Using the skew-t copula to model bivariate rainfall distribution

Roslinazairimah Zakaria, Andrew Metcalfe, Julia Piantadosi, John Boland, Phil Howlett

Abstract


We simulate monthly rainfall at two sites in the Murray--Darling Basin. In order to construct a suitable joint distribution, we model the individual totals using appropriate gamma distributions and use a multivariate skew-t distribution to construct an appropriate copula. The skew-t distribution is considered robust as it includes both skewness and tail dependence structure and allows us to model correlations. We investigate the characteristics of a bivariate skew-t distribution and show how adjusting the parameters generates simulated data which matches the observed data.

References
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Keywords


asymmetric t-copulas; multi-site rainfall; tail dependence

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DOI: http://dx.doi.org/10.21914/anziamj.v51i0.2030



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