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Journal of Industrial and Management Optimization (JIMO)
 

Matching the grade correlation coefficient using a copula with maximum disorder

Pages: 305 - 312, Volume 3, Issue 2, May 2007      doi:10.3934/jimo.2007.3.305

 
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Julia Piantadosi - Centre for Industrial and Applied Mathematics, Mawson Lakes Campus, University of South Australia, Mawson Lakes Boulevard, Mawson Lakes, 5095, Australia (email)
Phil Howlett - Centre for Industrial and Applied Mathematics, Mawson Lakes Campus, University of South Australia, Mawson Lakes Boulevard, Mawson Lakes, 5095, Australia (email)
John Boland - Centre for Industrial and Applied Mathematics, Mawson Lakes Campus, University of South Australia, Mawson Lakes Boulevard, Mawson Lakes, 5095, Australia (email)

Abstract: In this paper we use a doubly stochastic matrix to define a copula that preserves the given marginal distributions and matches a known grade correlation coefficient in such a way that the entropy of the doubly stochastic matrix is maximized. We will describe briefly how this work can be applied to the modelling of daily rainfall.

Keywords:  Daily rainfall, copulas, grade correlation, entropy.
Mathematics Subject Classification:  Primary: 62E17 Secondary: 52A41.

Received: September 2006;      Revised: January 2007;      Available Online: April 2007.