Home / Regular Issue / JST Vol. 29 (1) Jan. 2021 / JST-2206-2020


Modelling High Dimensional Paddy Production Data using Copulas

Nuranisyha Mohd Roslan, Wendy Ling Shinyie and Sim Siew Ling

Pertanika Journal of Science & Technology, Volume 29, Issue 1, January 2021

DOI: https://doi.org/10.47836/pjst.29.1.15

Published: 22 January 2021

As the climate change is likely to be adversely affecting the yield of paddy production, thence it has brought a limelight of the probable challenges on human particularly regional food security issues. This paper aims to fit multivariate time series of paddy production variables using copula functions and predicts the next year event based on the data of five countries in southeast Asia. In particular, the most appropriate marginal distribution for each univariate time series was first identified using maximum likelihood parameter estimation method. Next, we performed multivariate copula fitting using two types of copula families, namely, elliptical copula family and Archimedean copula family. Elliptical copula family studied are normal and t copula, while Archimedean copula family considered are Joe, Clayton and Gumbel copulas. The performance of marginal distribution and copula fitting was examined using Akaike information criterion (AIC) values. Finally, we used the best fitted copula model to forecast the succeeding event. In order to assess the performance of copula function, we computed the forecast means and estimation errors of copula function with a generalized autoregressive conditional heteroskedasticity model as reference group. Based on the smallest AIC, the majority of the data favoured the Gumbel copula, which belongs to Archimedean copula family as well as extreme value copula family. Likewise, applying the historical data to forecast the future trends may assist all relevant stakeholders, for instance government, NGO agencies, and professional practitioners in making informed decisions without compromising the environmental as well as economical sustainability in the region.

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