The question of how to choose a copula model that best fits a given dataset is a predominant limitation of the copula approach, and the present study aims to investigate the techniques of goodness-of-fit tests for mul...The question of how to choose a copula model that best fits a given dataset is a predominant limitation of the copula approach, and the present study aims to investigate the techniques of goodness-of-fit tests for multi-dimensional copulas. A goodness-of-fit test based on Rosenblatt＇s transformation was mathematically expanded from two dimensions to three dimensions and procedures of a bootstrap version of the test were provided. Through stochastic copula simulation, an empirical application of historical drought data at the Lintong Gauge Station shows that the goodness-of-fit tests perform well, revealing that both trivariate Gaussian and Student t copulas are acceptable for modeling the dependence structures of the observed drought duration, severity, and peak. The goodness-of-fit tests for multi-dimensional copulas can provide further support and help a lot in the potential applications of a wider range of copulas to describe the associations of correlated hydrological variables. However, for the application of copulas with the number of dimensions larger than three, more complicated computational efforts as well as exploration and parameterization of corresponding copulas are required.展开更多
Estimation of distribution algorithms are a class of evolutionary optimization algorithms based on probability distribution model. In this article, a Pareto-based multi-objective estimation of distribution algorithm w...Estimation of distribution algorithms are a class of evolutionary optimization algorithms based on probability distribution model. In this article, a Pareto-based multi-objective estimation of distribution algorithm with multivariate T-copulas is proposed. The algorithm employs Pareto-based approach and multivariate T-copulas to construct probability distribution model. To estimate joint distribution of the selected solutions, the correlation matrix of T-copula is firstly estimated by estimating Kendall’s tau and using the relationship of Kendall’s tau and correlation matrix. After the correlation matrix is estimated, the degree of freedom of T-copula is estimated by using the maximum likelihood method. Afterwards, the Monte Carte simulation is used to generate new individuals. An archive with maximum capacity is used to maintain the non-dominated solutions. The Pareto optimal solutions are selected from the archive on the basis of the diversity of the solutions, and the crowding-distance measure is used for the diversity measurement. The archive gets updated with the inclusion of the non-dominated solutions from the combined population and current archive, and the archive which exceeds the maximum capacity is cut using the diversity consideration. The proposed algorithm is applied to some well-known benchmark. The relative experimental results show that the algorithm has better performance and is effective.展开更多
基金supported by the Program of Introducing Talents of Disciplines to Universities of the Ministry of Education and State Administration of the Foreign Experts Affairs of China (the 111 Project, Grant No.B08048)the Special Basic Research Fund for Methodology in Hydrology of the Ministry of Sciences and Technology of China (Grant No. 2011IM011000)
文摘The question of how to choose a copula model that best fits a given dataset is a predominant limitation of the copula approach, and the present study aims to investigate the techniques of goodness-of-fit tests for multi-dimensional copulas. A goodness-of-fit test based on Rosenblatt＇s transformation was mathematically expanded from two dimensions to three dimensions and procedures of a bootstrap version of the test were provided. Through stochastic copula simulation, an empirical application of historical drought data at the Lintong Gauge Station shows that the goodness-of-fit tests perform well, revealing that both trivariate Gaussian and Student t copulas are acceptable for modeling the dependence structures of the observed drought duration, severity, and peak. The goodness-of-fit tests for multi-dimensional copulas can provide further support and help a lot in the potential applications of a wider range of copulas to describe the associations of correlated hydrological variables. However, for the application of copulas with the number of dimensions larger than three, more complicated computational efforts as well as exploration and parameterization of corresponding copulas are required.
文摘Estimation of distribution algorithms are a class of evolutionary optimization algorithms based on probability distribution model. In this article, a Pareto-based multi-objective estimation of distribution algorithm with multivariate T-copulas is proposed. The algorithm employs Pareto-based approach and multivariate T-copulas to construct probability distribution model. To estimate joint distribution of the selected solutions, the correlation matrix of T-copula is firstly estimated by estimating Kendall’s tau and using the relationship of Kendall’s tau and correlation matrix. After the correlation matrix is estimated, the degree of freedom of T-copula is estimated by using the maximum likelihood method. Afterwards, the Monte Carte simulation is used to generate new individuals. An archive with maximum capacity is used to maintain the non-dominated solutions. The Pareto optimal solutions are selected from the archive on the basis of the diversity of the solutions, and the crowding-distance measure is used for the diversity measurement. The archive gets updated with the inclusion of the non-dominated solutions from the combined population and current archive, and the archive which exceeds the maximum capacity is cut using the diversity consideration. The proposed algorithm is applied to some well-known benchmark. The relative experimental results show that the algorithm has better performance and is effective.
