Using the skew-t copula to model bivariate rainfall distribution


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



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


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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Proceedings Engineering Mathematics and Applications Conference