Multivariate discrete copulas, with applications in probabilistic weather forecasting

Roman Schefzik

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arXiv · 1512.05629

Multivariate discrete copulas, with applications in probabilistic weather forecasting

Roman Schefzik

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Abstract

In probability and statistics, copulas play important roles theoretically as well as to address a wide range of problems in various application areas. We introduce the concept of multivariate discrete copulas, discuss their equivalence to stochastic arrays, and prove a multivariate discrete version of Sklar's theorem. These results provide the theoretical frame for multivariate statistical methods to postprocess weather forecasts made by ensemble systems, including the ensemble copula coupling approach and the Schaake shuffle.

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Roman Schefzik. 2015-12-17. Multivariate discrete copulas, with applications in probabilistic weather forecasting. https://arxiv.org/abs/1512.05629

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