Confidence curves for change points in hydrometeorological time series

Journal article (2020)

Authors

C. Zhou Water Resources - CEG
R.R.P. van Nooijen Water Resources - CEG
A.G. Kolechkina Team Bart De Schutter - Mechanical, Maritime and Materials Engineering
N.C. van de Giesen Water Resources - CEG
Research Group
Water Resources (CEG) (TU Delft)
Copyright: © 2020 C. Zhou, R.R.P. van Nooijen, A.G. Kolechkina, N.C. van de Giesen
DOI
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https://doi.org/10.1016/j.jhydrol.2020.125503
Confidence curves Confidence sets Approximate empirical likelihood ratio Change point detection Parametric likelihood ratio Similarity index
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Published Date

2020

Language

English

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Faculty

Civil Engineering & Geosciences

Department

Water Management

Research Group

Water Resources

Abstract

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.