Applied Ocean Research 52 (2015) 125139

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Applied Ocean Research

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Environmental contours using copulas

R. Montes-Iturrizaga, E. Heredia-Zavoni
Instituto Mexicano del Petrleo, Eje Central Lzaro Crdenas Norte 152, Mxico, DF 07730, Mexico

a r t i c l e i n f o a b s t r a c t

Article history: A procedure is proposed for constructing environmental contours using copula theory. Copulas are func-
Received 5 December 2014 tions that dene the multivariate probability distribution of a random vector or a set of random variables,
Received in revised form 21 April 2015 and, thus, also determine their dependence structure. Constructing environmental contours requires
Accepted 28 May 2015
knowledge of the joint probability distribution of the environmental variables. In many practical applica-
tions, the available statistical data is used to estimate the marginal distributions and the linear correlation
Keywords:
matrix, and then the Nataf distribution model is employed to obtain the multivariate probability distri-
Environmental contours
bution. It turns out that such an approach implies a particular model of dependence structure dened by
Copulas
Rosenblatt transformation
a Gaussian copula, which might not always be the appropriate one. In this work, some classes of bivari-
Extreme sea states ate copulas are considered for modeling the dependence structure of the environmental variables. We
Metocean variables examine measures of association, rank-based methods for estimation of copulas, goodness of t tests for
Nataf transformation copulas, and copula selection criteria, and apply them to metocean data from hindcasts of tropical storms
and extra-tropical events in the Gulf of Mexico. A formulation is proposed for expressing the variates that
dene the environmental contours as functions of copulas. It is then applied for computing environmen-
tal contours of signicant wave height, peak spectral period and wind velocity using the estimated copula
models.
2015 Elsevier Ltd. All rights reserved.

1. Introduction of conditional distributions. For instance, in offshore engineering

The environmental contour method was developed by Winter-
stein et al. [1] in order to characterize multivariate environmental
hazards at a site for structural design purposes. An environmental
contour is the locus of all combinations of environmental vari-
ables to be searched for nding the maximum system response
associated with a given exceeding probability. An advantage of the
environmental contour approach is that the description of the envi-
ronmental hazard can be uncoupled from the system response.
Applications of environmental contours can be found in several
engineering elds, such as offshore, earthquake and wind engi-
neering [27]. Developing environmental contours requires a joint
probability description of the environmental variables. Use is made
of the Rosenblatt transformation, which is a general procedure to
transform the environmental variables from the physical space into
a transformed space of independent standard normal variables.
The contours are then obtained by mapping a set of independent
standard normal variates, dened for given exceeding probabili-
ties over the transformed space, back into the physical space of the
environmental variables. Provided the Rosenblatt transformation
is applied, it is customary to describe the joint probability distri-
bution function of the environmental variables by means of a set
Corresponding author. Tel.: +52 5591758236; fax: +52 55 91758258.
E-mail address: eheredia@imp.mx (E. Heredia-Zavoni).
applications, the marginal distribution can be estimated for signif-
icant wave height (HS ), and then the distribution of peak period
(TP ) is modeled conditional on wave height. A large amount of
data is required for estimation of the parameters of conditional
distributions. Such requirement increases greatly with the prob-
lem dimension, making more difcult its application in practical
cases without having to introduce some independence assump-
tions when more than three or four variables are considered.
Another common approach in engineering problems is to use the
available statistical data to estimate the marginal distributions and
the linear correlation coefcient of the random variables. The joint
probability distribution, and therefore the dependence structure, is
then modeled using Nataf distribution [8,9].
Copulas are functions which dene the multivariate prob-
ability distribution of a random vector or a set of random
variables, and, as such, characterize the dependence structure of the
random variables [10]. The rst applications of copula theory were
given in the eld of nancial and insurance mathematics (see
e.g. [11]). Some applications have also been developed in civil
engineering, e.g. for modeling extreme natural hazards and load-
ing demands [1214] and more recently for structural reliability
[15,16]. As shown by Lebrun and Dutfoy [17], the use of Nataf distri-
bution, which is parameterized by the linear correlation matrix, is
equivalent to choosing a Gaussian copula for the joint distribution
of the random variables. Therefore, when a Nataf model is used,
a Gaussian copula is being employed to dene the dependence

0141-1187/$ see front matter 2015 Elsevier Ltd. All rights reserved.
http://dx.doi.org/10.1016/j.apor.2015.05.007
126 R. Montes-Iturrizaga, E. Heredia-Zavoni / Applied Ocean Research 52 (2015) 125139
structure of the random variables. A relevant contribution of the
Lebrun and Dutfoy study is that with the information usually avail-
able for engineering problems, namely the marginal distributions
and the linear correlation matrix, it is possible to choose among
different copulas which result in signicantly different models for
the joint probability density functions.
Although the linear correlation coefcient has been widely used,
mainly because of the ease in its estimation, and also because
it parameterizes joint Gaussian distributions, it is not a rank-
based measure of association and its use can be misleading. The
choice of the Gaussian copula implies a specic form of depend-
ence structure, which might not suit the problem considered.
Two well-known measures of association are Kendalls tau () and
Spearmans rho (). Kendalls  is dened as the difference between
the probabilities of concordance and discordance of two indepen-
dent and identically distributed random vectors, (X1 , Y1 ) and (X2 ,
Y2 ) [10],
 = P[(X1 X2 )(Y1 Y2 ) > 0] P[(X1 X2 )(Y1 Y2 ) < 0] (1)
and Spearmans  is the Pearson coefcient  of transformed vari-
ables F(X) and G(Y), where F and G are the distribution functions of
variables X and Y, respectively. Then
 = (F(X), G(Y ))
As measures of association, they are positive (or negative) when
variables X and Y are positively (or negatively) associated; they
are equal to zero in case X and Y are independent, and are invari-
ant under strictly increasing nonlinear transformations of X and Y.
Kendalls  and Spearmans  are rank-based measures of associ-
ation. As discussed by Genest and Favre [18], statistical inference
concerning the dependence structure should always be based on
ranks since they are invariant statistics under monotone increas-
ing transformations of X and Y and thus retain the greatest amount
of information.
In this work, we propose a procedure for constructing environ-
mental contours using copulas. Basic concepts of theory of copulas
and measures of association are introduced rst. An analytical for-
mulation for expressing the environmental contours in terms of
copulas is presented next. Environmental contours obtained for
well known copula models are examined. We then outline the pro-
cedure for modeling stochastic dependence of metocean variables
and apply it to extremes from hindcast data of tropical storms and
extra-tropical events in the Gulf of Mexico. Several classes of bivari-
ate copulas are compared and evaluated using known statistical
criteria for estimation, selection and for goodness-of-t tests. Envi-
ronmental contours for extreme sea states are then computed and
compared using the estimated copula models.
2. Environmental contours
2.1. Rosenblatt transformation
Rosenblatt isoprobabilistic transformation consists in the map-
ping R : Rd (0, 1)d from the physical space of a random vector,
X = (X1 , . . ., Xd ) into a space of independent random variables having
uniform distribution, E = (E1 , . . ., Ed ),
E1 = F1 (X1 )
 1
E2 = F2|1 (X2 X1 )
..
.

Ed = Fd|1,...d1 (Xd X1 , . . ., Xd1 )
where Fi (xi ) is the marginal cumulative distribution function
of the variable Xi and Fi|1,. . .,i1 (xi |x1 , . . . xi1 ) is the conditional
distribution of Xi given X1 = x1 , . . ., Xi1 = xi1 . Now, using
vector E = (E1 , . . ., Ed ), it is possible to get a set of random variables
in the so called reduced space, Z = (Z1 , . . ., Zd ), as follows
(Zj ) = Ej , j = 1, . . ., d (4)
where is the cumulative distribution function of a standard
normal variable. In this study Rosenblatt transformation is used
because is general (i.e. there is no condition on the copula of X).
In other isoprobabilistic transformations some assumptions are
involved. For example, in Nataf transformation, X must have a
Gaussian copula, and in the case of generalized Nataf transforma-
tion X must have an elliptical copula.
2.2. Inverse First Order Reliability Method
The inverse First Order Reliability Method (inverse FORM) is a
method for building environmental contours based on an analogy
to the rst-order reliability method (FORM) [1]. Consider an engi-
neering system exposed to a natural event whose occurrence in
time is uncertain. Let X denote the vector of uncertain environmen-
tal variables that characterize such natural event for assessing the
system response. Suppose now that the response R of the system
(2) can be expressed as a deterministic function of vector X, r(X). Let rC
denote the deterministic design capacity of the system associated
with an exceeding probability pF ; in the inverse FORM method rC
is determined as follows [1]
 
rC = max r(Z), subject to Z = (5)
where Z = (Z1 , . . ., Zd ) is a vector of random variables in the reduced
space obtained from the Rosenblatt transformation [19], |Z| is the
corresponding Euclidean norm, and = 1 (pF ) could be thought
of as a reliability index, keeping in mind though that pF is an
exceedance probability and not a probability of failure. Note that
only environmental variables are considered in the deterministic
response function R; uncertainties in rC are neglected.
As indicated in Eq. (5), in the inverse FORM approach, rC is
the maximum response r(Z) of the system, which is determined
by searching over all possible design points on the hypersphere
Z = . The independent normal variables on the hypersphere
 
Z = can be mapped into values of vector X which dene the
environmental contour. An advantage of the inverse formulation is
that the description of the environmental variables X is uncoupled
from the response R. These environmental contours may then be
used to nd the system response associated with a return period.
For stochastic response of the system, inated environmental
contours based on omission factors have been proposed [1]. If one
assumes that the occurrence of the natural event characterized by
X can be modeled as a Poisson process with mean annual rate E ,
the annual exceeding probability is then
pa = 1 exp(E pF ) (6)
Hence, considering a return period TR = 1/pa
ln(1 1/TR )
pF = (7)
E
or, approximately, if TR is relatively large
pF =
E TR
(8)
(3)
Finally, using Eqs. (7) or (8)
= 1 (pF ) (9)
In engineering practice TR is usually dened in design codes for
different limit states.
 R. Montes-Iturrizaga, E. Heredia-Zavoni / Applied Ocean Research 52 (2015) 125139 127

Fig. 1. Sphere of normal variates in the transformed space (Z) and the corresponding 3D environmental contour in the physical space (X) for 100 year return period (after
Silva-Gonzlez et al. [4]).

2.3. Contour plots where C(u) is the copula of the distribution, C : [0, 1]d [0, 1], and
u = (u1 , . . ., ud ). The copula C is also a joint distribution function of
The environmental contours are dened by all values of the envi- vector U. Eq. (11) is known as Sklars theorem [10]. Furthermore,
ronmental variables x in the physical space corresponding to those the copula C(u) is dened by
vectors z in the reduced space such that |z| = , where is associ-
ated with a return period TR as shown in Eqs. (7) or (8) and (9) [1]. In C(u) = F(F11 (u1 ), . . ., Fd1 (ud )) (12)
other words, the environmental contour is the image in the physical and the corresponding copula density is given by,
space of environmental variables corresponding to a d-dimensional
d
hypersphere of radius in the reduced space. For this, it is necessary C(u1 , . . ., ud )
to invert Rosenblatt transformation (Eq. (3)), as follows c(u) = (13)
u1 . . .ud
x1 = F11 (e1 ) In general, the conditional marginal distributions of X can be
calculated from (see, e.g. [17,20])
x2 = F 1 (e |x )
2|1 2 1
(10) Fi|1,...,i1 (xi |x1 , . . ., xi1 ) = Ci|1,...,i1 (ui |u1 , . . ., ui1 ) (14)
..
. where
xd = F 1 (e |x , x2 , . . ., xd1 )
d|1,2,...,d1 d 1
Ci|1,...,i1 (ui |u1 , . . ., ui1 )
where from Eq. (4), ej = (zj ), j = 1, . . ., d. For illustrative purposes, i1
Fig. 1 shows an example of a sphere of three normal variates in C(u1 , . . ., ui , 1, . . ., 1)/u1 . . .ui1
= (15)
i1
the transformed space and the corresponding 3D contour plot of C(u1 , . . ., ui1 , 1, . . ., 1)/u1 . . .ui1
the environmental variables in the physical space, obtained for 100
years return period using Nataf distribution model as described For the bivariate case, with u1 = u and u2 = v
in [4]. For this example, the environmental variables X1 and X3
C(u, v)
are Weibull distributed with scale and shape parameters equal to FX2 |X1 (x2 |x1 ) = C(v|u) = (16)
(3.37, 1.07) and (12.49, 1.53), respectively, and X2 is lognormal dis- u
tributed with mean and standard deviation equal to 2.02 and 0.47; From the population-based denitions of Kendalls  and Spear-
linear correlations coefcients are equal to 12 = 0.80, 13 = 0.94, mans  it can be shown that [10]
and 23 = 0.64. 
=4 C(u, v)dC(u, v) 1 (17)
3. Basic concepts on copula theory 2
[0,1]

Copulas are functions that couple multivariate distribution
functions to their marginal distributions. These functions have  = 12 C(u, v)du dv 3 (18)
uniform one-dimensional margins on the interval [0,1] and are [0,1] 2
invariant under monotone increasing transformations of the
marginals [10]. In the following, some fundamental concepts on If a random sample of size n corresponding to the vector of vari-
copulas are presented. Let us consider again the vector X of random ables X, i.e. xi = (xi1 , . . ., xid )(i = 1, . . ., n), is given, the empirical copula
variables with marginal distribution functions Fi (xi ), i = 1, . . ., d. The is dened as follows [18,21]
set of transformations Ui = Fi (Xi ) dene a dependent, uniformly dis-
1
n
tributed vector of random variables U = (U1 , . . ., Ud ) on [0,1]d . If the Cn (u) = 1(si1 u1 , . . ., sid ud ) (19)
functions Fi (xi ) are continuous, then, the joint distribution function n
i=1
of X can be expressed as [10]
where sij = rij /(n + 1) are the so called pseudo-observations and rij
F(x) = C(F1 (x1 ), . . ., Fd (xd )) = C(u1 , . . ., ud ) (11) are the ranks associated with the sample; the pseudo-observations
128 R. Montes-Iturrizaga, E. Heredia-Zavoni / Applied Ocean Research 52 (2015) 125139

can be grouped in vectors si = (si1 , . . ., sid ). Sample estimators of Then

Kendalls  and Spearmans  are presented in Appendix A. 
p(v) = p(u) + 1 2 z2 (28)
4. Environmental contours using copulas But (p(u)) = u, (p(v)) = v and (z1 ) = u (Eq. (21)), so that

As stated in Section 2, once the hypersphere is dened in the v = (z1 + 1 2 z2 ) (29)
reduced space (Eq. (9)), environmental contours are dened by
mapping vector Z into the physical space of environmental vari- 4.3. Archimedean copulas
ables X by inverting Rosenblatt transformation. Using Eq. (14) in
Eq. (10), and recalling that ui = Fi (xi ), i = (1, . . ., d) we can express This important class of copulas has been used extensively for
this inverse transformation as a function of copula C as follows several reasons: (1) they can be constructed easily; (2) many fam-
u1 = e1 ilies of copulas belong to this class; and (3) they have many useful
properties. A copula C is Archimedean if there exists a convex,
u2 = C 1 (e |u )
2 |1 2 1
decreasing function : (0, 1] [0, ) such that (1) = 0 and [10,18]
(20)
.. C(u, v) = 1 {(u) + (v)} (30)
.

ud = C 1
d|1,2,...,d1
( ed  u1 , u2 , . . ., ud1 ) Function is called a generator of the copula. For Archimedean
copulas, Kendalls  is obtained from
where ej = (zj ), j = 1, . . ., d. Once all of the ui components are  1
determined, the corresponding environmental values are calcu- (t)
 =1+4 dt (31)
lated from xi = Fi1 (ui ). Considering the bivariate case C(u, v), we 0
 (t)
have
There are many families of Archimedean copulas, such as Frank,
u = e1 = (z1 ) (21) Gumbel, Clayton and Ali-Mikhail-Haq. Below, we only use two of
the most common ones: Frank and Gumbel copulas which are uni-
v = C 1 (e2 |u) = C 1 ((z2 )|(z1 )) (22)
parametric. Additionally, Frank is the only Archimedean family of
Note that for constructing environmental contours using empir- copulas which satisfy conditions for radial symmetry [10]. On the
ical copulas, the required partial derivatives in Eq. (15) need to other hand, a Gumbel copula is a good example of asymmetric
be solved numerically for the computation of the corresponding copulas with upper tail dependence [10].
conditional copulas Ci|1,...,i1 (ui |u1 , . . ., ui1 ) required in Eq. (20).
In the following we derive specic expressions for v for some fre- 4.4. Frank copula
quently used bivariate copula models.
This symmetric Archimedean copula, with parameter
=
/ 0, is
4.1. Independent copula dened by the following equation [10,22]

In the particular case of statistically independent random vari- C(u, v) =

1 ln[1 + gu gv /g1 ] (32)
ables we have the independent copula where gz = e
z 1. The corresponding conditional copula is
C(u, v) = (u, v) = uv (23) obtained from

In this case the conditional copula is C(v|u) = v and Kendalls  C(v|u) = [gu gv + gv ]/[gu gv + g1 ] (33)
equals zero.
Kendalls  is given by

4.2. Gaussian copula



(
) = 1 4/
+ 4/
2 t/(et 1)dt (34)
0
Let p(u) and p(v) dene quantile functions associated with the
normal standard distribution function , so that (p(u)) = u, and Using Eqs. (33) and (22) we obtain the following expression
(p(v)) = v [22]. Notice that p(u) and p(v) are the transformed val- given by Venter [22]
ues of the physical variables into the Nataf space. Then, the Gaussian
copula is dened by v =
1 ln{1 + (z2 )g1 /[1 + gu (1 (z2 ))]} (35)

C(u, v) = B(p(u), p(v); ) (24) 4.5. Gumbel copula

where B is the standard bivariate normal cumulative distribution
and  is the Pearson coefcient between p(u) and p(v). The condi- This asymmetric Archimedean copula has more probability con-
tional copula, from Eq. (16), can be expressed as centrated in the tails than the Frank copula, exhibiting greater
  dependence in the positive tail than in the negative one. It is dened
C(u, v) p(v) p(u) as follows [10]
C(v|u) = =  (25)
u 1 2 1/

C(u, v) = exp{[( ln u)
+ ( ln v)
] },
1 (36)
and Kendalls , using Eq. (17), can be calculated from
Also,
() = 2 arcsin()/ (26) 1+1/

C(v|u) = C(u, v)[( ln u)

+ ( ln v)
] ( ln u)
1 /u (37)
In this case, from Eq. (25)
  (
) = 1 1/
(38)
p(v) p(u)
(z2 ) =   (27) In this case, there is no explicit expression for v from Eq. (37). It
1 2 is necessary to use a numerical procedure.
 R. Montes-Iturrizaga, E. Heredia-Zavoni / Applied Ocean Research 52 (2015) 125139 129

Fig. 2. Theoretical contour plots for TR = 100 years.

4.6. FarlieGumbelMorgenstern family 4.7. Contour plots for theoretical copula models

According to Genest and Favre [18]: The procedure described in this section was used to analyze
environmental contours for a hypothetical bivariate case (X, Y).
C(u, v) = uv +
uv(1 u)(1 v),
[1, 1] (39) The Gaussian, Frank, Gumbel and FarlieGumbelMorgenstern
(FGM) copulas were considered. Values of Kendalls  equal to
Then, 0, 0.2, 0.5 and 0.85 were taken as measures of association and
the corresponding parameters of the copulas models were calcu-
C(v|u) = v +
v(1 v)(1 2u) (40) lated using Eqs. (26), (34), (38) and (41). Both marginals, X and Y
were modeled as lognormal variates with means equal to 1 and
2
(
) =
(41) standard deviations equal to 0.2. Most of the calculations in this
9
application were carried out using R programming language [23].
Notice from Eq. (41) that, since
[1, 1], the maximum Contour plots for return periods TR equal to 100 and 500 years, and
absolute value of  equals 2/9. Therefore, this class of copula is mean annual rate E = 1, are shown in Figs. 2 and 3, respectively.
appropriate only for variables with lower degrees of dependence. Results for this hypothetical case show that signicant differences
In case
= 0 we have the independent copula. From Eqs. (22) and can arise among these models for increasing values of Kendalls 
(40) and return period TR . Note that when = 0 (Figs. 2(a) and 3(a)), all
of the curves converge to the case of the independent copula. It is
(z2 ) = v2 + (1 + )v (42) also relevant to notice that for larger values of Kendalls the shape
of the contours differs from that of the independent case; only the
where =
(1 2u). Eq. (42) can be solved using the known formula Gaussian, Frank, and Gumbel copulas can model contours for high
for a quadratic equation, provided that = / 0. degrees of dependence. The FGM copula is no longer applicable
130 R. Montes-Iturrizaga, E. Heredia-Zavoni / Applied Ocean Research 52 (2015) 125139
Fig. 3. Theoretical contour plots for TR = 500 years.
when  > 2/9 = 0.22 and can only model contours for low degrees of
dependence.
5. Statistical modeling of metocean parameter dependence
In this section, we outline a general approach for modeling
copulas and stochastic dependence of metocean variables using
statistical data for extreme sea states. Hindcast time series for
tropical storms (hurricanes) and extra-tropical events (northers)
in the period from 1958 to 1999 (41 years) is considered for
a site at 650 m water depth located in the Bay of Campeche,
Mexico, in the Southern Gulf of Mexico (Fig. 4) [24]. Time series
include data for signicant wave height HS (m), peak spectral
period TP (s), and 10-m hourly wind speed W (m/s). Signicant
wave height for extreme sea states are selected as those for
which HS HSth provided HS at time tpeak is a peak value within
time window tpeak + Tcluster and tpeak Tcluster [25], using a de-
clustering time window Tcluster = 30 h and a threshold value HSth =
4.5 m. The threshold value used here comes from an analysis of
extreme value data based on the POT approach [26] and the time-
window was taken from previous analysis of the data for statistical
independence of peak values [27]. The values of all other associ-
ated environmental parameters are taken as those occurring at the
same time tpeak as the peak values of signicant wave height. The
total number of extreme events is 48. The maximum likelihood
estimate of the mean annual rate of storm events E is 48 years/41
events = 1.17 for the site.
5.1. Analysis of dependence structure
Sample values of Pearsons correlation coefcient, Spearmans 
and Kendalls  were computed. Sample estimators of these meas-
ures of association are presented in Appendix A. Results are given
in Table 1. Spearmans  values greater than 0.74 are observed for
(HS , W) and (HS , TP ), indicating strong degree of dependence; being
positive they also indicate that these variables are positively asso-
ciated. Such strong dependence is relevant for the modeling of the
joint distributions and therefore for the computation of the envi-
ronmental contours. A much lower degree of dependence can be
expected for (TP , W) with a  value of 0.23. Similar conclusions can
be drawn from the estimated Kendalls  values. As observed, they
are positive and also large, greater than 0.55, showing also positive
 R. Montes-Iturrizaga, E. Heredia-Zavoni / Applied Ocean Research 52 (2015) 125139 131

Fig. 4. Location of site in the Bay of Campeche, Gulf of Mexico.

Table 1
Linear correlation coefcient (Pearson) and measures of association.

Metocean variables Linear correlation coefcient (Pearson) Kendalls tau Spearmans rho

HS TP W HS TP W HS TP W

HS 1 0.672 0.733 1 0.563 0.555 1 0.770 0.736

TP 0.672 1 0.087 0.563 1 0.164 0.770 1 0.230
W 0.733 0.087 1 0.555 0.164 1 0.736 0.230 1

dependence for (HS , W) and (HS , TP ). In case of (TP , W) a much lower 5.2.1. Estimation based on Kendalls  and Spearmans 
value of 0.16 is obtained. Results of statistical testing of indepen- Let
= g() and
= h() be the relationships between copula
dence are shown in Table 2. The test is based on empirical copulas parameter
and Kendalls , and Spearmans . Based on sample
and uses the Cramrvon Mises statistic [28]. Large values of the values  n and n of  and , the following estimators can be dened
statistic lead to rejection of the null hypothesis, i.e. independence.
The R package copula was used [29]. P-values from hypothesis
n = g(n ) (43)

testing indicate that there is sufcient evidence in the data to reject
n = h(n ) (44)
the hypothesis of lack of dependence at 5% signicance level for all
pairs of metocean variables. The assessment of the standard deviations for these estimators
for the bivariate case can be found in [18] and is summarized in
Appendix B.
5.2. Estimation of copulas
5.2.2. Estimation based on maximum pseudo-likelihood (MPL)
There are several methods for the estimation of parameter(s)
The maximum likelihood method can also be used, being partic-

corresponding to a family of copulas C

, e.g. those based on
ularly efcient when a copula parameter vector is to be estimated.
Kendalls , Spearmans , maximum pseudo-likelihood (MPL) and
In our case, consider a continuous copula C
with density c
; a max-
inference from margins (IFM), which are briey described next.
imum pseudo-likelihood estimator is dened in terms of ranks by
For a detailed exposition on this topic see the work of Genest and
maximizing the following log-likelihood function,
Favre [18]. From now on, only uni-parametric families of copulas
are considered. 
n
(
) = ln[c
(si )] (45)
i=1
Table 2
Statistics and P-value for tests of independence.
where, as stated before, si (i = 1, n) is a vector of pseudo-
observations. Formulae for calculating the standard deviation of
Pair of data Statistic P-value this estimator for the bivariate case can be found in Appendix
(HS ,TP ) 0.326 0.0005 B. Notice that these estimation methods are rank-based, which
(HS ,W) 0.290 0.0005 represent empirical marginal distributions, and do not require
(TP ,W) 0.083 0.0135
parametric models of the marginals to be known.
132 R. Montes-Iturrizaga, E. Heredia-Zavoni / Applied Ocean Research 52 (2015) 125139

Table 3
Parameters of marginal distributions for the IFM method and statistics for
KolmogorovSmirnov hypothesis tests.

Parameter Variable

HS TP W

Shape 1.128
Scale 1.873 0.121 0.151
Location 4.5 2.439 2.812
Statistic 0.126 0.088 0.067
P-value 0.401 0.825 0.974

5.2.3. Estimation based on inference from margins (IFM)

Based on the maximization of a function similar to the log-
likelihood in Eq. (45), Joe [30] proposed a parametric procedure
known as inference from margins (IFM), which proceeds in two
steps: rst, maximum likelihood estimates i of parameters i are
obtained for the marginal distributions F of variable Xi using its
i
observed values; and then, parameter
is estimated by maximizing
the likelihood function

n
(
) = ln[c
(F (xi1 ), . . ., F (xid ))] (46)
1 d
i=1

Variance of the estimator can be calculated according to Joe [30].

For the marginal distributions, as required in the IFM method, a
three-parameter Weibull probability distribution function was t-
ted to HS , and lognormal distributions were tted to TP and W. These
types of distributions have been widely employed for metocean
variables. Furthermore, they have been used in previous studies
for modeling the marginal distributions of hindcast data for the
Bay of Campeche [4,27]. The parameters of the marginal distri-
butions were determined using maximum likelihood estimators
and are listed in Table 3. The tted distributions were subjected to
KolmogorovSmirnov hypothesis tests, and were found to be valid
at a 5% level of signicance for the metocean data. The statistic and
the corresponding P-values are shown in Table 3. Comparisons of
the tted and empirical distributions are shown in Fig. 5. In this
study, a variation of the original IFM method was also applied [29],
which consist in: (i) calculating marginal cumulative distributions
using the estimates i and the data xi = (xi1 , . . ., xid )(i = 1, . . ., n),
i.e. F (xik ) (k = 1, . . ., d); (ii) take F (xik ) (k = 1, . . ., d) as new data
k k
and compute the corresponding pseudo-observations; and (iii) use
these new pseudo-observations in Eq. (46) and maximize it. From
here on, the original IFM is denoted by IFM-0 and the variant by
IFM-1.

5.2.4. Estimates of copulas parameters

Estimation of copulas was carried out using the methods
outlined here based on Kendalls , Spearmans , maximum
pseudo-likelihood (MPL) and inference from margins (IFM-0 and
IFM-1). Three classes of copula were considered for both pairs
of variables (HS , TP ) and (HS , W): Gaussian, Frank and Gumbel.
The FarlieGumbelMorgenstern (FGM) family was not included
for estimation because Kendalls  values for the pairs (HS , TP ), Fig. 5. Comparison between tted and empirical marginal distributions of environ-
0.563, and (HS , W), 0.555, are greater than the limit 2/9 = 0.22 (Eq. mental variables: (a) signicant wave height HS (m); (b) peak spectral period TP (s);
and (c) wind speed W (m/s).
(41)). It is important to comment here that extreme value copu-
las can be used for modeling the dependence structure of pairs
of extreme variables [10,12]. However, in this study, this kind of
copulas are not considered because TP is not an extreme value methods gave the same estimates for all copula parameters; how-
and W is not the maximum wind speed but the value associated ever, the corresponding standard deviations are somewhat larger
to HS . for the IFM-1 estimates. Also, it can be observed that the IFM-0
The R package copula was used. Estimates of the copulas estimates tend to be lower than the others. Estimates based on
parameters and sample values of their standard deviations are Kendalls  are found to have the least sample standard deviation
shown in Table 4. It is interesting to note that the MPL and IFM-1 for the Frank copula parameter, followed by the MPL estimates, for
 R. Montes-Iturrizaga, E. Heredia-Zavoni / Applied Ocean Research 52 (2015) 125139 133

Fig. 6. Comparison between empirical and estimated copulas (MPL method).

both cases of (HS , TP ) and (HS , W). Estimates of the Gumbel cop- copula, parameters are estimated with relatively small standard
ula parameter using MPL and both IFM methods have about the deviations, although the MPL method yields the least standard
same standard deviations, which are less than those for estimates deviations. The MPL method is adopted here provided that over-
based on Kendalls  and Spearmans . In case of the Gaussian all it was found to perform well in terms of the sample standard
deviation of the estimates, and also since it is a general estimation
method which can further be used for estimation of multidimen-
Table 4
sional vector parameters of copulas. In Fig. 6, level curves of the
Estimates of copula parameters.
empirical copulas functions and the estimated ones using MPL are
Copula Parameters  1 1 MPL IFM-0 IFM-1 compared. Visual inspection of these plots indicates that the Frank
HS -TP copula ts best the analyzed data. In order to evaluate better in a
Gaussian
0.773 0.785 0.749 0.654 0.749 quantitative manner the more appropriate copula for this example,

0.061 0.053 0.050 0.068 0.052 Section 5.3 presents results of some formal tests for goodness of t
Frank 6.995 7.157 7.346 6.918 7.346
(GOF).

0.771 1.243 1.195 1.277 1.306
Gumbel 2.283 2.391 2.143 1.965 2.143

0.320 0.307 0.243 0.232 0.261
5.3. Goodness of t (GOF) tests and selection of copulas
HS -W
Gaussian 0.765 0.751 0.746 0.710 0.746

0.075 0.077 0.043 0.058 0.053
There are both formal and graphical GOF procedures for copu-
Frank 6.836 6.445 7.233 6.684 7.233 las. As to formal tests, the GOF procedures can be broadly divided

0.895 1.494 1.126 1.225 1.312 in: (i) procedures for testing specic dependence structures; (ii)
Gumbel 2.247 2.217 2.133 2.032 2.133 statistics that can be used to test GOF of any copula, which involve

0.376 0.364 0.232 0.241 0.264
an arbitrary parameter, kernels, weight functions, and proper
134 R. Montes-Iturrizaga, E. Heredia-Zavoni / Applied Ocean Research 52 (2015) 125139

characterization of data into a multiway contingency table; and are not in general consistent. Two rank-based statistics, equiv-
(iii) so called blanket tests, which are applicable to all copulas alent to Cramrvon Mises and KolmogorovSmirnov are [20]
and require no strategic choice for their use. A detailed analysis of  1
rank-based blanket tests can be found in [20]. Here we present Sn
(K)
= Kn (w)2 dK
n (w) (56)
a brief summary of the tests used in this work. In the last part of 0
this section, we include two additional criteria for selecting copulas  
= sup Kn (w)
(K)
based on theory of information. Tn (57)
w[0,1]

Large values of any of these statistics lead to the rejection of H  0 .

5.3.1. Tests based on the empirical copula
An unknown copula model for the vector X is assumed to belong
to a family 5.3.3. Tests based on Rosenblatt transformation
As explained before, vector E = (E1 , E2 , . . ., Ed ), obtained by
C0 = {C
:
O} (47) Rosenblatt transformation, R, (Eq. (4)), denes a set of indepen-
dent, uniformly distributed random variables, so that the copula
where O is an open subset of Rp for some integer p 1. Now the of E is the independent copula (u) (see Eq. (23) for the bivari-
null hypothesis is dened by ate case). Now, taking the random sample xi = (xi1 , . . ., xid )(i = 1, . . .,
n) of X, the corresponding Rosenblatt transformation ei = (ei1 , . . .,
H0 : C C0 (48) eid )(i = 1, . . ., n), under hypothesis H0 , can be considered a sam-
ple of the independent copula . Actually, components of ei are
Let C
n be a copula with estimated parameter
n . Then, using Eq. not mutually independent and are only approximately uniform on
(19), the following empirical process is dened: [0,1]d [20]. Note that transformation R is dependent on the copula
C (Eqs. (4) and (14)). Two Cramrvon Mises statistics for testing

Cn = n(Cn C
n ) (49) the null hypothesis H0 use the following empirical distribution

1
n
The rank-based versions of the CramrVon Mises and
Dn (u) = 1(ei u), u [0, 1]d (58)
KolmogorovSmirnov statistics are given by [20] n
i=1

which should be close to the independent copula . Such statistics,
Sn = Cn (u)2 dCn (u) (50)
[0,1]d
which differ only in their integration measure, are dened by [20]
   
n
Tn = sup Cn (u) (51) Sn
(C)
=n
2
{Dn (u) (u)} dDn (u) = {Dn (ei ) (ei )}
2
(59)
u[0,1]d [0,1]d
i=1

Both statistics are consistent; large values of these statistics lead

 
n

d
to rejection of the null hypothesis H0 . (B) 2 n 1 2
Sn =n {Dn (u) (u)} d(u) = (1 eik )
[0,1]d 3d 2d1
i=1 k=1
5.3.2. Tests based on Kendall transformation
1 
n n d
These tests are based on a probability integral transformation of
the data. First, consider the mapping + (1 max(eik , ejk )) (60)
n
i=1 j=1 k=1
X W = H(X) = C(U1 , . . ., Ud ) (52)
Large values of these statistics involve the rejection of H0 . In their
(B)
where Ui = Fi (Xi ), i = (1, . . ., d). The joint distribution function of work, Genest et al. [20] recommend to use rst statistics Sn and Sn .
U = (U1 , . . ., Ud ) is C. Eq. (52) is known as Kendall transformation. (C) (K)
For these authors, Sn and Sn are also recommendable. P-values
Now, let K be the distribution function of W, which can be esti- for the procedures summarized in this section can be estimated by
mated in a nonparametric way by using the empirical copula (Eq. simulation, e.g. using bootstrapping.
(19)) taking as argument the pseudo-observations si , so that we
have the sample wi = Cn (si ), i = (1, . . ., n), and therefore 5.3.4. Selection of copulas based on theory of information
Here, two additional alternatives are used for selecting a cop-
1
n
ula: the Akaike Information Criteria (AIC) [31] and the Bayesian
Kn (w) = 1(wi w), w [0, 1] (53)
n Information Criteria (BIC) [32]. Both criteria can be considered
i=1
extensions of the maximum likelihood estimation. Once param-
eter
is estimated for a set of copula families, AIC (Eq. (61)) or BIC
Eq. (53) gives a consistent estimator of K. Also, under the null
(Eq. (62)) are evaluated and the family with the minimum value is
hypothesis H0 the vector U is distributed as C
and therefore the
chosen,
Kendall transformation C
(U) has distribution K
. By a measure of
the distance between Kn and a parametric estimation K
n , the null 
n

hypothesis can be stated as follows, AIC:= 2 ln[c

n (si )] + 2k (61)


 i=1
H  0 : K K0 = K
:
O (54)

n
BIC:= 2 ln[c
n (si )] + ln(n)k (62)
Since H0 H  0 , nonrejection of H  0 does not necessarily implies
i=1
the acceptance of H0 . Thus, tests based on the empirical process
where
n is the estimated value of
and k is the number of param-
Kn = n(Kn K
n ) (55) eters of the copula.
 R. Montes-Iturrizaga, E. Heredia-Zavoni / Applied Ocean Research 52 (2015) 125139 135

Fig. 7. Environmental contour plots of (HS , TP ) using estimated copulas.

5.3.5. Results of GOF tests also resulted in selection of the Frank copula as the one that best
(B)
Results of GOF tests using the statistics Sn (Eq. (50)), Sn (Eq. represents the data for (HS , TP ) and (HS , W).
(C)
(60)) and Sn (Eq. (59)), are listed in Table 5 including P-values.
The Gaussian, Frank and Gumbel copulas, with parameters esti-
mated using MPL, were considered for the GOF tests. The R package 6. Computation of environmental contours of extreme sea
copula was used. In all cases, observing the lowest values of the states
statistics (associated with the largest P-values) it can be concluded
that the Frank copula best ts the data. This agrees with what can In offshore engineering, environmental contour plots of peak
be seen in Fig. 6. For evaluation of the Akaike (AIC) and Bayesian signicant wave height HS and the associated mean wind velocity W
(BIC) criteria the R package CDVine was used [33]. Both criteria at 10 m over mean sea level, and of HS and the associated peak spec-
tral period TP , are typically employed for the analysis, design and
operation of oating structures and production systems. Such con-
Table 5
Goodness-of-t tests.
tour plots are computed here applying the formulation advanced
in Section 4 and the estimated copulas in Section 5 considering that
(B) (C)
Copula Sn Sn Sn in the Rosenblatt transformation (Eq. (3)) X1 = HS . In Fig. 7 contour
Statistic P-value Statistic P-value Statistic P-value plots of (HS , TP ) are shown for return periods TR equal to 100 and
500 years, considering the independent, Gaussian, Frank, Gumbel
HS -TP
Gaussian 0.046 0.015 0.316 0.122 0.566 0.217 and FarlieGumbelMorgenstern copulas; Fig. 8 shows the corre-
Frank 0.026 0.328 0.316 0.417 0.566 0.459 sponding contour plots of (HS , W). Estimated parameters of copulas
Gumbel 0.044 0.029 0.316 0.154 0.566 0.253 were obtained using the MPL method. Contours using the FGM
HS -W copula are included for illustration and comparison purposes only,
Gaussian 0.034 0.076 0.281 0.319 0.534 0.282 assuming values of parameter
equal to 1, 0, 1, since, as already
Frank 0.023 0.551 0.281 0.631 0.534 0.575 discussed, its estimates are out of range for the environmental data
Gumbel 0.043 0.032 0.281 0.303 0.534 0.312
(see Eq. (41) and Table 1).
136 R. Montes-Iturrizaga, E. Heredia-Zavoni / Applied Ocean Research 52 (2015) 125139
Fig. 8. Environmental contour plots of (HS , W) using estimated copulas.
Important differences can arise between the contour plots for
the different classes of copulas, especially for relatively high val-
ues of environmental parameters. For instance, for TR = 100 years
and for peak spectral period of TP = 15 s, signicant wave heights
HS are equal to 10.1 m and 12 m in the Gumbel-countour, 8.1 m and
11.4 m in the Gaussian-contour, and 6.6 m and 10.1 m in the Frank-
contour. For HS = 12 m, values of TP = 15, 14.2, 13.4 s are found from
the Gumbel, Gaussian, and Frank contours, respectively. Greater
differences are obtained for TR = 500 years: for TP = 16 s, HS is equal
to 11.9 m and 14.2 m in the Gumbel-contour, 8.8 m and 13.3 m in
the Gaussian-contour, and 6.5 m and 10.6 m in the Frank-contour.
Note that, for all copulas, the maximum value of HS is approximately
12 m for TR = 100 years and 14.2 m for TR = 500 years.
Assuming independence between HS , TP and W, leads to signif-
icant errors and the associated contours exhibit different trends.
For instance, for TR = 100 years (Fig. 7(a)), the independent copula
contour indicates that TP = 9.5 s for HS = 10 m, whereas the Gum-
bel, Gaussian, and Frank copula models predict a spectral period
around 12 s. Notice that the FGM contours, which are associ-
ated to low degrees of dependence, as dened by Kendalls  value
2/9, exhibit trends similar to those obtained for the independent
copula; thus they do not account properly for the depend-
ence structure of the metocean variables analyzed, which show
much greater Kendalls  values and therefore higher degrees of
dependence.
Recall that using Nataf distribution for modeling the multivari-
ate distribution corresponds to the particular case of the family of
Gaussian copulas. Joint Gaussian distributions are parameterized
by the linear correlation matrix, which is not a rank-based mea-
sure of association. As shown here, instead of using the data for
estimation of linear correlation coefcients, it can be used under
a different approach analyzing measures of association. Measures
of association can be estimated using ranks, which are statistics
that retain a greater amount of information from the data. By using
copulas it is then possible to model better the structure of depend-
ence of the data and to improve the estimation of environmental
contours.
Environmental contours of (HS , TP ) and (HS , W) for TR = 100 and
500 years using estimated and empirical copulas are compared in
Fig. 9. The R package copula was used for the numerical com-
putation of partial derivatives of the empirical copulas. It can be
noted that contour plots obtained using Frank copula t best those
using empirical copulas, which is more evident for TR = 500 years.
Although Frank copula was the most appropriate for the data con-
sidered here, in other cases, results can vary and a different family
of copulas may be a better model.
 R. Montes-Iturrizaga, E. Heredia-Zavoni / Applied Ocean Research 52 (2015) 125139 137

Fig. 9. Contour plots of (HS , TP ) and (HS , W) using estimated and empirical copulas.

7. Conclusions Nataf distribution model are employed, the stochastic dependence

In this paper, a procedure was proposed for the application
of copula theory to the construction of environmental contours.
The use of copulas allows a rigorous modeling of the depend-
ence structure of a set of random variables. Basic concepts
from theory of copulas were presented and a formulation was
derived for expressing the variates of the environmental con-
tours in terms of the copula of environmental variables. Using
well known copula models, such as Gaussian, Frank, Gumbel, and
FarlieGumbelMorgenstern, the effect of the degree of associa-
tion on the environmental contours was examined. A procedure
for rank-based statistical estimation and selection of copulas, as
well as goodness-of-t testing, was outlined and applied for mod-
of the environmental variables is modeled by a Gaussian copula.
As shown in this paper, an alternative to using linear correlation
coefcients is to focus on rank-based statistics to model depend-
ence through copulas, either using measures of association, such as
Kendalls  and Spearmans , or estimation methods such as max-
imum pseudo likelihood. Other copula models than the ones used
here could be considered. Future studies could focus on examining
tail dependency and the use of other models.
Appendix A. Estimates of Kendalls tau and Spearmans rho
Let {(x1 , y1 ), . . ., (xn , 
yn )}be a random sample of size n from a
eling the stochastic dependence of metocean variables. Hindcast n
vector (X, Y). There are different pairs of (xi , yi ) and (xj , yj )
data from tropical storms and extra-tropical events in the Gulf of 2
Mexico was used. in the sample. Then, the sample estimate of Kendalls  is given by
Environmental contour plots of signicant wave height, peak [10]
spectral period, and wind velocity, were developed using the esti-  
mated copula models. The results showed that environmental cd n
n = = (c d)/ (A.1)
contour plots can have signicant differences depending on the c+d 2
copula used, thus underlying the relevance of selecting an appro-
priate model that best represents the dependence structure of the where c is the number of concordant pairs and d is the number of
variables involved. When the linear correlation matrix and the discordant pairs.
138 R. Montes-Iturrizaga, E. Heredia-Zavoni / Applied Ocean Research 52 (2015) 125139

Now, let us denote the ranks of the sample as rXi and rYi for X and B.3. Estimate based on maximum pseudo-likelihood
Y, respectively (i = 1, . . . n). Then, the sample version of Spearmans
 is dened as [34] The standard deviation for the estimator
n , obtained by maxi-
n mizing Eq. (45), is calculated as follows [18]
6 d2
k=1 k
n = 1 (A.2)  n
n(n 1)
2

= (B.14)
n n
where dk = rXk rYk .
where
Appendix B. Standard deviations of copula estimators  n
 n = (B.15)
n
B.1. Estimate based on Kendalls tau
1
n
2
The standard deviation for the estimator in Eq. (43) can be cal-  n2 = (Mi M) (B.16)
n
culated from [18] i=1
 
1

= 4S g  (n ) (B.1)  n
n n 2 = 1
(Ni N)
2
(B.17)
n
n
where i=1

1
n (M1 + M2 + + Mn )
2 M = (B.18)
S2 = (Wi + Wi 2W ) (B.2) n
n
i=1 (N1 + N2 + + Nn )
N = (B.19)
1
n n
1
Wi = Iij = #{j : xj xi , yj yi } (B.3)
n n Computation of pseudo-observations Mi and Ni is carried out
j=1 according to the following steps:

1 1 
n
Wi = Iji = # j : xi xj , yi yj (B.4) (i) Re-label original data (x1 , y1 ), . . ., (xn , yn ) such that x1 < < xn .
n n Hence, we have the ranks rX1 = 1, . . ., rXn = n.
j=1
(ii) Dene L(
, u, v) = ln c
(u, v) and calculate L
, Lu and Lv , which
1
n
are the derivatives of L with respect to
, u and v, respectively.
W = Wi (B.5) (iii) For i = 1, 2, . . ., n
n
i=1
  i r

1 si xj < xi , yj < yi Ni = L

n , , Yi (B.20)
Iij = (B.6) n+1 n+1
0 otherwise
1
n  j rYj
  j rYj

B.2. Estimate based on Spearmans rho Mi = Ni L

n , , Lu
n , ,
n n+1 n+1 n+1 n+1
j=1
The standard deviation for the estimator in Eq. (44) can be eval-
1  n  j rYj
  j rYj

uated according to Genest and Favre [18] as follows
L

n , , Lv
n , , (B.21)
1   n n+1 n+1 n+1 n+1

= n h (n )

(B.7) rYj rYi
n
n
where
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