Reliability using Asymmetric Copula in UQLab

UQ with UQLab Community Q&A and How To
1

Good Morning All,

I wish to find out if UQLab has the capability for reliability analysis using asymmetric copulas (say combining Clayton-Gumbel, Clayton-Frank or Gumbel-Frank ) rather than using Gumbel, Clayton or Frank for vines

I am trying to explore the possibility of using asymmetric copulas for reliability assessment. Appreciate useful input and help.

2

Hi Aokoro,

Thanks for asking this very interesting question.

If you want to construct multivariate asymmetric copulas (so asymmetric in a space of dimension more than 2), the Vine copula is one of the possible solutions, as you can find in the literature. To use UQLab for this purpose, please refer to the input manual for more details.

If asymmetric pair copulas are desired, UQLab provides the possibility to rotate the implemented parametric families, which can result in antisymmetric copulas. However, I think (if I am not mistaken) that some more general methods that combine conventional pair copulas to construct asymmetric copulas have not been supported yet.

I hope this helps.

Best,
Xujia

3

Thanks you for the useful explanation and direction- I’m grateful. I hope in the near future we have asymmetric copulas using something like the Khoudraji’s copula formulation incorporated as part of this amazing software to effectively capture asymmetric association.