Confidence curves for change points in hydrometeorological time series

Confidence curves for change points in hydrometeorological time series

Zhou, C. (TU Delft Water Resources)
van Nooijen, R.R.P. (TU Delft Water Resources)
Kolechkina, A.G. (TU Delft Team Bart De Schutter)
van de Giesen, N.C. (TU Delft Water Resources)

2020

In this paper, a method based on Approximate Empirical likelihood ratio and a Deviance function combined with bootstrapping (AED-BP) is proposed to construct a confidence curve for the location of a change point. The method is compared with a method based on parametric Profile Likelihood and a Deviance function combined with Monte Carlo simulation (PLD-MC). A confidence curve provides a representation of the uncertainty in the outcome of the change point analysis. To evaluate the practical usability of confidence curves constructed by AED-BP, its properties were examined and its performance was compared to that of PLD-MC. The methods were applied to both synthetic and real data. Synthetic data were generated from three parametric distributions: Fréchet with a constant shape parameter, log-normal, and gamma distributions. The real data are the hydrometeorological data analysed in other studies. The change points found in the original publications are used as a reference in this present paper. The results show that AED-BP has a performance that is similar to PLD-MC, but has an advantage in that it is not necessary to select a distribution family for the data. The AED-BP results on the Annual Maximum Runoff series for the stations Yichang and Hankou along the Yangtze river are among the first that show a possible effect of the presence of the Three Gorges dam.

Approximate empirical likelihood ratio
Change point detection
Confidence curves
Confidence sets
Parametric likelihood ratio
Similarity index

http://resolver.tudelft.nl/uuid:7921f0a0-a664-4104-9728-4e88b2975b77

https://doi.org/10.1016/j.jhydrol.2020.125503

2021-03-11

0022-1694

Journal of Hydrology, 590, 1-19

Green Open Access added to TU Delft Institutional Repository ‘You share, we take care!’ – Taverne project https://www.openaccess.nl/en/you-share-we-take-care Otherwise as indicated in the copyright section: the publisher is the copyright holder of this work and the author uses the Dutch legislation to make this work public.

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journal article

© 2020 C. Zhou, R.R.P. van Nooijen, A.G. Kolechkina, N.C. van de Giesen