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Fitting Drought Duration and Severity with Two-Dimensional Copulas

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  • J. Shiau

Abstract

This study aims to model the joint drought duration and severity distribution using two-dimensional copulas. The method of inference function for margins (IFM method) is employed to construct copulas. Two separate maximum likelihood estimations of univariate marginal distributions are performed first, then followed by a maximization of the bivariate likelihood as a function of the dependence parameters. The drought duration and severity are assumed to be exponential and gamma distributions, respectively. Several copulas are tested to determine the best data fitted copula. Droughts, defined using the Standardized Precipitation Index (SPI), of Wushantou (Taiwan) are employed as an example to illustrate the proposed methodology. The copula fitting results for drought duration and severity are quite satisfactory. The bivariate drought analyses, including the joint probabilities and bivariate return periods, based on the derived copula-based joint distribution are also investigated to demonstrate the advantages of bivariate modeling of droughts. Copyright Springer Science+Business Media, Inc. 2006

Suggested Citation

  • J. Shiau, 2006. "Fitting Drought Duration and Severity with Two-Dimensional Copulas," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 20(5), pages 795-815, October.
    • Handle: RePEc:spr:waterr:v:20:y:2006:i:5:p:795-815
    DOI: 10.1007/s11269-005-9008-9
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    References listed on IDEAS

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    1. Klugman, Stuart A. & Parsa, Rahul, 1999. "Fitting bivariate loss distributions with copulas," Insurance: Mathematics and Economics, Elsevier, vol. 24(1-2), pages 139-148, March.
    2. B. Bonaccorso & I. Bordi & A. Cancelliere & G. Rossi & A. Sutera, 2003. "Spatial Variability of Drought: An Analysis of the SPI in Sicily," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 17(4), pages 273-296, August.
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