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# 3rd STAHY International Workshop on STATISTICAL METHODS FOR HYDROLOGY AND WATER RESOURCES MANAGEMENT

## GUMBEL DISTRIBUTION, ARMA, COPULAS - THE IMPORTANCE OF

STOCHASTIC TOOLS FOR WATER MANAGEMENT
By

Andreas Schumann
Institute for Hydrology, Water Management and Environmental Techniques, Ruhr-University Bochum, Germany,
Universitaetsstr. 150 D-44780 Bochum (andreas.schumann@rub.de)

ABSTRACT
The temporal and spatial variability of hydrological characteristics is the crucial moment of design and operation of
water-resources systems. It is insufficient to consider normal or average conditions as the most critical situations in
water management are specified by extremes, by shortages or surpluses of water. The application of statistics in
hydrology was promoted by the data demand for design of water management structures. Today statistical methods
trigger the scientific development of hydrology. In this contribution a short overview about the integration of stochastic
aspects in water management is given. The applications of some probabilistic measures are discussed with the aim to
demonstrate the benefits of close cooperation between statistician and water managers. The increasing demand for
research activities resulting from the ongoing Global Changes which is widening the range of uncertainties we are faced
with is specified.
Keywords: Stochasticity, reservoirs, floods, copulas, Climate Change

INTRODUCTION

The starting point of any applications of probabilistic methods is the acceptance of the random character of a
variable. Their realizations at different time steps form a stochastic series and the set of random variables
associated with its underlying probability distributions is called a stochastic process. In contrast to the
random variable, a deterministic variable can be described by their determining factors and a deterministic
relationship among them. The boundaries between these categories are floating: deterministic processes are
driven by stochastic variables and time-series models can be physical justified (Salas and Smith, 1981). In
many cases we have to combine stochastic and deterministic components if we are interested in a holistic
description of water-resources systems. More and more probabilistic and deterministic methods are
overlapping. Stochastic aspects play e.g. a prominent role in deterministic methods if the uncertainties of
their applications have to be specified. At the other side the results of statistical analyses have to be
explained causal, e.g. with regard to ongoing hydrological changes. Under these aspects water resources
management has a long experience in applications of probabilistic tools. The benefits to use them will be
increased by their combination with deterministic methods as it will be shown here at the example of some
typical water management problems.

2
2.1

FLOOD STATISTICS
From Gumbel to Copulas

Flood management has a high economic relevance. In the last decades the flood risk, which is defined by the
harmful consequences of floods multiplied by their probabilities increased worldwide. Water management
tries to reduce the losses, preferably by reduction of vulnerabilities or by attempts to control hazards
specified with hydrological loads. In many countries the paradigms of flood management are shifting from
safety to risk-oriented approaches.
In the safety-oriented approach a certain flood event is defined which is used as a design flood. There are
two basic assumptions of safety- oriented flood design (Schumann (2009)): the design flood defines the limit
up to which a flood can be controlled completely by technical measures and a failure of the system has to be
expected only in such cases where the design flood is overtopped. Given these assumptions, often design
floods with very small probabilities were used. Thus the risk of a flood beyond the design flood seems to be
very small. In many cases this risk is even neglected. In the risk-based approach of flood design it is accepted
that 100% safety cannot be achieved by technical means. The remaining risk of failure, which may result
from the hydrological risk of an extreme flood, but also from operational and technical risks, requires risk
management. The differences between both approaches, the specification of a single design flood in safetyGumbel Distribution, ARMA, Copulas The importance of stochastic tools for water management

3rd STAHY International Workshop on STATISTICAL METHODS FOR HYDROLOGY AND WATER RESOURCES MANAGEMENT
October 1-2, 2012 Tunis, Tunisia

oriented design and a consideration of a large variety of hydrological loads for if- then analyses in riskbased design demands new statistical approaches.
The application of statistical methods was strongly enhanced by Gumbels paper The Return Period of
Flood Flows which was published in 1941 (Gumbel (1941)). Some years before, in 1936, Slade pointed out:
In the writer's opinion the statistical method, in whatever form employed (graphic or analytical), is an
entirely inadequate tool in the determination of flood frequencies. When used in conjunction with
nonstatistically inferred data, however, it may attain a high order of precision. (Slade (1936)). Slade gave
two main reasons for his evaluation: the error of sampling and the problems to estimate the mean, standard
variation, skewness and kurtosis from small samples. Thus the application of statistical methods started with
the Extreme-Value-Distribution Type 1, the so-called Gumbel- Distribution, where it was sufficient to
estimate the first and second moment for parameterization. Gumbel specified the basic assumptions of
statistical approaches in flood estimations as follows:
the utilization of statistics on samples of quasi equidistant values (yearly floods),
the assumption of homogeneity within the sample,
the stochastic independencies within time series of floods.
There was a rising demand for design floods which have to be characterized by their probabilities. The
probability of a flood was specified by the exceedance probability of its peak. In 1966 the U.S. Water
Resource Council published the Bulletin 15 A Uniform Technique for Determining Food Flow
Frequencies to specify guidelines for flood statistics (WRC (1966)). These guidelines were revised in 1978
and resulted in the Bulletin 17 Guidelines for Determining Flood Flow Frequencies (WRC (1978)). In this
guideline the Pearson III distribution with log-transformation of yearly flood data was specified as the basic
distribution of annual flood series. It was recommended to use the method of moments to estimate the
parameters of the distribution function. By application of this and other national guidelines the flood
statistical problems seems to be resolved. In Germany e.g. seven distribution functions, three methods for
parameter estimations and three methods to estimate the goodness-offit were recommended in the year
1999 (DVWK (1999)). However a change of paradigms from safety to risk oriented design demanded new
statistical information. It became obvious that statistical methods which were applied to specify the return
periods of flood peaks only were not sufficient for many practical applications.
One limitation of flood statistics is the dimensionality of the results. Nowadays floods are characterised
mainly by the return period of the peak but for reservoir planning it is not sufficient to know the maximum
discharge of a flood. Performance and failures of flood control structures depend on several coinciding
random variables such as flood peak, discharge volume, shape of hydrographs and duration of water levels
above thresholds. Hence univariate frequency analysis may lead to an over- or underestimation of the risk
associated with a given flood (see e.g. Salvadori and De Michele, 2004). The need for such an statistical tool
becomes evident if we consider several multivariate distributions which were applied before became
available for multivariate frequency analysis. In earlier work, Hiemstra et al. (1976) derived the bivariate
lognormal probability distribution for bivariate frequency analysis. More recently bivariate distributions such
as the bivariate exponential distribution (Singh and Singh, 1991), the bivariate normal distribution
((Bergmann and Sackl, 1989); Goel et al. (1998); Yue (1999)), the bivariate gamma distribution (Yue
(2001); Yue et al. (2001)) and the bivariate extreme value distribution (Shiau (2003); Yue et al. (1999)) have
been applied to bivariate frequency analysis (e.g. for the correlated variables flood peak and flood volume or
flood volume and flood duration). The application of these multivariate distributions to model the
dependence between the correlated random variables had a number of drawbacks. First of all, the marginal
distributions should come from the same family of distributions or the random variables have to be
transformed (e.g. normalized in the case of the bivariate normal distribution). This may not necessarily be
fulfilled by the dependent variables characterizing a given process. Furthermore, most of the available
distributions are limited to the bivariate case and an extension to the multivariate case is not easily derived.
In addition, the dependence between the random variables of these distributions is generally determined by
the Pearsons coefficient of linear correlation. However, in reality the dependence structure of the flood
variables may differ from the Gaussian case.
These problems could be avoided by employing copulas to model the dependence between correlated
random variables. A joint distribution of correlated random variables can be expressed as a function of the
univariate marginal distributions using a copula. Copulas enable one to model the dependence structure
independently from the marginal distributions. A large number of different copulas are available to describe
Gumbel Distribution, ARMA, Copulas The importance of stochastic tools for water management

3rd STAHY International Workshop on STATISTICAL METHODS FOR HYDROLOGY AND WATER RESOURCES MANAGEMENT
October 1-2, 2012 Tunis, Tunisia

this dependence. Salvadori and De Michele (Salvadori and De Michele, 2004) provide a general theoretical
framework for exploiting copulas to study the return periods of hydrological events. In several works copulas
have been used for the bivariate analysis of the properties of flood events ((Karmakar and Simonovic, 2008);
(Karmakar and Simonovic 2009); Shiau et al. (2006); (Zhang and Singh, 2006)), for the bivariate frequency
analysis of the properties of precipitation ((De Michele and Salvadori, 2003); (Zhang and Singh, 2007)) and
for the analysis of drought (Shiau, (2006)). In De Michele et al. (2005) the dependence between peak and
volume is described using the concept of copulas for spillway design of a reservoir. Trivariate analysis of the
dependence of random variables using copulas has been applied for the trivariate flood frequency analysis of
flood peak, volume and event duration (Grimaldi and Serinaldi, 2006). Copulas opened the door for
multivariate statistical analyses. In the following examples for the application of these tools in systemic flood
management are given.

2.2

## One example for the application of Copulas in flood design

A river basin is a system with many different components. Tributaries and their watersheds interact with
spatial and temporal heterogeneous precipitation events; man-made structures for flood storage and flood
protection modify the hydrological conditions in a planned and (in the case of failures) unplanned way. Often
flood risk assessments for river basins were based on well-defined design floods. In many cases flood events
that happened in the past were used for this purpose. It is assumed that components interact in a defined way
and that the risk of a failure can be defined by the probability of the flood peak. However for a large system,
the complexity of flood events that has to be considered is much higher than for a single reservoir. There are
many degrees of freedom for hydrological loads and many interactions of these loads with hydraulic
structures which should be considered. Measured time series cannot represent these interactions as the
number of possible cases exceeds the number of observed cases. The entity of possibilities will never be
observed in the past. One option to extend this limited information consists in simulation runs of complex
deterministic models driven by stochastic generated input data. The deterministic component is necessary to
consider the impacts of water management; the stochastic component is essential to incorporate the
randomness of their performance (Figure 1).

## Figure 1 - Scheme of stochastic-deterministic flood design

To give an example (to avoid discussions with the awarding authority this case study was anonymized):
Two tributaries are forming a river which is flooding temporary a town. Within one watershed a flood
reservoir is planned to reduce the flood peaks downstream. The question arises how this measure would
change the flood risk of this town. In a safety based approach a design flood has to be specified for the
tributary where the reservoir is planned. The reduction of it according to the planned peak-reducing effect of
this reservoir has to be estimated. In the second step the design flood in the main river would be reduced in
the same way using the reduced design flood of this tributary. In the risk based approach the variety of floods
is considered which results from temporal and spatial uneven distributed precipitation. The impact of the
planned reservoir under unfavourable conditions (e.g. caused by uneven distributed precipitation with high
amounts of rainfall in the watershed without flood storage reservoir or unfavourable shapes of the inflowing
hydrographs of the flood reservoir) has to be taken into account. By application of a stochastic rainfall field

Gumbel Distribution, ARMA, Copulas The importance of stochastic tools for water management

3rd STAHY International Workshop on STATISTICAL METHODS FOR HYDROLOGY AND WATER RESOURCES MANAGEMENT
October 1-2, 2012 Tunis, Tunisia

## Flood Peaks Watershed H m /s

generator (here the generator RainSim (Burton et al. (2008)) was applied) a large number of extreme rainfall
events was generated. These events were used as the input in a distributed hydrological model where the
flood reservoir was integrated. The analysis of the results with copulas, describing the coincidences of the
flood peaks of both tributaries gave an excellent overview about the change of flood risk by the reservoir.
The copulas with and without reservoirs are shown in Figure 2. The impact of the reservoir in watershed H
results in a modification of the joint distribution of flood peaks. If we assume e.g. that critical conditions in
the river reach downstream of the confluence occur if the sum of both peaks would exceed 100 m3/s, the
return periods of critical combinations could be estimated. Using the corresponding joint return period of
cases where peak discharges from both watersheds exceed critical values (logical AND) we can estimate
the total risk of exceedance of this threshold. In our example the return period of the combination of the
flood peaks 40 m3/s (watershed H) and 60 m3/s (watershed A) shifts from 60 to 100 years if in watershed H
a flood reservoir would be built. The combination 50/50 m3/s would change in their return period from 100
to 170 years, but for the combination 60/40 the return period (100 yrs.) would not be changed. In this
combination the capacity of the flood reservoir would be exhausted. This example demonstrates to options
we gain by multivariate analysis but also the challenges we are faced with to interpret and explain the results
to decision makers. More complex flood studies based on multivariate statistical analyses are documented in
(Klein et al. (2011)).

## Figure 2 - Differences between copulas before and after a reservoir

was modifying the flood peaks shown at the ordinate

It should be considered that the utilisation of simulated data may limit the statistical representativeness of
such studies. Simulated data are affected by several biases caused by the simulation model and the stochastic
generation of inputs. To handle such uncertainties which result from insufficient statistical information or
missing data we can alleviate the difficulties of precise probabilities and use imprecise ones (Klir (1999)).
There are several options to express the imprecision of probabilities, e.g. by Random Sets or by Fuzzy Sets
(Schumann and Nijssen, 2011).
As demonstrated in this example, multivariate statistics is not another trendy tool of statistical hydrology. It
enables us to fulfill the shift in paradigms from safety oriented flood design to risk-based analyses.
Unfortunately this shift contradicts the statement of flood safety which can never be reached in the real
world. The unresolved question consists in the communication of these new approach rather complex
approaches into the practice. Here we are challenged to demonstrate their practical applicability. How
difficult the application of such tools can be will be demonstrated with the next example, dedicated to
probabilistic tools in reservoir management.

3
3.1

## PROBABILISTIC TOOLS IN RESERVOIR MANAGEMENT

Stochastic Water Management

During the phase of industrialization the demand for water increased significantly. Starting with the end of
the 19th century many reservoirs were built in Europe to bridge the gap between limited local water
resources and increasing industrial and domestic water demand concentrated in urban agglomerations. There
was a steep growing demand for methods to estimate the storage capacity of reservoirs to ensure a steady
supply. The storage capacities of reservoirs were designed to meet the target in the driest year (a similar
Gumbel Distribution, ARMA, Copulas The importance of stochastic tools for water management

3rd STAHY International Workshop on STATISTICAL METHODS FOR HYDROLOGY AND WATER RESOURCES MANAGEMENT
October 1-2, 2012 Tunis, Tunisia

approach for flood design was use of the highest known flood peak). In 1883 Rippl introduced his mass
curve. It was a milestone in reservoir planning as he considered a time series instead of critical yearly
inflows. Stochastic aspects were explicitly considered by Hazen in 1914 who introduced the storage-yieldreliability (S-Y-R) relationship. He initiated the concept of stochastic simulation of streamflow series
combining standardized segments of flood records of different rivers. With the term reliability the failure
probabilities were considered explicitly. There were several developments to specify these probabilities from
the distribution functions of inflows ((Kritskiy and Menkel, 1940), Savarenskiy (1940), both cited by Klemes
(1987)). In 1954 Moran published his probability theory of dams and storage systems, another milestone of
reservoir theory. A more detailed overview about the development of storage reservoir theory is given by
Klemes (1987).
With the increase in computer power, sequential numerical computations of reservoir operation based on
stochastic models of hydrological series became possible in the 1970s. Stochastic time series analysis
resulted in a new branch of hydrology in synthetic hydrology. In 1962 the first model that appeared in the
hydrology literature for the generation of synthetic monthly flow sequences was published by Thomas &
Fiering (Thomas and Fiering, 1962). A large variety of models followed. Salas et al. (1980) summarized the
inventory of AR-, ARMA- and ARIMA- models. With regard to water resources systems, multivariate
models of hydrologic time series were developed (Fiering (1964), Matalas (1967), OConnell (1977)).
Fractionally differenced ARIMA models were developed to consider and combine short and long memories
(Montanari et al. (1997)). These models reached the limits of practicability as time series are often too short
to specify the inherent stochastic processes significantly. From the practical point of view Klemes et al.
(1981) argued that the differences in reliability resulting from the consideration of long-memories are small
compared to the accuracy of estimating the reliability of water management systems itself. High uncertainties
are caused by the limited length of available streamflow records but also by economically relevant lengths of
reservoir operation periods. This statement is supported by our lack of guidelines to specify and (even more
important) to handle reliabilities in practical water management. Nevertheless sequential long-term
simulations of complex water systems and the statistical analyses of the results specified e.g. by criteria as
reliability, resiliency and vulnerability (Hashimoto et al. (1982)) became state of the art in water
management. Such simulations are nowadays mainly used as components of trial and error processes where
the technical parameters and operation rules are modified according to the outcomes of simulations.
The increase of computer power led to optimization techniques to solve reservoir operation problems with
the assumption of known inflow sequences. Howard (1960) considered stochastic characteristics in Dynamic
Programming (DP). A large variety of stochastic generated inflow sequences were used for DP by Young
(1967) for optimization of reservoir operation. Additional to this so-called Implicit Stochastic DP (SDP)
Loucks et al. (1981) incorporated a Markov chain of 1st order as a probabilistic inflow model into the
optimization based on DP as an explicit form of SDP. A promising approach to bridge the gap between
simulation and optimization are parameterization- simulation- optimization (PSO) methods. Operation rules
are parameterized and simulations are used to provide performance indices which can be used for
optimization of these parameters with heuristic methods. (Koutsoyiannis and Economou, 2003). An
evaluation of stochastic reservoir operation optimization models is given by Celeste and Billib (Celeste and
Billib, 2009).

## THE CHALLENGE: STATIONARITY OR NON-STATIONARITY ?

The detection of long-term memory in hydrological time series dates back to the study of Hurst which had
the aim to estimate the long-term storage capacity of reservoirs at the example of the Nile River (Hurst
1951). The Hurst coefficient became a widespread characteristic of all kinds of time series. It demonstrates
the problem to detect the long-term characteristics of hydroclimatic processes. We are aware that earths
climate continually changes at all temporal and spatial scales. The main problem to consider these changes in
water management planning consists in the complexity, scale and long-term persistence of climatic systems,
combined with the absence of observational records. Stationarity and nonstationarity are essentially
indistinguishable (except in those cases where changes in the underlying processes are so dramatic that no
statistical assessment is necessary (Lins and Cohn, 2011). The differences between stationarity and
nonstationarity were specified by Koutsoyiannis (2011). He pointed out that in nonstationary processes the
change is described by a deterministic function. In this way nonstationarity reduces uncertainty because it
explains a part of variability. However the detection of nonstationarity (e.g. caused by a trend) within time
series of moderate length which includes a long-term persistence is nearly impossible (Matalas (1990),
Gumbel Distribution, ARMA, Copulas The importance of stochastic tools for water management

3rd STAHY International Workshop on STATISTICAL METHODS FOR HYDROLOGY AND WATER RESOURCES MANAGEMENT
October 1-2, 2012 Tunis, Tunisia

Koutsoyiannis (2003)). The potential for nonstationarity highlights the need for long time series, new
methodological tools to analyze these series and well trained experts to handle these tools (Hirsch (2011)).
The detection of deterministic changes of hydrological data and the consideration of these changes is
difficult if we are not able to separate them from the noise of natural variability. Especially possible changes
of extremes which are the most interesting hydrological aspect for water management are very uncertain
(Blschl and Montanari, 2010). There are several options to handle this uncertainty. A classical approach of
engineering consists in adding a safety margin to the results. The Federal State of Bavaria in Germany adds
e.g. a constant value of 15 percent to all design flood peaks with return periods of 100 years to consider
possible impacts of climate change (Altmayer et al. (2012)). Another option which would be consistent with
the risk based approach mentioned above would be the specification of most critical scenarios which had to
be avoided and to be prepared for them. Unfortunately water management is mostly based on back reacting
instead of anticipating crises.

CONCLUSIONS

Stochastic methods are substantial components of water management. These tools became very popular with
the development of computer power. Flood statistics and stochastic models became substantial components
of planning. New methods and tools which could change our design practice become available now. The
shift from safety to risk based flood design is an example, how new tools which are available in good time
could be widely incorporated into practical applications. Copulas offer an excellent base for a systemic flood
risk assessment. The stochastic models we use for management planning are another example how stochastic
(or synthetic) hydrology was widely accepted by water managers. However there is one significant problem
of all these approaches: our limitations to specify the future from the past. In the foreseeable time, water
infrastructures will be designed on the basis of estimates of extremes that depend on the past knowledge. In
most countries the hydrological extremes are still within the norms of climatic fluctuations witnessed in the
past. The problem is aggravated as these fluctuations may are higher than we expect them from our limited
time slice of observations. Stochastic tools are misused if we apply them biased by the proposition to detect
changes which were specified before by deterministic models. If the results would depend on the starting and
ending points of our time series we should to communicate this. In this sense statistics in hydrology should
become a part of the solution but avoid the risk to become a part of the problem. Such a risk exists if we
would neglect the need to specify again and again the foundation of our work: data which has to be provided
to get a deeper knowledge of processes. In this sense the statement of Hirsch (2011) We need to redouble
our efforts to observe the hydrologic system, describe what we see, and apply what we see could be a
guideline for future activities in the field of statistics in hydrology.

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Gumbel Distribution, ARMA, Copulas The importance of stochastic tools for water management

3rd STAHY International Workshop on STATISTICAL METHODS FOR HYDROLOGY AND WATER RESOURCES MANAGEMENT
October 1-2, 2012 Tunis, Tunisia

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