Case Study Gumbel

Distribution
Rhone River Maximum Daily
Discharge (Annual) 1826-1936
Data Source: E. Gumbel (1941). The Return Period of Flood Flows,
The Annals of Mathematical Statistics, Vol. 12,#2, pp.163-190.

Data
Years 1826-1936: maximum daily discharge of river obtained.
order

discharge

order

discharge

order

discharge

order

discharge

order

discharge

899

23

1992

45

2240

67

2586

89

3067

1172

24

1992

46

2258

68

2594

90

3126

1231

25

2006

47

2281

69

2594

91

3179

1272

26

2006

48

2296

70

2594

92

3214

1272

27

2013

49

2327

71

2602

93

3250

1432

28

2050

50

2342

72

2626

94

3266

1432

29

2050

51

2358

73

2627

95

3293

1439

30

2072

52

2381

74

2643

96

3310

1444

31

2094

53

2420

75

2675

97

3310

10

1502

32

2101

54

2444

76

2675

98

3354

11

1541

33

2115

55

2452

77

2773

99

3426

12

1560

34

2145

56

2467

78

2773

100

3444

13

1639

35

2145

57

2475

79

2773

101

3444

14

1706

36

2153

58

2475

80

2839

102

3480

15

1780

37

2160

59

2475

81

2856

103

3606

16

1829

38

2168

60

2491

82

2881

104

3625

17

1850

39

2175

61

2514

83

2881

105

3708

18

1857

40

2206

62

2514

84

2965

106

3801

19

1913

41

2206

63

2514

85

3007

107

3810

20

1913

42

2206

64

2514

86

3050

108

3905

21

1934

43

2221

65

2538

87

3058

109

4096

22

1955

44

2236

66

2554

88

3067

110

4105

111

4390

Gumbel Distribution

( y )
F ( y ) 1 exp exp
y , , 0

( y )
( y )
1
f ( y ) exp
exp

exp

y , , 0

E (Y ) 0.577216
(0.577216 Euler' s Constant)
( ) 2
V (Y )
6
Method of Moments Estimators :
~
2 2
6 2
6
2
2
2
0.7797 0.7797 S
6

0.577216 0.577216 Y 0.577216 Y 0.4501S

n

where : Y

Y
i 1

Y Y
n

and S

i 1

n 1

Maximum Likelihood Estimation (I)

n

i 1

i 1

L( , ) f ( y1 ,..., yn | , ) f ( yi | , )
n

1
( y )
(y )
exp i
exp i

i 1

(y )
( yi )
1
exp i
exp

exp

( yi )
(y )
exp i

i 1

l ln( L) n ln( )

n
( yi )
( yi )
l
1 1
n 1 n

exp
exp

i 1
i

( yi )
( yi )
l
n n ( yi ) ( yi )
n n ( yi ) n ( yi )

exp

exp

2
2

i 1
2
2

i 1
i 1

l
^ ^

0
Goal, choose , such that
l

using Newton - Raphson Algorithm

Maximum Likelihood Estimation (II)

l
^ ^

0
Goal, choose , such that l

using Newton - Raphson Algorithm :

1
( yi )
( yi )
1 n
exp
2 exp

i 1

i 1

( yi )
( yi )
2l
n
1 n
1 n ( yi )
2 2 exp
exp

i 1
i 1 2

2l
1

n
1
2 2

( yi )
( yi )
1 n
exp
3 ( yi ) exp

i 1

i 1

n
( yi )
( yi )
( yi ) ( yi )
2l
n
2 n
2 n

(
y

(
y

)
exp

exp

i
i
2 2 3 i 1
3 i 1
i 1 2
2

(y )
n
2 n
2 n
1
2 3 ( yi ) 3 ( yi ) exp i
4

i 1
i 1

f l

2l
2
2l

2l

2l
2

( new) ( old )
Iterate to convergence : ( new) ( old )

(y
i 1

( yi )
2

)
exp

( new) ( old )
1
( old )
, ( old ) f ( old ) , ( old )
( new) ( old ) H

( new) ( old )
( new) ( old )

Maximum Likelihood Estimation (III)

Step 1, choose starting values, say: (0) and (0) are
assigned the method of moment estimators
Step 2: Choose a tolerance level for the change is
estimates, say k=10-6
Step 3: Obtain H-1((0), (0)) and f((0), (0))
Step 4: Obtain (1) and (1) from Newton-Raphson
algorithm
Step 5: Check to see if ((1)- (0))2+ ((1)- (0))2 <k.
If Yes, Stop.
If No, Return to Step 3, obtaining H-1((1), (1)), f((1), (1))

Rhone River Discharge Data

n 111 Y 2493.351 S 700.2752
~

0.7977 S 0.7977(700.2752) 545.99

~

Y 0.4501S 2493.351 0.4501(700.2572) 2178.17

Setting: (0) 2178.17 and (0) 545.99 :

n
l
111
1
( y 2178.17)

exp i
0.028122357

545.99 545.99 i 1
545.99

l
111
1

545.99 (545.99) 2

2l
1

(545.99)2

exp
i 1

( y 2178.17) 1 exp
i

i 1

( yi 2178.17)

545.99

0.084758042

( yi 2178.17)
0.000423838
545.99

l
111
1

(545.99) (545.99) 2
2

n
( yi 2178.17)
1
( yi 2178.17)

exp

( yi 2178.17) exp
0.000364134

3
545.99
(545.99) i 1
545.99

i 1
n

2l
111
2
1
( y 2178.17)

( yi 2178.17) 1 exp i

2
2
3

(545.99) (545.99) i 1
545.99
(545.99) 4

0.001352124

(1)
2178.17 .000424 .000364

(1)

545.99 .000364 .001352

.028122
2161.90

.084758
604.31

(0) (1) (0) (1) 3664 106 Continue Iterations

2

( y 2178.17)
i 1

( y 2178.17)
exp i

545.99

Rhone River Discharge Data (2)

Iteration History:

Round

alpha

beta

Delta

<k?

2178.157

546.0046

N/A

2161.899

604.3112

3663.998

No

2156.052

631.3299

764.1949

No

2155.18

635.4366

17.62557

No

2155.163

635.5164

0.006657

No

2155.163

635.5164

8.99E-10

Yes

1
( y 2155.2)
( y 2155.2)
f ( y)
exp
exp exp

635.5
635.5
635.5

Rhone River Discharge (3)

Rhone River Discharge Data (4)

^

Estimated standard errors of , :

^

V ^ H

V

^ ^
COV ,

COV ,

^
^
V

4076.6
936.3

4076.6 63.8

^

2001.3 44.7

^

Approximate 95%Confidence Intervals for and :

: 2155.2 2(63.8) 2155.2 127.6 (2027.6 , 2282.8)

: 635.5 2( 44.7) 635.5 89.4 (546.1, 724.9)

936.3
2001.3