Trivariate copula to design coastal structures

A closed-form universal trivariate pair-copula

Based on the trivariate pair-copula construction for the bivariate linear circular copula by Perlman and Wellner (Symmetry 3:574-99, 2011) and the Theorem of Carathéodory, which states that any valid correlation matrix is a finite convex combination of extreme correlation matrices, we generate a class of closed-form analytical 3-universal copulas. We derive explicit product and lifting copula f...

Nonparametric Identification of Copula Structures

We propose a unified framework for testing a variety of assumptions commonly made about the structure of copulas, including symmetry, radial symmetry, joint symmetry, associativity and Archimedeanity, and max-stability. Our test is nonparametric and based on the asymptotic distribution of the empirical copula process. We perform simulation experiments to evaluate our test and conclude that our ...

Environmental Design of Low Crested Coastal Defence Structures

Computational wave dynamics for innovative design of coastal structures

For innovative designs of coastal structures, Numerical Wave Flumes (NWFs), which are solvers of Navier-Stokes equation for free-surface flows, are key tools. In this article, various methods and techniques for NWFs are overviewed. In the former half, key techniques of NWFs, namely the interface capturing (MAC, VOF, C-CUP) and significance of NWFs in comparison with the conventional wave models...

A trivariate non-Gaussian copula having 2-dimensional Gaussian copulas as margins

Arthur Charpentier (see Arthur’s blog) was recently contacted by some researchers willing to test if a multivariate copula is or not Gaussian. They use a test proposed in Malevergne and Sornette (2003) stating that one should simply test for pairwise normality. This test may be of importance in finance, in actuarial science, and in risk management in general: for example, given 120 financial as...