LH-moment estimation of a four parameter kappa distribution with hydrologic applications

The study of distribution tails is a fundamental research in statistical frequency analysis relevant to many research fields, such as insurance, hydrological events, earthquake, etc. Here, we describe and investigate the effect and feasibility of the high-order L-moment (LH-moment) method for estimating heavy-tail conditions by fitting a four parameter kappa distribution. Details of parameter estimation using LH-moments for the four parameter kappa distribution (K4D) are described and formulated. Monte-Carlo simulation is performed to illustrate the performance of the LH-moment method in terms of heavy-tail quantiles over all quantiles using K4D and non K4D samples, respectively. The result suggests that the method is either useful (when the method of L-moment estimation fails to give a feasible solution) or as effective as the L-moment approach in handling data following K4D. Applications to the annual maximum flood and sea level data are presented.     

Analyse fréquentielle régionale des précipitations journalières maximales annuelles au Québec,Canada / Regional frequency analysis of annual maximum daily precipitation in Quebec,Canada

Abstract

Abstract A complete regional analysis of daily precipitations is carried out in the southern half of the province of Quebec, Canada. The first step of the regional estimation procedure consists of delineating the homogeneous regions within the area of study and testing for homogeneity within each region. The delineation of homogeneous regions is based on using L-moment ratios. A simulation-based testing of statistical homogeneity allows one to verify the inter-site variability. The second step of the procedure deals with the identification of the regional distribution and the estimation of its parameters. The General Extreme Value (GEV) distribution was identified as an appropriate parent distribution. This distribution has already been recommended by several previous research studies for regional frequency analysis of precipitation extremes. The parameters of the GEV distribution are estimated based on the computation of the regional L-CV, L-C_S and the mean of annual maximal daily precipitations. The third step consists of the estimation of precipitation quantiles corresponding to various return periods. The final procedure allows for the estimation of these quantiles at sites where no precipitation information is available. The use of a jack-knife resampling procedure with data from the province of Quebec allows one to demonstrate the robustness and efficiency of the regional estimation procedure. Values of the root mean square error were below 10% for a return period of 20 years, and 20% for a return period of 100 years.     

Bias compensation in flood frequency analysis

Abstract

Flood frequency analysis (FFA) is essential for water resources management. Long flow records improve the precision of estimated quantiles; however, in some cases, sample size in one location is not sufficient to achieve a reliable estimate of the statistical parameters and thus, regional FFA is commonly used to decrease the uncertainty in the prediction. In this paper, the bias of several commonly used parameter estimators, including L-moment, probability weighted moment and maximum likelihood estimation, applied to the general extreme value (GEV) distribution is evaluated using a Monte Carlo simulation. Two bias compensation approaches: compensation based on the shape parameter, and compensation using three GEV parameters, are proposed based on the analysis and the models are then applied to streamflow records in southern Alberta. Compensation efficiency varies among estimators and between compensation approaches. The results overall suggest that compensation of the bias due to the estimator and short sample size would significantly improve the accuracy of the quantile estimation. In addition, at-site FFA is able to provide reliable estimation based on short data, when accounting for the bias in the estimator appropriately.

Editor D. Koutsoyiannis; Associate editor Sheng Yue     

Analysis of extreme rainfall using the log logistic distribution

Computer-intensive methods are used to examine the fit of the log logistic distribution to annual maxima of Irish rainfall. The characteristics of the L-moment solutions are examined by using the conventional bootstrap on the data and by random sampling within the ellipse of concentration of the parameter estimates. A statistical method of examining uncertainty is provided by the maximum product of spacings solution. Factors derived from random division of an interval are proposed for estimation of short-duration falls for which no data are available.     

Estimation of asymptotic variances of quantiles for the generalized logistic distribution

In this study, the parameter estimations for the 3-parameter generalized logistic (GL) distribution are presented based on the methods of moments (MOM), maximum likelihood (ML), and probability weighted moments (PWM). The asymptotic variances of the MOM, ML, and PWM quantile estimators for the GL distribution are expressed as functions of the sample size, return period, and parameters. A Monte Carlo simulation was performed to verify the derived expressions for variances and covariances between parameters and to evaluate the applicability of the derived asymptotic variances of quantiles for the MOM, ML and PWM methods. The simulation results generally show good agreement with the analytical results estimated from the asymptotic variances of parameters and quantiles when the shape parameter (β) of the GL distribution is between −0.10 and 0.10 for the MOM method and between −0.25 and 0.45 for the ML and PWM methods, respectively. In addition, the actual sample variances and the root mean square error (RMSE) of asymptotic variances of quantiles for various sample sizes, return periods, and shape parameters were presented. In order to evaluate the applicability of the estimation methods to real data and to compare the values of estimated parameter, quantiles, and confidence intervals based on each parameter estimation method, the GL distribution was fitted to the 24-h annual maximum rainfall data at Pohang, Korea.     

Entropy-based parameter estimation for extended Burr XII distribution

Two entropy-based methods, called ordinary entropy (ENT) method and parameter space expansion method (PSEM), both based on the principle of maximum entropy, are applied for estimating parameters of the extended Burr XII distribution. With the parameters so estimated, the Burr XII distribution is applied to six peak flow datasets and quantiles (discharges) corresponding to different return periods are computed. These two entropy methods are compared with the methods of moments (MOM), probability weighted moments (PWM) and maximum likelihood estimation (MLE). It is shown that PSEM yields the same quantiles as does MLE for discrete cases, while ENT is found comparable to the MOM and PWM. For shorter return periods (<10–30 years), quantiles (discharges) estimated by these four methods are in close agreement, but the differences amongst them grow as the return period increases. The error in quantiles computed using the four methods becomes larger for return periods greater than 10–30 years.     

Method of moments of the Halphen distribution parameters

Halphen laws have been proposed as a complete system of distributions with sufficient statistics that lead to estimation with minimum variance. The Halphen system provides a flexibility to fit a large variety of data sets from natural events. In this paper we present the method of moments (MM) to estimate the Halphen type B and IB distribution parameters. Their computation is very fast when compared to those given by the maximum likelihood method (ML). Furthermore, this estimation method is very easy to implement since the formulae are explicit. Some simulations show the equivalence of both methods when estimating the quantiles for finite sample size.     

Regional frequency analysis of rainfall extremes in Southern Malawi using the index rainfall and L-moments approaches

Rainfall extremes often result in the occurrence of flood events with associated loss of life and infrastructure in Malawi. However, an understanding of the frequency of occurrence of such extreme events either for design or disaster planning purposes is often limited by data availability at the desired temporal and spatial scales. Regionalisation, which involves “trading time for space” by pooling together observations for stations with similar behavior, is an alternative approach for more accurate determination of extreme events even at ungauged areas or sites with short records. In this study, regional frequency analysis of rainfall extremes in Southern Malawi, large parts of which are flood prone, was undertaken. Observed 1-, 3-, 5- and 7-day annual maximum rainfall series for the period 1978–2007 at 23 selected rainfall stations in Southern Malawi were analysed. Cluster analysis using scaled at-site characteristics was used to determine homogeneous rainfall regions. L-moments were applied to derive regional index rainfall quantiles. The procedure also validated the three rainfall regions identified through homogeneity and heterogeneity tests based on Monte Carlo simulations with regional average L-moment ratios fitted to the Kappa distribution. Based on assessments of the accuracy of the derived index rainfall quantiles, it was concluded that the performance of this regional approach was satisfactory when validated for sites not included in the sample data. The study provides an estimate of the regional characteristics of rainfall extremes that can be useful in among others flood mitigation and engineering design.     

Parameter estimation for 3-parameter log-logistic distribution (LLD3) by Pome

The principle of maximum entropy (POME) was employed to derive a new method of parameter estimation for the 3-parameter log-logistic distribution (LLD3). Monte Carlo simulated data were used to evaluate this method and compare it with the methods of moments (MOM), probability weighted moments (PWM), and maximum likelihood estimation (MLE). Simulation results showed that POME's performance was superior in predicting quantiles of large recurrence intervals when population skew was greater than or equal to 2.0. In all other cases, POME's performance was comparable to other methods.     

Probability estimation of rare extreme events in the case of small samples: Technique and examples of analysis of earthquake catalogs

The most general approach to studying the recurrence law in the area of the rare largest events is associated with the use of limit law theorems of the theory of extreme values. In this paper, we use the Generalized Pareto Distribution (GPD). The unknown GPD parameters are typically determined by the method of maximal likelihood (ML). However, the ML estimation is only optimal for the case of fairly large samples (>200–300), whereas in many practical important cases, there are only dozens of large events. It is shown that in the case of a small number of events, the highest accuracy in the case of using the GPD is provided by the method of quantiles (MQs). In order to illustrate the obtained methodical results, we have formed the compiled data sets characterizing the tails of the distributions for typical subduction zones, regions of intracontinental seismicity, and for the zones of midoceanic (MO) ridges. This approach paves the way for designing a new method for seismic risk assessment. Here, instead of the unstable characteristics—the uppermost possible magnitude M_max—it is recommended to use the quantiles of the distribution of random maxima for a future time interval. The results of calculating such quantiles are presented.     

Parameter estimation for 3-parameter log-logistic distribution (LLD3) by Pome

The principle of maximum entropy (POME) was employed to derive a new method of parameter estimation for the 3-parameter log-logistic distribution (LLD3). Monte Carlo simulated data were used to evaluate this method and compare it with the methods of moments (MOM), probability weighted moments (PWM), and maximum likelihood estimation (MLE). Simulation results showed that POME's performance was superior in predicting quantiles of large recurrence intervals when population skew was greater than or equal to 2.0. In all other cases, POME's performance was comparable to other methods.     

A note on the applicability of log-Gumbel and log-logistic probability distributions in hydrological analyses: II. Assumed pdf

Abstract

Applicability of log-Gumbel (LG) and log-logistic (LL) probability distributions in hydrological studies is critically examined under real conditions, where the assumed distribution differs from the true one. The set of alternative distributions consists of five two-parameter distributions with zero lower bound, including LG and LL as well as lognormal (LN), linear diffusion analogy (LD) and gamma (Ga) distributions. The log-Gumbel distribution is considered as both a false and a true distribution. The model error of upper quantiles and of the first two moments is analytically derived for three estimation methods: the method of moments (MOM), the linear moments method (LMM) and the maximum likelihood method (MLM). These estimation methods are used as methods of approximation of one distribution by another distribution. As recommended in the first of this two-part series of papers, MLM turns out to be the worst method, if the assumed LG or LL distribution is not the true one. It produces a huge bias of upper quantiles, which is at least one order higher than that of the other two methods. However, the reverse case, i.e. acceptance of LN, LD or Ga as a hypothetical distribution, while the LG or LL distribution is the true one, gives the MLM bias of reasonable magnitude in upper quantiles. Therefore, one should avoid choosing the LG and LL distributions in flood frequency analysis, especially if MLM is to be applied.     

Estimation of confidence intervals of quantiles for the Weibull distribution

 Estimation of confidence limits and intervals for the two- and three-parameter Weibull distributions are presented based on the methods of moment (MOM), probability weighted moments (PWM), and maximum likelihood (ML). The asymptotic variances of the MOM, PWM, and ML quantile estimators are derived as a function of the sample size, return period, and parameters. Such variances can be used for estimating the confidence limits and confidence intervals of the population quantiles. Except for the two-parameter Weibull model, the formulas obtained do not have simple forms but can be evaluated numerically. Simulation experiments were performed to verify the applicability of the derived confidence intervals of quantiles. The results show that overall, the ML method for estimating the confidence limits performs better than the other two methods in terms of bias and mean square error. This is specially so for γ≥0.5 even for small sample sizes (e.g. N=10). However, the drawback of the ML method for determining the confidence limits is that it requires that the shape parameter be bigger than 2. The Weibull model based on the MOM, ML, and PWM estimation methods was applied to fit the distribution of annual 7-day low flows and 6-h maximum annual rainfall data. The results showed that the differences in the estimated quantiles based on the three methods are not large, generally are less than 10%. However, the differences between the confidence limits and confidence intervals obtained by the three estimation methods may be more significant. For instance, for the 7-day low flows the ratio between the estimated confidence interval to the estimated quantile based on ML is about 17% for T≥2 while it is about 30% for estimation based on MOM and PWM methods. In addition, the analysis of the rainfall data using the three-parameter Weibull showed that while ML parameters can be estimated, the corresponding confidence limits and intervals could not be found because the shape parameter was smaller than 2.     

Regional analysis of low flow using L-moments for Dongjiang basin,South China

Abstract

Dongjiang water has been the key source of water supplies for Hong Kong and its neighbouring cities in the Pearl River Delta in South China since the mid-1960s. Rapid economic development and population growth in this region have caused serious concerns over the adequacy of the quantity and quality of water withdrawn from the Dongjiang River in the future. Information on the magnitude and frequency of low flows in the basin is needed for planning of water resources at present and in the near future. The L-moment method is used to analyse the regional frequency of low flows, since recent studies have shown that it is superior to other methods that have been used previously, and is now being adopted by many organizations worldwide. In this study, basin-wide analysis of low flows is conducted for Dongjiang basin using five distributions: generalized logistic, generalized extreme value, lognormal, Pearson type III and generalized Pareto. Each of these has three parameters estimated by the L-moment method. The discordancy index and homogeneity testing show that 14 out of the 16 study sites belong to a homogenous region; these are used for further analysis. Based on the L-moment ratios diagram, the Hosking and Wallis goodness-of-fit statistical criterion and the L-kurtosis criterion, the three-parameter lognormal distribution is identified as the most appropriate distribution for the homogeneous study region. The regional low-flow estimates for each return period are obtained using the index flood procedure. Examination of the observed and simulated low flows by regional frequency analysis shows a good agreement in general, and the results may satisfy practical application. Furthermore, the regional low-flow relationship between mean annual 7-day low flows and basin area is developed using linear regression, providing a simple and effective method for estimation of low flows of desired return periods for ungauged catchments.     

Risk assessment using suprema data

This paper proposes a stochastic approach to model temperature dynamic and study related risk measures. The dynamic of temperatures can be modelled by a mean-reverting process such as an Ornstein–Uhlenbeck one. In this study, we estimate the parameters of this process thanks to daily observed suprema of temperatures, which are the only data gathered by some weather stations. The expression of the cumulative distribution function of the supremum is obtained thanks to the law of the hitting time. The parameters are estimated by a least square method quantiles based on this function. Theoretical results, including mixing property and consistency of model parameters estimation, are provided. The parameters estimation is assessed on simulated data and performed on real ones. Numerical illustrations are given for both data. This estimation will allow us to estimate risk measures, such as the probability of heat wave and the mean duration of an heat wave.     

An integrated approach to the estimation of streamflow drought quantiles / Une méthode intégrée d’estimation des quantiles de sécheresse hydrologique

Abstract

Abstract An approach was developed for combining streamflow drought information from synthetic (generated) data with data reconstructed based on palaeoclimatic information (tree ring widths). The tree ring data were used to reconstruct streamflow in periods when no streamflow data were collected. The reconstructed data were then used as a source of historical data for estimating drought severity quantiles. The generated data were obtained using a nearest neighbour resampling method while the tree ring reconstruction was accomplished using a regression model. The application of the approach was to data from the Athabasca River in Alberta, Canada. The results demonstrate the feasibility and the utility of the approach for obtaining more accurate and precise estimates of extreme drought severity quantiles.     

Comparative study of flood quantiles estimation by nonparametric models

There are two basic approaches for estimating flood quantiles: a parametric and a nonparametric method. In this study, the comparisons of parametric and nonparametric models for annual maximum flood data of Goan gauging station in Korea were performed based on Monte Carlo simulation. In order to consider uncertainties that can arise from model and data errors, kernel density estimation for fitting the sampling distributions was chosen to determine safety factors (SFs) that depend on the probability model used to fit the real data. The relative biases of Sheater and Jones plug-in (SJ) are the smallest in most cases among seven bandwidth selectors applied. The relative root mean square errors (RRMSEs) of the Gumbel (GUM) are smaller than those of any other models regardless of parent models considered. When the Weibull-2 is assumed as a parent model, the RRMSEs of kernel density estimation are relatively small, while those of kernel density estimation are much bigger than those of parametric methods for other parent models. However, the RRMSEs of kernel density estimation within interpolation range are much smaller than those for extrapolation range in comparison with those of parametric methods. Among the applied distributions, the GUM model has the smallest SFs for all parent models, and the general extreme value model has the largest values for all parent models considered.