Since 50's the scientific community has been strongly interested in the modeling of several classes of stochastic processes, among which a particular attention has been attracted by hydro-meteorological phenomena. Indeed, both their synthetic reproduction and forecasting is a central point in the resolution of a wide class of problems, as the design and management of water resources systems and flood risk analysis. Concerning the modeling of generic stochastic variables, there are two crucial aspects to be addressed: the identification of the most appropriate model able to correctly reproduce the statistical features of the real process (i.e., model selection), and the estimation of the parameters of the selected model (i.e., model calibrat...