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ETDs @PUC-Rio
Estatística
Título: COPULA MODELS FOR STREAMFLOW SCENARIO SIMULATION
Autor: GUILHERME ARMANDO DE ALMEIDA PEREIRA
Colaborador(es): ALVARO DE LIMA VEIGA FILHO - Orientador
Catalogação: 26/ABR/2018 Língua(s): PORTUGUESE - BRAZIL
Tipo: TEXT Subtipo: THESIS
Notas: [pt] Todos os dados constantes dos documentos são de inteira responsabilidade de seus autores. Os dados utilizados nas descrições dos documentos estão em conformidade com os sistemas da administração da PUC-Rio.
[en] All data contained in the documents are the sole responsibility of the authors. The data used in the descriptions of the documents are in conformity with the systems of the administration of PUC-Rio.
Referência(s): [pt] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=33720&idi=1
[en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=33720&idi=2
DOI: https://doi.org/10.17771/PUCRio.acad.33720
Resumo:
Many streamflow scenario simulation models, which are needed for the planning and operation of energy systems, are built on rigid assumptions. This may limit their ability to represent nonlinear dependencies and/or nonstandard distribution functions. Copulas overcome these drawbacks and represent a flexible tool for modeling multivariate distributions. They enable the modeling of the marginal behavior of variables separately from the dependence structure of a random vector. Moreover, they can represent any type of association. This thesis is composed of three working papers, wherein copula-based models are proposed, objectifying the simulation of streamflow scenarios. In the first working paper, a periodic spatial copula model is proposed to simulate multivariate streamflow scenarios. The main contributions include periodic extension of the spatial vine copulas; a distinct reduction in the number of parameters; and the development of a multivariate nonlinear model for streamflow scenario generation that incorporates time dependence, spatial dependence, and seasonal variation, and accounts for the dimensionality of the problem (high number of hydroelectric power plants). In the second working paper, some modifications are made to the periodic spatial model, resulting in lower complexity without the loss of performance. In the third working paper, a methodology based on the vine copula is proposed to model the temporal dependence structures in a univariate periodic streamflow time series. Among the contributions, the construction of a nonlinear version of the periodic autoregressive model (PAR(p)) is highlighted. The possibility of modeling linear and nonlinear effects and the flexibility of modeling the monthly marginal distributions are highlighted as well. This model does not simulate negative values.
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