Confidence curves for change points in hydrometeorological time series

JOURNAL OF HYDROLOGY

卷:590

Article

Zhou, Changrang¹  van Nooijen, Ronald¹  Kolechkina, Alla²  van de Giesen, Nick¹ 

[1] Delft Univ Technol, Fac Civil Engn & Geosci, Water Management Dept, Delft, Netherlands

[2] Delft Univ Technol, Fac Mech Maritime & Mat Engn, Delft Ctr Syst & Control, Delft, Netherlands

关键词: Approximate empirical likelihood ratio;    Parametric likelihood ratio;    Confidence curves;    Confidence sets;    Similarity index;    Change point detection;   

DOI  :  10.1016/j.jhydrol.2020.125503

来源: Elsevier

【 摘 要 】

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: Frechet 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.

【 授权许可】

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