very effective for increasing the certainty of frequency analysis of two variables. Because the copula-GARCH approach simulates the average values, the first and third quarters, as well as the amplitude of changes of 5 and 95% of the data better than the other two models. Graphical abstract Violin plot of AMD series in copula scalehttps://doi.org/10.1007/s13201-022-01788-zARCH modelsARMAFrequency analysisGumbel-HougaardHeteroscedasticity |
| spellingShingle | Mohammad Nazeri Tahroudi Mirali Mohammadi Keivan Khalili The application of the hybrid copula-GARCH approach in the simulation of extreme discharge values Applied Water Science ARCH models ARMA Frequency analysis Gumbel-Hougaard Heteroscedasticity |
| title | The application of the hybrid copula-GARCH approach in the simulation of extreme discharge values |
| title_full | The application of the hybrid copula-GARCH approach in the simulation of extreme discharge values |
| title_fullStr | The application of the hybrid copula-GARCH approach in the simulation of extreme discharge values |
| title_full_unstemmed | The application of the hybrid copula-GARCH approach in the simulation of extreme discharge values |
| title_short | The application of the hybrid copula-GARCH approach in the simulation of extreme discharge values |
| title_sort | application of the hybrid copula garch approach in the simulation of extreme discharge values |
| topic | ARCH models ARMA Frequency analysis Gumbel-Hougaard Heteroscedasticity |
| url | https://doi.org/10.1007/s13201-022-01788-z |
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