Multivariate Modeling of Annual Instantaneous

Maximum Flows Using Copulas

Fatih Tosunoglu 1 and Vijay P. Singh, Dist.M.ASCE 2
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Abstract: Although copula functions have been successively applied to flood frequency analysis, their application has usually been re-
stricted to modeling bivariate dependence. This is because higher-dimensional expressions are only available for a few copula families, which
may not have enough flexibility in modeling complex dependence structures. However, vine copulas, which have been recently introduced as
an innovative method, can overcome such limitations. In this study, vine copulas are used for multivariate modeling of annual instantaneous
maximum flows of three main tributaries located in the Euphrates River Basin, which is one of the most important sources of water for Turkey.
The performance of vine copulas was compared with commonly used Archimedean (Clayton, Frank, and Gumbel-Hougaard) and elliptical
(Gaussian and Student’s t) copulas. Statistical tests and tail-dependence assessments found the vine copulas to be most suitable for describing
the dependence structure between variables. The developed vine copulas were used to obtain joint and conditional return periods of maximum
flows, which can be useful for hydrologic design and management of water resources structures in the basin. DOI: 10.1061/(ASCE)
HE.1943-5584.0001644. © 2018 American Society of Civil Engineers.
Author keywords: Annual instantaneous maximum flows; Vine copula; Archimedean copula; Elliptical copula; Euphrates River Basin;
Turkey.

Introduction data) must be characterized by the same parametric family of univari-

Annual instantaneous maximum flows (AIMFs) are needed for
planning and design of hydraulic structures and flood management.
Hence, engineers or decision makers need to determine how often
an extreme AIMF will occur or how large the AIMF will be for a
particular probability of exceedance or recurrence interval. To meet
this need, statistically based frequency analysis, which is generally
concerned with fitting a suitable probability distribution to histori-
cal data, is widely used (e.g., Bezak et al. 2016; Ferro and Porto
2006; Griffis and Stedinger 2007; Haddad and Rahman 2011). In
most studies, flood events at a gauge location are evaluated sepa-
rately. However, rivers consist of several tributaries, and analysis of
the dependence of these tributaries is important for hydraulic de-
sign, flood prevention, and risk control. In other words, in order to
effectively assess hydrologic risk in any region, not only flood
events at a location need to be analyzed, but flood events at other
locations also need to be considered. This can be possible only by
means of multivariate models. In hydrology, there has been a num-
ber of attempts to address multivariate modeling of extreme events
using traditional bivariate and trivariate distributions, such as nor-
mal, lognormal, exponential, gamma, and extreme value (Adamson
et al. 1999; Krstanovic and Singh 1987; Nadarajah and Shiau 2005;
Shiau 2003; Singh and Singh 1991; Yue 1999, 2000, 2001).
However, the main drawback in the use of these distributions is
that the distribution of individual variables (through the considered
1
Engineering and Architecture Faculty, Dept. of Civil Engineering,
Erzurum Technical Univ., Erzurum, Turkey (corresponding author).
E-mail: ftosunoglu@erzurum.edu.tr
2
Dept. of Biological and Agricultural Engineering and Zachry Dept. of
Civil Engineering, Texas A&M Univ., College Station, TX 77843-2117.
E-mail: vsingh@tamu.edu
Note. This manuscript was submitted on April 17, 2017; approved on
October 26, 2017; published online on January 12, 2018. Discussion
period open until June 12, 2018; separate discussions must be submitted
for individual papers. This paper is part of the Journal of Hydrologic
Engineering, © ASCE, ISSN 1084-0699.
ate distributions. The annual maximum flows at different tributaries
usually follow different probability distributions. Therefore, the use of
traditional multivariate distributions may not provide satisfactory re-
sults. As a new multivariate method, copula functions, which can
overcome these difficulties, have been recently applied in different
fields. Copula functions can preserve both dependence structure
and different distribution characteristics of the random variables.
Hence, copula functions have recently gained popularity in multivari-
ate modeling of extreme hydrologic events, and successful results
have been obtained in real case studies (Chen et al. 2013;
Chowdhary et al. 2011; De Michele et al. 2005; Favre et al. 2004;
Karmakar and Simonovic 2009; Khedun et al. 2013; Khedun
et al. 2014; Rajsekhar et al. 2015; Requena et al. 2013; Salvadori
and De Michele 2004, 2007; Sraj et al. 2015; Tosunoglu and Kisi
2016; Zhang and Singh 2006). Most of these studies applied bivariate
copulas to obtain a joint distribution of flood variables.
However, a limited number of studies on trivariate or higher-
dimensional copulas have been reported on multivariate flood
modeling. Grimaldi and Serinaldi (2006) may have been the first
to engage in trivariate modeling of floods. They developed trivari-
ate joint distribution of flood peak, volume, and duration using
the fully nested or asymmetric Archimedean copula functions.
Serinaldi and Grimaldi (2007) highlighted the differences between
symmetric and asymmetric Archimedean copulas and described
goodness of fit tests [such as Chen–Fan–Patton (CFP) test, and en-
ergy test] to define the most appropriate model using fully nested
Archimedean copulas. Zhang and Singh (2007) used trivariate cop-
ulas in deriving conditional return periods of flood peak, volume,
and duration. They compared trivariate Gumbel-Hougaard copula
and trivariate normal distribution for modeling flood data in the
Amite River Basin, Louisiana. Goodness of fit tests revealed that
the Gumbel-Hougaard copula fitted the empirical joint distribution
better than the trivariate normal distribution. Ganguli and Reddy
(2013) evaluated three fully nested forms of Archimedean copulas
(Clayton, Frank, and Gumbel-Hougaard) and one elliptical
copula (Student’s t) for multivariate modeling of flood variables.

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J. Hydrol. Eng., 2018, 23(3): 04018003

 The Student’s t copula was found to be better than other copulas
for describing the bivariate and trivariate dependence structure of
flood peak, volume, and duration variables. The conditional and
joint return periods of flood characteristics were then computed
using the best copula.
The majority of aforementioned studies used the symmetric/
asymmetric Archimedean and elliptical copulas for higher-
dimensional modeling of floods. However, these copula families
have limitations that must be evaluated before modeling. For
instance, asymmetric Archimedean copulas are useful when two
correlation structures are near or equal and lower than the third cor-
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relation. On the other hand, symmetric types are only meaningful
when all correlation structures are near or equal. Additionally,
the tail dependence may not be well preserved because some fam-
ilies have no tail dependence (e.g., Gaussian copula). Recently, a
more flexible and intuitive method, called a vine copula, has been
proposed to model higher-dimensional structures of variables in
finance (Aas et al. 2009; Nikoloulopoulos et al. 2012). Vine cop-
ulas do not have any of the mentioned constraints because they can
cover flexible dependence structures through mixing of bivariate
copulas. Although vine copulas have many advantages over other
copula families, only a limited number of studies are available for
modeling of flood events (Daneshkhah et al. 2016; Graler et al.
2013; Shafaei et al. 2017).
In various part of Turkey, many researchers have done flood fre-
quency analysis using univariate distributions (Aydogan et al. 2016;
Haktanir and Horlacher 1993; Saf 2009; Seckin et al. 2010; Sen and
Kahya 2017). However, copula functions have not yet been con-
sidered for flood frequency analysis in Turkey. Additionally, to
the best of the authors’ knowledge, there are only a few published
studies (Durante and Salvadori 2010; Zhang and Singh 2014) in the
literature related to the application of copulas to joint modeling of
annual maximum flow records. Hence, this study aims to use cop-
ula functions to model three-dimensional joint distributions of
AIMF for rivers in the Euphrates River Basin, which is the most
historically important river basin in Turkey. To achieve this aim, the
marginal probability distributions of the AIMF series are defined.
The Archimedean, elliptical, and vine classes of copulas are then
constructed and compared. Then, the joint and conditional return
periods of trivariate AIMF values are derived by the best-
performing copulas. These return periods can provide information
for flood risk assessment and can be used in the design and man-
agement of water resources structures in the basin.
Material and Methods
Marginal Distribution for AIMF Series
The definition of marginal distributions for the considered data is
the first step for multivariate frequency analyses of flood events.
Among the numerous probability distributions used in hydrology,
generalized extreme value, Pearson Type III, Gumbel, gamma, and
lognormal distributions, which are parametric distributions, have
been most frequently used for maximum flows. However, some
studies have concluded that flood characteristics are best described
by other families of univariate distributions. Therefore, to define the
most suitable distributions to represent the data series, 11 widely
used distributions were fitted and compared in this study. These
distributions were Cauchy, gamma, Gumbel, generalized extreme
value, kappa, logistic, log-logistic, normal, lognormal, Pearson
Type-III, and Weibull. To define the most suitable distribution, a
goodness of fit criterion is usually used. Chi-squared (χ2), Akaike
information criterion (AIC), Bayesian information criterion (BIC),
© ASCE 04018003-2
J. Hydrol. Eng., 2018, 23(3): 04018003
Kolmogorov-Smirnov (KS), and Anderson-Darling criterion (ADC)
are widely used in hydrology (Haddad and Rahman 2011). No sin-
gle goodness of fit test performs consistently better than others,
although all of them have negative and positive aspects (Laio
et al. 2009). In this study, AIC and BIC were used to select the most
appropriate univariate distributions. The AIC and BIC values can
simply be calculated
AIC ¼ −2 · Lk þ 2 · k ð1Þ
BIC ¼ −2 · Lk þ lnðNÞ · k ð2Þ
where Lk = maximized log likelihood of the fitted model (distribu-
tion); k = number of parameters fitted; and N = number of obser-
vations. The best-fitted distribution (model) is the one that has the
lowest value of AIC and BIC.
Dependence Structure for AIMF Series
For evaluation of the relation between flood characteristics,
Pearson’s (ρ) and Kendall’s (τ ) correlation coefficients are com-
monly used. However, because the Pearson coefficient only repre-
sents linear dependence, it may not be useful for heavy-tailed
variables, and it can be strongly affected by outliers. On the other
hand, the Kendall (τ ) can describe a wider class of dependencies
and shows resistance to outliers (Klein et al. 2011). Thus, Kendall’s
correlation might be more suitable in describing the dependence
structure of extreme hydrological events (Mirabbasi et al. 2012).
Kendall’s τ is calculated by considering the relationships among
all possible matches of the data pairs (xi , yi ), of which there are
n ðn − 1Þ=2 in a sample of size n. Any such matching in which
both members of one pair are larger than their counterparts in
the other pair are called concordant. Kendall’s τ is then calculated
by subtracting the number of discordant pairs, N D , from the num-
ber of concordant pairs, N C , and dividing by the number of possible
match-ups among the n observations
NC − ND
τ¼ ð3Þ
nðn − 1Þ=2
Identical pairs contribute 1=2 to both N C and N D (Wilks 2006).
In addition, some graphical tools are often used for the visual as-
sessment of dependence structures. Simple scatterplots can be
easily used for selecting covariates for modeling and detection
of collinearity. However, when considering a simple scatterplot
where variables are independent, randomness is a difficult charac-
teristic for the human eye to judge. Therefore, it is often desirable to
have an auxiliary display in which randomness can be easily de-
tected (Tobias et al. 2007). To overcome this difficulty, chi-plots
are widely applied in the literature. According to Fisher and Switzer
(1985, 2001) and Genest and Favre (2007), this plot is obtained by
calculating the pairs (λi , χi ) as follows:
X 
Hi ¼ Iðxj ≤ xi ; yj ≤ yi Þ n − 1 ð4Þ
j≠i
X 
Fi ¼ Iðxj ≤ xi Þ n−1 ð5Þ
j≠i
X 
Gi ¼ Iðyj ≤ yi Þ n−1 ð6Þ
j≠i
where xi and yi (i ¼ 1; 2; : : : ; n) = random variables with the bi-
variate distribution, H; and IðAÞ = indicator function of event A
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Fig. 1. Archimedean and elliptical copulas used in the study

H i − F i Gi Student’s t and Gaussian, were considered for trivariate modeling

χi ¼ pffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
ffi ð7Þ of AIMF series. Fig. 1 summarizes these copula functions. More
Fi ð1 − Fi ÞGi ð1 − Gi Þ
detailed information about these copula families has been given by
and Joe (1997), Nelsen (2006), and Salvadori et al. (2007).

λi ¼ 4signðF̂i · Ĝi ÞmaxðF̂2i ; Ĝ2i Þ ð8Þ

Vine Copulas
where F̂i ¼ Fi − 0.5 and Ĝi ¼ Gi − 0.5 for 1 ≤ i ≤ n. The λi
The vine copulas, also called pair copulas, were introduced by
values are plotted against the χi values and this graph is called
Bedford and Cooke (2001, 2002) and trace back to ideas of Joe
a chi-plot. In order to avoid outliers, it is also suggested that only
(1997). The key idea of the vine copulas is to decompose the joint
pairs for which jλi j ≤ 4½ð1=n − 1Þ − ð1=2Þ2 should be plotted
density function into a cascade of building blocks of the bivariate
(Genest and Boies 2003). This censoring criterion may cause elimi-
copulas and their conditional and unconditional distribution func-
nation of some data points. The plot also includes confidence bands
tions. The major advantage of this approach is to have the ability
at ordinates,
pffiffiffi and these bands are computed using the formula
to comprise various dependence structures, i.e., varying copula
cp = n. According to Fisher and Switzer (2001) and Genest
families are allowed for different marginal pairs. In general,
and Favre (2007), cp is equal to 1.54, 1.78, and 2.18, corresponding
d-dimensional vine copulas can be constructed by dðd − 1Þ bivari-
to a p value of 0.9, 0.95, and 0.99, respectively. This study used
ate copulas in a (d − 1) level tree form. Based on the types of trees,
confidence bands with a p value of 0.95. If the plot is mainly lo-
various vine copulas can be constructed. The most commonly types
cated on the upper side of the confidence bands, it shows a positive
are C-vines and D-vines. Both types provide a specific way of de-
dependence. If it is largely on the lower side of the confidence
composing the density function. The types can be specified as a
bands, it shows a negative dependence (Chowdhary et al. 2011).
nested set of trees. In this study, D-vines are applied for trivariate
modeling, and their schematic structure is shown in Fig. 2. As can
Copulas be seen from the figure, the three-dimensional D-vine copula
In order to define the joint distribution of random variables having
different distributions, copula functions, which were theorized by
Sklar (1959), have been comprehensively used, mostly in the field
of finance. The most important advantage of using copulas to de-
velop joint distributions is that copulas can separate the dependence
effects from the marginal distribution effects. This gives enormous
freedom to choose univariate marginal distributions. There are vari-
ous families of copulas that are used in modeling the dependence
structure of random variables. In this study, symmetric and asym-
metric versions of Archimedean copulas, (Clayton, Frank, and
Fig. 2. General structure of three-dimensional D-vine copula
Gumbel-Hougaard) and two famous elliptical copulas, namely,

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J. Hydrol. Eng., 2018, 23(3): 04018003

 consists of two trees (T 1 and T 2 ), five nodes, and three edges. The
edges represent the density of pair copula, and the labels corre-
spond to the subscript of density. The general description for
D-vine copulas for a three-dimensional case can be written
fðx1 ; x2 ; x3 Þ ¼ f 1 ðx1 Þ · fðx2 jx1 Þ · fðx3 jx2 ; x1 Þ
where fðx2 jx1 Þ and fðx3 jx2 ; x1 Þ = conditional densities that can be
derived with the help of pair-copula densities
fðx1 ; x2 Þ
fðx2 jx1 Þ ¼ ¼ c12 ðF1 ðx1 Þ; F2 ðx2 ÞÞ · f2 ðx2 Þ
f 1 ðx1 Þ
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fðx2 ; x3 jx1 Þ
fðx3 jx2 ; x1 Þ ¼ ¼ c23j1 ðFðx2 jx1 Þ; Fðx3 jx1 ÞÞ · fðx3 jx1 Þ
fðx2 jx1 Þ
¼ c23j1 ðFðx2 jx1 Þ; Fðx3 jx1 ÞÞ
· c13 ðF1 ðx1 Þ; F3 ðx3 ÞÞ · f 3 ðx3 Þ
Selection of the Best Copula
Once parameters of copula functions have been estimated, the next
step in the process is to select the copula that best represents the
dependence structure of the considered variables.
Several tests have been proposed to this end [e.g., AIC, BIC,
KS, Anderson-Darling (AD), integrated Anderson-Darling (IAD),
and Cramér-von Mises test (CvM)]. In this study, the CvM test
was applied to define the most appropriate traditional (Archime-
dean and elliptical) copulas. According to Genest et al. (2009), the
Cramér-von Mises test statistics, Sn , can be computed
Z
Sn ¼ n fCn ðu; vÞ − Cθ ðu; vÞg2 dCn ð12Þ
½0;12
The corresponding p value of the test statistic is determined via
large simulated samples (N) that are obtained from the parametric
bootstrapping procedure defined by Genest and Remillard (2008)
or by the multiplier approach recently shown by Kojadinovic et al.
(2011). This value was computed
1X
N
p¼ 1ðSn;m − Sn ≥ 0Þ
N m¼1
The p value is a measure that can be used to accept or reject the
selected copula model. If the p value is larger than a significance
level (α), then the copula is accepted as a suitable model. The best
copula method should have the minimum value of the test statistics
with an admissible value of p (Abdi et al. 2017). In the present
study, all calculations were carried out with the free software R
and commercial software MATLAB.
Study Area
The Euphrates River Basin, which is located in the southeastern
Anatolia region of Turkey, was selected as the study area. The basin
has an area of 127,304 km2 , which is the largest of 26 river basins
in Turkey; the Euphrates is also the longest river in southwest Asia
with a length of approximately 2,700 km (Yenigun et al. 2010;
Yilmaz and Muttil 2014). The basin consists of three major sub-
basins, namely, upper, middle, and lower. In this study, AIMFs
from three gauge stations located in the upper part were considered
for modeling. The main reason for selecting these stations in the
study is that the observations have not been influenced by human
intervention, showing homogeneity and no missing values. Also,
the stations are located in the critical part of the upper basin.
© ASCE
J. Hydrol. Eng., 2018, 23(3): 04018003
For instance, Gauge Station 2156 is located at the entrance of the
Keban Dam, which has great importance for the region because
the dam is able to store 70% of the river’s flow within Turkey.
The location of the upper Euphrates River Basin and the location
of the considered stations are shown in Fig. 3.
ð9Þ The AIMF data of the selected stations, which have a record
length of 41 years (from 1969 to 2009), were obtained from the
General Directorate of State Hydraulic Works, Turkey. Table 1
presents the basic statistical characteristics of the AIMF time series
at each station. It is clearly seen from this table that data from
ð10Þ
Stations 2154 and 2133 have a larger coefficient of variation than
data from Station 2156. The major reason behind this can be attrib-
uted to the location of stations, where snowmelt processes can have
a significant impact on streamflow variability.
In order to define the relationship between the AIMF series,
Pearson’s ρ and Kendall’s τ correlation coefficients of the AIMF
ð11Þ data were calculated, and the estimated correlation coefficients with
associated p values are given in Table 2. As can be seen from the
table, correlation coefficients were statistically significant, and the
correlation coefficient value between data from Stations 2156 and
2154 exhibited the strongest relationship. For visual representation
of the dependence structure of AIMF pairs, chi-plots were applied,
and the graphs are shown in Fig. 4. Based on these plots, if the
correlation between two variables is not significant, most of the
events (λi , χi ) will be within the confidence intervals shown in
the chi-plots. On the other hand, if significant correlation occurs,
then the majority of events will be located outside of the confidence
intervals lines. As can be seen in Fig. 4, in the chi-plots of the
AIMF pairs, most of the data points fall outside of the confidence
bands. This finding points to the existence of a significant depend-
ence between these variables. Moreover, the chi-plot for Stations
2156 and 2154 exhibited the strongest dependence because it
had more data points located outside of the limit bands.
Results
Univariate Distribution Functions for AIMF Series
Independence and stationarity of data series are essential assump-
ð13Þ tions in conventional flood frequency analysis. Therefore, prior to
fitting any marginal distribution to the AIMF data, independence
and stationarity of the data series should be checked. In this study,
the Mann-Kendall test was used to check for the stationarity, and the
Ljung-Box test was used for analyzing serial autocorrelation. The
Mann-Kendall and Ljung-Box test results are given in Table 3.
It can be seen from the table that no significant trend was detected
by the Mann-Kendall test, with the computed Z values smaller than
the critical value of 1.96 at the 0.05 significance level and hence,
the AIMF series was considered a stationary time series. The Ljung-
Box test results given in Table 3 showed no autocorrelation for the
AIMF series at the 5% significance level. Moreover, neither pre-
whitening nor the modified version of the Mann-Kendall test was
used because the analyzed data series did not have serial autocor-
relation (see also Fig. 5). Detailed information about these tests has
been given by Cigizoglu et al. (2005), Daneshkhah et al. (2016),
Kahya and Kalayci (2004), and Onoz and Bayazit (2003).
After showing the existence of independence and stationarity
in the data series, marginal distributions for the AIMF series were
defined. To that end, the Cauchy, gamma, Gumbel, generalized
extreme value, kappa, logistic, log-logistic, lognormal, normal,
Pearson Type-III, and Weibull distributions were fitted to the data
series. The maximum likelihood method (MLM) was used to
estimate the parameters of the fitted distributions because it is a
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Fig. 3. Location map of Turkey, upper Euphrates River Basin (study area), and stations used in the study

Table 1. Basic Statistical Properties of AIMF Series for the Selected robust method in most cases and provides estimators with good
Stations statistical properties (Can and Tosunoglu 2013). The performances
Standard Coefficient Coefficient of the fitted distributions were compared using AIC and BIC, and
Station Mean Median deviation of variation of Skewness results are presented in Table 4. The AIC and BIC results indicated
number (m3 =s) (m3 =s) (m3 =s) (CV ) (CS ) that the gamma, log-logistic, and Pearson Type-III distributions
2156 669.2 633.0 235.7 0.352 0.64 were the most suitable marginals for the AIMF data of Stations
2133 542.7 519.0 210.5 0.388 1.28 2156, 2133, and 2154, respectively. Fig. 6 presents the probability
2154 164.1 159.0 63.5 0.387 0.86 density functions (PDFs), cumulative distribution functions (CDF),
probability-probability (P-P), and quantile-quantile (Q-Q) plots of
the most suitable distributions. It can be clearly seen that the
selected marginal distributions of AIMF series provided a good
agreement with empirical data.
Table 2. Computed Pearson and Kendall Correlation Coefficients for
AIMF Pairs Application of Three-Dimensional Copulas
Correlation
In this part of the study, symmetric and asymmetric versions
type 2156 and 2133 2156 and 2154 2133 and 2154
of three dimensional Archimedean copulas, namely, the Clayton,
Pearson’s ρ 0.685 (7.8 × 10−7 ) 0.755 (1.2 × 10−8 ) 0.580 (7.1 × 10−5 ) Frank, and Gumbel-Hougaard copulas, and two elliptical copulas
Kendall’s τ 0.557 (3.2 × 10−7 ) 0.592 (5.8 × 10−7 ) 0.411 (1.6 × 10−4 ) (Student’s t and Gaussian) were applied for joint modeling of
Note: Bracketed values indicate the computed p values. the AIMF series. Parameters of the selected copulas were estimated

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Fig. 4. Assessment of dependence between AIMF series using (a) scatter plot; (b) chi-plot

Table 3. Mann-Kendall and Ljung-Box Test Results for Testing by the MLM. To define the most suitable copula among candidates,
Stationarity and Independence the Cramér-von Mises test was used, and results of comparison are
Mann-Kendall test Ljung-Box test given in Table 5. As can be seen from the table, the Gaussian cop-
ula, also called a normal copula, having the minimum test value,
Station Test Calculated Test
showed better performance than other copulas. Moreover, the
number statistic (S) Z value p-values statistic (Q) p-values
adequacy of the selected copulas was evaluated using Eqs. (12)
2156 −21 −0.225 0.822 26.663 0.145 and (13). N ¼ 10,000 random samples with the same length as
2133 −1 0.00 1.00 9.817 0.971
the original data were generated using the parametric bootstrapping
2154 −27 −0.292 0.770 13.598 0.851
procedure, and the corresponding p values were calculated. It can

Fig. 5. Autocorrelation plots of AIMF series for all stations

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 Table 4. Computed AIC and BIC Values for Fitted Univariate Distributions
Station 2156 Station 2133 Station 2154
Distribution type AIC BIC AIC BIC AIC BIC
Cauchy 583.7 587.1 559.8 563.2 473.7 477.1
Gamma 563.2 566.6 551.7 555.1 454.6 458.0
Gumbel 563.4 566.8 551.4 554.9 454.4 457.8
Generalized extreme value 565.2 570.4 553.3 558.4 455.4 460.5
Kappa 588.5 591.9 574.8 578.2 476.8 480.2
Logistic 568.2 571.6 553.3 556.7 459.5 462.9
Log-logistic 565.1 568.6 550.6 554.0 455.3 458.7
Lognormal 563.3 566.7 552.3 555.7 452.9 456.3
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Normal 567.3 570.7 558.0 561.4 459.8 463.2

Pearson Type-III 564.8 569.9 553.8 558.9 452.4 457.6
Weibull 566.3 569.7 556.6 560.0 457.8 461.2
Note: Best estimate is marked as bold.

be seen from Table 5 that the Gaussian copula provided a better fit
than the other copulas because it had a lower value of statistics Sn
with a bigger value of p. Moreover, except for Clayton family, the
fitted trivariate copulas were suitable for joint modeling because the
p values were higher than the significance level (0.05).
Application of Vine Copulas
Here, the D-vine copula structures were considered for the joint
modeling of AIMF series. Based on Fig. 7, there are three ways
to construct the D-vine structure: (1) use data from Station 2133
as center; (2) use data from Station 2156 as center; and (3) use data
from Station 2154 as center. In order to construct the three-
dimensional D-vine copulas, 17 families of copulas were used to
model pairs. The considered copulas were Gaussian, Student t,
Clayton, Gumbel-Hougaard, Frank, Joe, BB1 (Clayton-Gumbel),
BB6 (Joe-Gumbel), BB7 (Joe-Clayton), BB8 (Joe-Frank), survival
Clayton, survival Gumbel, survival Joe, survival BB1, survival BB6,
survival BB7, and survival BB8. The maximum likelihood method
was used to estimate parameters of the fitted bivariate copulas.
The best-fitted bivariate copulas were identified using AIC and
BIC. The R package CDVine (Brechmann and Schepsmeier 2013)
was used to calculate the AIC and BIC values of the considered
copulas. The results in Table 6 indicate that the Gumbel-Hougaard
copulas performed better for the joint modeling of the data from
Stations 2156 and 2154 and from Stations 2133 and 2154, whereas
the BB7 family was found more suitable for the modeling of
Stations 2156 and 2133. Moreover, according to the AIC and BIC
results in Table 6, two Gumbel-Hougaard copulas and one Clayton
copula with Station 2154 as center performed the best for trivariate
modeling. The table also provides the AIC and BIC test values of
the Gaussian copula, which was selected as the most suitable tradi-
tional trivariate copula and compared with vine copulas. It is seen
from the table that the D-vine copula structure was better.
Simulation Performance: Correlation Structure and
Tail-Dependence Assessment
In order to evaluate the reliability and suitability of the developed
copula structure, a large number (N ¼ 1,000) of flood triplet
scenarios were generated using the best-fitted D-vine copula.
The Kendall correlation coefficients of each simulated data and his-
torical data were computed and the box plots are illustrated in Fig. 8.
These plots indicate that the correlation structure of the historical
data was well reproduced by the D-vine structure (Station 2154 as
center) because the historical Kendall τ was located inside the box
plots. In addition, the suitability of the best-fitted copula for mod-
eling the tail dependence between the AIMF pairs was evaluated
because tail dependence is an important issue to be considered
in the modeling of extreme hydrological events (such as floods
and droughts). In the analysis of flood events, more attention is paid
to upper tail dependence than lower tail dependence. Hence, only
the upper tail dependence was analyzed in this study. For this pur-
pose, the upper tail dependence of the historical and simulated data
was computed using the following equation (Frahm et al. 2005):
0 0qffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
1  1 ffi 11
B1 X n
B
log · log
i C C
u v
λCFG
U ¼ 2 − 2 · exp@ log@  i AA ð14Þ
n i¼1 1
log maxðu ;v Þ2
i i
where ui and vi = CDFs of the selected AIMF variables. The cal-
culated λCFG
U values are presented using box plots in Fig. 9, which
show that the developed D-vine copula was capable of modeling
the upper tail dependence structures between pairs. Additionally, as
a visual assessment of the developed model, comparison of histori-
cal and simulated AIMF values is graphed in Fig. 10. These plots
show that the D-Vine copula was able to produce satisfactory re-
sults because the generated AIMF series adequately overlapped
with the natural structure of historical AIMF.
Univariate and Trivariate Return Periods
Estimation of return periods of floods is of fundamental importance
in hydrologic design, as well as in planning and management of
water resources systems. Two major classes of return periods exist:
joint and conditional return periods. The joint return periods are
calculated for two cases: (1) the return period for X ≥ x and Y ≥
y and Z ≥ z, called the AND case; and (2) the return period for X ≥
x or Y ≥ y or Z ≥ z, called the OR case. These joint return periods,
denoted by T and or
XYZ and T XYZ , can be defined

EðLÞ EðLÞ
XYZ ¼
T and ¼
PðX ≥ x and Y ≥ y and Z ≥ zÞ 1 − FX ðxÞ − FY ðyÞ − FZ ðzÞ þ FXY ðxyÞ þ FXZ ðxzÞ þ FYZ ðyzÞ − FXYZ ðxyzÞ
EðLÞ
¼ ð15Þ
1 − FX ðxÞ − FY ðyÞ − FZ ðzÞ þ CðFX ðxÞ; FY ðyÞÞ þ CðFX ðxÞ; FZ ðzÞÞ þ CðFY ðyÞ; FZ ðzÞÞ − CðFX ðxÞ; FY ðyÞ; FZ ðzÞÞ

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Downloaded from ascelibrary.org by Indian Institute of Technology Bombay on 04/09/22. Copyright ASCE. For personal use only; all rights reserved.

Fig. 6. PDF, Q-Q plot, CDF, and P-P plot representations of the best-fitted univariate distributions for AIMF series

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J. Hydrol. Eng., 2018, 23(3): 04018003

 Table 5. Cramér-von Mises Test Statistic Sn and p Values Computed Based on N ¼ 10,000 Bootstrap Samples according to Various Copulas
Copula type Test statistic (Sn ) p-value Copula parameters
Clayton-SYM 0.0775 0.0068 θ ¼ 1.347
Clayton-ASYM 0.0963 0.0054 θ1 ¼ 1.837, θ2 ¼ 0.591
Frank-SYM 0.0234 0.1992 θ ¼ 6.139
Frank-ASYM 0.0248 0.1543 θ1 ¼ 6.825, θ2 ¼ 5.142
Gumbel-SYM 0.0352 0.1071 θ ¼ 2.027
Gumbel-ASYM 0.0404 0.0921 θ1 ¼ 1.971, θ2 ¼ 1.791
Student’s t 0.0241 0.1828 σ12 ¼ 0.752, σ23 ¼ 0.558σ13 ¼ 0.713, v ¼ 4
Student’s t 0.0236 0.1908 σ12 ¼ 0.755, σ23 ¼ 0.549σ13 ¼ 0.704, v ¼ 85
Gaussian (normal) 0.0233 0.2022 σ12 ¼ 0.754, σ23 ¼ 0.555 σ13 ¼ 0.704
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Note: ASYM = asymmetric; SYM = symmetric.

Fig. 7. Schematics of three-dimensional D-vine copulas under study

Table 6. Estimated AIC and BIC Values of the Developed Vine Copulas
Vine AIC value BIC value
structure Tree level Variables Best copula Parameter LL of pairs of pairs AIC BIC
1 as center T1 2-1 BB7 1.36, 1.7 17.72 −31.44 −28.02 −59.05 −52.19
1-3 Gumbel 2.03 15.18 −28.36 −26.65
T2 23j1 Survival Joe 1.09 0.62 0.76 2.47
2 as center T1 1-2 BB7 1.36, 1.7 17.72 −31.44 −28.02 −56.12 −49.27
2-3 Gumbel 1.59 7.41 −12.81 −11.1
T2 13j2 Frank 3.93 6.93 −11.87 −10.16
3 as center T1 1-3 Gumbel 2.03 15.18 −28.36 −26.65 −64.59 −59.45
3-2 Gumbel 1.59 7.41 −12.81 −11.1
T2 12j3 Clayton 1.39 12.71 −23.42 −21.7
Best-fitted three-dimensional Gaussian copula −31.54 — — −57.54 −51.94
Note: Best estimate is marked as bold; in the table, 1, 2, and 3 = Stations 2156, 2133, and 2154, respectively; LL = log-likelihood value.

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Downloaded from ascelibrary.org by Indian Institute of Technology Bombay on 04/09/22. Copyright ASCE. For personal use only; all rights reserved.

Fig. 8. Box plots of Kendall’s τ correlation coefficients obtained from historical and generated data

Fig. 9. Box plots of upper tail dependence coefficients (λU ) computed from historical and generated data

Fig. 10. Scatter plots of historical AIMF records versus generated AIMF samples

EðLÞ EðLÞ of AIMF series were calculated using the best-fitted D-vine copula
XYZ ¼
T or ¼
PðX ≥ x or Y ≥ y or Z ≥ zÞ 1 − FXYZ ðxyzÞ and compared with the return periods obtained by the developed
bivariate copulas and univariate marginal distributions, as presented
EðLÞ
¼ ð16Þ in Table 7. The joint CDF for the vine copula was computed
1 − CðFX ðxÞ; FY ðyÞ; FZ ðzÞÞ by numerical integration according to the conditional mixtures
approach mentioned by Vernieuwe et al. (2015).
where CðFX ðxÞ; FY ðyÞÞ, CðFX ðxÞ; FZ ðzÞÞ, and CðFY ðyÞ; FZ ðzÞÞ = It can be inferred from Table 7 that under a given return period,
copula-based bivariate CDFs; CðFX ðxÞ; FY ðyÞ; FZ ðzÞÞ = copula- the value of AIMF values obtained by univariate frequency analysis
based trivariate CDF; and E(L) = expected interarrival time. The was always greater than that estimated by joint distribution func-
value of E(L) is considered as 1 if annual maximum variables tions (AND case). It indicates that if one considers a single AIMF
are analyzed. Based on Eqs. (15) and (16), trivariate return periods value in evaluating flood risk and designing a hydraulic structure,

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 Table 7. Assessment of Univariate, Bivariate, and Trivariate Return Periods of AIMF Series
Station 2156 Station 2133 Station 2154
Return period (year) (m3 =s) (m3 =s) (m3 =s) 12 =T 12
T and and
13 =T 13
T and or
23 =T 23
T and or
123 =T 123
T and or

10 975 811 261 24.8=6.3 16.1=7.3 20.1=6.7 30.6=5.5

20 1,086 947 308 55.1=12.2 32.9=14.4 42.1=13.1 61.5=10.6
50 1,221 1,153 368 145.7=30.2 83.5=35.7 108.2=32.5 196.8=27
100 1,316 1,335 413 295.5=60.2 167.8=71.2 218.4=64.8 342.4=52.6
200 1,408 1,544 458 594=120 336=142 439=130 698=105
500 1,524 1,869 517 1,489=300 842=356 1,100=324 1,518=256
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Fig. 11. Trivariate conditional return periods of AIMF series for the considered stations

then this may lead to an overestimation of flood events that would
cause higher construction cost. For instance, if one only considers a
single AIMF value, then the univariate return period is assumed to
be 100 years, meaning that AIMF values are greater than 1,316,
1,335, and 413 m3 =s for Stations 2156, 2133, and 2154, respec-
tively. However, the joint return periods for those three variables
are approximately 342 years.
Also, the conditional return periods can be derived using trivari-
ate copulas. The conditional return period of X ≤ x and Y ≤ y given
Z ≤ z, can be expressed
1
T X;YjZ≤z ¼ CðFX ðxÞ;ðFY ðyÞ;FZ ðzÞÞ
ð17Þ
1− FZ ðzÞ
and the conditional return period of X ≤ x, given volume Y ≤ y and
Z ≤ z can be expressed
1
T XjY≤y;Z≤z ¼ CðFX ðxÞ;FY ðyÞ;FZ ðzÞÞ
ð18Þ
1− CðFY ðyÞ;FZ ðzÞÞ
Based on the purpose of water management studies, it is pos-
sible to obtain more various types of conditional return periods
of the considered (flood, drought, etc.) characteristics. In this
study, the joint return periods of two AIMF variables conditioned
on the third AIMF variable, e.g., T X;YjZ ðx; yjzÞ, T X;ZjY ðx; zjyÞ, and
T Y;ZjX ðy; zjxÞ, were computed using Eq. (17). Here, X, Y, and Z
denote the AIMF series of Stations 2156, 2133, and 2154, respec-
tively. Fig. 11 represents the conditional return periods of AIMF
series according to a constant AIMF parameter value, which is
equal to mean value of the related series. Historical AIMF series
are also included in Fig. 11. It is clearly seen from the figure that
most of the AIMF pairs had short return periods. However, there
is only one event for the T X;YjZ ðx; yjzÞ case in which the return
period of the observed pairs was longer than 200 years. Similarly,
the conditional return periods, T XjY;Z ðxjy; zÞ, T XjZ;Y ðxjz; yÞ, and
T YjZ;X ðyjz; xÞ, can be easily computed using Eq. (18). Space restric-
tions mean that only the case of conditional return periods could be
considered.
Conclusion
In this study, D-vine copulas were used to model annual (instanta-
neous) maximum flows of three major tributaries in the Euphrates
River Basin, Turkey. Three widely used Archimedean copulas,
namely Clayton, Frank, and Gumbel-Hougaard, and the commonly
applied elliptical copulas (Student’s t and Gaussian) were also
used. Additionally, asymmetric versions of Archimedean copulas
were evaluated for joint modeling because these are more suitable
for building asymmetric dependence structures. The main conclu-
sions of the study can be summarized as follows:
• Based on AIC and BIC, the gamma, log-logistic, and Pearson
Type-III distributions were found to be most suitable univariate
distributions for the AIMF series of Stations 2156, 2133, and
2154, respectively;
• Among the traditional trivariate copulas fitted to data series, the
Cramér-von Mises goodness of fit test showed the Gaussian
copula (also known as normal copula) as the best-performing
copula for joint modeling of AIMF series;
• Seventeen bivariate copula functions were evaluated to
construct pairs for all possible trivariate D-vine copulas. The
goodness of fit test of the resulting copula models reveals that

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 one BB7 and two Gumbel-Hougaard copulas best represent the
dependence structures of AIMF pairs. Also, the D-vine copula
with Station 2154 as center shows better performance than the
others; and
• The Gaussian copula and best vine copula were also compared
by AIC and BIC tests, and the vine copula was found as the best
candidate. Based on the upper tail dependence and correlation
structure assessments, which are provided by generating numer-
ous flood scenarios, the sufficiency of the vine copula was con-
firmed. Hence, the model was then selected for calculating
probabilities and return periods. In solving several flood pro-
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blems or design and planning of water structures in the region,
these probabilities/multivariate return periods can provide han-
dy information that is not possible to obtain by univariate ana-
lysis of flood characteristics.
Recommendations for Future Research
The present study can be extended to four (or more) dimensional
cases. The performance of four-dimensional Archimedean, ellipti-
cal, and vine copulas can be evaluated for joint modeling of
dependence structure. However, sample length may be the main
concern for higher-dimensional problems because more parameters
are estimated.
Acknowledgments
This study was partly supported by the Scientific and Technological
Research Council of Turkey (Project No. 115Y673). The authors
sincerely thank the General Directorate of State Hydraulic Works,
Turkey, for the providing the annual instantaneous maximum flows
used in the study. The authors would also to express their gratitude
to the editor and reviewers for providing constructive and insightful
comments whose inclusion in the revision has led to an improved
manuscript.
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