04/11/2006

Frequency Analysis
Reading: Applied Hydrology Chapter 12
Slides Prepared byVenkatesh Merwade

Hydrologic extremes

Extreme events

Floods Droughts

Magnitude of extreme events is related to their frequency of occurrence

Magnitude 1 Frequency of occurence

The objective of frequency analysis is to relate the magnitude of events to their frequency of occurrence through probability distribution It is assumed the events (data) are independent and come from identical distribution
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Return Period

Random variable: X xT Threshold level: Extreme event occurs if: X xT Recurrence interval: = Time between ocurrences of X x Return Period: E ( )

Average recurrence interval between events equalling or exceeding a threshold

If p is the probability of occurrence of an extreme event, then E ( ) = T = 1

p

or

1 P ( X xT ) = T
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More on return period

If p is probability of success, then (1-p) is the probability of failure Find probability that (X xT) at least once in N years.

p = P ( X xT ) P ( X < xT ) = (1 p ) P ( X xT at least once in N years) = 1 P ( X < xT all N years) 1 N P ( X xT at least once in N years) = 1 (1 p ) = 1 1 T
N

Return period example

Dataset annual maximum discharge for 106 years on Colorado River near Austin
xT = 200,000 cfs No. of occurrences = 3 2 recurrence intervals in 106 years T = 106/2 = 53 years If xT = 100, 000 cfs
1908 1918 1927 1938 1948 Year 1958 1968 1978 1988 1998

600 500 400 300 200 100 0 1905

Annual Max Flow (10 3 cfs)

7 recurrence intervals T = 106/7 = 15.2 yrs

P( X 100,000 cfs at least once in the next 5 years) = 1- (1-1/15.2)5 = 0.29

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Data series
600 500 400 300 200 100 0 1905 Annual Max Flow (10 3 cfs)

1908

1918

1927

1938

1948 Year

1958

1968

1978

1988

1998

Considering annual maximum series, T for 200,000 cfs = 53 years. The annual maximum flow for 1935 is 481 cfs. The annual maximum data series probably excluded some flows that are greater than 200 cfs and less than 481 cfs Will the T change if we consider monthly maximum series or weekly maximum series?
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Hydrologic data series

Complete duration series

All the data available Magnitude greater than base value Partial duration series with # of values = # years Includes largest or smallest values in equal intervals

Partial duration series

Annual exceedance series

Extreme value series

Annual series: interval = 1 year Annual maximum series: largest values Annual minimum series : smallest values
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Probability distributions

Normal family

Normal, lognormal, lognormal-III EV1 (Gumbel), GEV, and EVIII (Weibull) Exponential, Pearson type III, Log-Pearson type III

Generalized extreme value family

Exponential/Pearson type family

Normal distribution

Central limit theorem if X is the sum of n independent

and identically distributed random variables with finite variance, then with increasing n the distribution of X becomes normal regardless of the distribution of random variables pdf for normal distribution

1 f X ( x) = e 2

1 x 2

is the mean and is the standard deviation

Hydrologic variables such as annual precipitation, annual average streamflow, or annual average pollutant loadings follow normal distribution
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Standard Normal distribution

A standard normal distribution is a normal distribution with mean () = 0 and standard deviation () = 1 Normal distribution is transformed to standard normal distribution by using the following formula:
z= X

z is called the standard normal variable

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Lognormal distribution

If the pdf of X is skewed, its not normally distributed If the pdf of Y = log (X) is normally distributed, then X is said to be lognormally distributed.
( y y )2 f ( x) = exp 2 2 y x 2 1 x > 0, and y = log x

Hydraulic conductivity, distribution of raindrop sizes in storm follow lognormal distribution.

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Extreme value (EV) distributions

Extreme values maximum or minimum values of sets of data Annual maximum discharge, annual minimum discharge When the number of selected extreme values is large, the distribution converges to one of the three forms of EV distributions called Type I, II and III
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EV type I distribution

If M1, M2, Mn be a set of daily rainfall or streamflow, and let X = max(Mi) be the maximum for the year. If Mi are independent and identically distributed, then for large n, X has an extreme value type I or Gumbel distribution.
1

xu x u f ( x) = exp exp

6sx

u = x 0.5772

Distribution of annual maximum streamflow follows an EV1 distribution

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EV type III distribution

If Wi are the minimum streamflows in different days of the year, let X = min(Wi) be the smallest. X can be described by the EV type III or Weibull distribution.
k x f ( x ) =
k 1

x k exp

x > 0; , k > 0

Distribution of low flows (eg. 7-day min flow) follows EV3 distribution.

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Exponential distribution

Poisson process a stochastic process in which the number of events occurring in two disjoint subintervals are independent random variables. In hydrology, the interarrival time (time between stochastic hydrologic events) is described by exponential distribution

f ( x ) = e

1 x 0; = x

Interarrival times of polluted runoffs, rainfall intensities, etc are described by exponential distribution.
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Gamma Distribution

The time taken for a number of events () in a Poisson process is described by the gamma distribution Gamma distribution a distribution of sum of independent and identical exponentially distributed random variables.

x 1e x f ( x) = x 0; = gamma function ( ) Skewed distributions (eg. hydraulic conductivity) can be represented using gamma without log transformation.
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Pearson Type III

Named after the statistician Pearson, it is also called three-parameter gamma distribution. A lower bound is introduced through the third parameter ()
( x ) 1 e ( x ) f ( x) = ( )
x ; = gamma function

It is also a skewed distribution first applied in hydrology for describing the pdf of annual maximum flows.
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Log-Pearson Type III

If log X follows a Person Type III distribution, then X is said to have a log-Pearson Type III distribution
( y ) 1 e ( y ) f ( x) = ( )
y = log x

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Frequency analysis for extreme events

Q. Find a flow (or any other event) that has a return period of T years
f ( x) = xu x u exp exp 1 u = x 0.5772

6sx

x u F ( x) = exp exp

EV1 pdf and cdf

Define a reduced variable y

y=

x u

F ( x) = exp[ exp( y )] y = ln[ ln(F ( x) )] = ln[ ln(1 p)] where p = P(x xT ) 1 yT = ln ln1 T
If you know T, you can find yT, and once yT is know, xT can be computed by

xT = u + yT

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Example 12.2.1

Given annual maxima for 10-minute storms Find 5- & 50-year return period 10-minute storms
x = 0.649 in s = 0.177 in

6s

6 * 0.177

= 0.138

u = x 0.5772 = 0.649 0.5772 * 0.138 = 0.569

T 5 y5 = ln ln = ln ln = 1. 5 T 1 5 1 x5 = u + y5 = 0.569 + 0.138 *1.5 = 0.78 in x50 = 1.11in

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Frequency Factors

Previous example only works if distribution is invertible, many are not. Once a distribution has been selected and its parameters estimated, then how do we use it? xT = x + KT s Chow proposed using: where
xT = Estimated event magnitude KT = Frequency factor T = Return period x = Sample mean s = Sample standard deviation
fX(x)

x
KT s
P( X xT ) = 1 T

xT

x 21

Normal Distribution

Normal distribution

1 f X ( x) = e 2
KT xT x = = zT s

1 x 2

So the frequency factor for the Normal Distribution is the standard normal variate
xT = x + KT s = x + zT s

Example: 50 year return period

T = 50; p = 1 = 0.02; K 50 = z50 = 2.054 50
Look in Table 11.2.1 or use NORMSINV (.) in EXCEL or see page 390 in the text book
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EV-I (Gumbel) Distribution

x u F ( x) = exp exp

6s

u = x 0.5772

T yT = ln ln T 1

xT = u + yT = x 0.5772 =x 6

s+

T 6 s ln ln T 1

T 6 s 0.5772 + ln ln T 1

xT = x + K T s
KT = 6 T 0.5772 + ln ln T 1

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Example 12.3.2

Given annual maximum rainfall, calculate 5-yr storm using frequency factor
6 T KT = 0.5772 + ln ln T 1
KT = 5 6 0 . 5772 + ln ln = 0.719 5 1

xT = x + K T s = 0.649 + 0.719 0.177 = 0.78 in

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Probability plots

Probability plot is a graphical tool to assess whether or not the data fits a particular distribution. The data are fitted against a theoretical distribution in such as way that the points should form approximately a straight line (distribution function is linearized) Departures from a straight line indicate departure from the theoretical distribution
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Normal probability plot

Steps
1. 2.

Rank the data from largest (m = 1) to smallest (m = n) Assign plotting position to the data
1. 2.

Plotting position an estimate of exccedance probability Use p = (m-3/8)/(n + 0.15)

3.

4.

Find the standard normal variable z corresponding to the plotting position (use -NORMSINV (.) in Excel) Plot the data against z

If the data falls on a straight line, the data comes from a normal distributionI

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Normal Probability Plot

600 500
Q (1000 cfs)
Data Normal

400 300 200 100 0 -3 -2

-1

Standard normal variable (z)

Annual maximum flows for Colorado River near Austin, TX

The pink line you see on the plot is xT for T = 2, 5, 10, 25, 50, 100, 500 derived using the frequency factor technique for normal distribution.
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EV1 probability plot

Steps
1. 2.

3. 4.

Sort the data from largest to smallest Assign plotting position using Gringorten formula pi = (m 0.44)/(n + 0.12) Calculate reduced variate yi = -ln(-ln(1-pi)) Plot sorted data against yi

If the data falls on a straight line, the data comes from an EV1 distribution

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EV1 probability plot

600 500

Data
400 Q (1000 cfs)

EV1

300

200

100

0 -2 -1 0 1 2 3 4 5 6 7 EV1 reduced variate

Annual maximum flows for Colorado River near Austin, TX

The pink line you see on the plot is xT for T = 2, 5, 10, 25, 50, 100, 500 derived using the frequency factor technique for EV1 distribution.
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