Research Paper Series, N. 2, 2015
Quantification of the environmental structural risk with spoiling ties: Is randomization worth?
Many recent works show that copulas turn out to be useful in a variety of different ap plications, especially in environmental sciences. Here the variables of interest are usually continuous, being times, lengths, weights, and so on. Unfortunately, the corresponding observations may suffer from (instrumental) rounding and adjustments, and eventually they may show several repeated values (i.e., ties). In turn, on the one hand, a tricky issue of identifiability of the model arises, and, on the other hand, the assessment of the risk may be adversely affected. A possible remedy is to introduce suitable randomization procedures: here three different jittering strategies are outlined. The target of the work is to carry out a simulation study in order to evaluate the effects of the randomization of multivariate observations when ties are present. In particular, it will be investigated whether, how, and to what extent, the randomization may change the estimation of the structural risk: for this purpose, a coastal engineering example will be used, as archetypical of a broad class of models and problems in engineering practice. Practical advices and warnings about the use of randomization techniques are hence given.
Roberta Pappadà, Fabrizio Durante, Gianfausto Salvadori
Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche
“Bruno de Finetti” (DEAMS)
Università degli Studi di Trieste