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
1
Magnitude ∝
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

2
 Return Period
„ Random variable: X
„ Threshold level: xT

„ Extreme event occurs if: X ≥ xT

„ Recurrence interval: τ = Time between ocurrences of X ≥ x
T

„ Return Period: E (τ )
Average recurrence interval between events equalling or
exceeding a threshold
„ If p is the probability of occurrence of an extreme
event, then E (τ ) = T = 1
p

or P ( X ≥ xT ) =
1
T
3
 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)
N
⎛ 1⎞
P ( X ≥ xT at least once in N years) = 1 − (1 − p ) = 1 − ⎜1 − ⎟
N

⎝ T⎠

4
 Return period example
„ Dataset – annual maximum discharge for 106
years on Colorado River near Austin
xT = 200,000 cfs
600

500
No. of occurrences = 3
Annual Max Flow (10 3 cfs)

400 2 recurrence intervals

in 106 years
300
T = 106/2 = 53 years
200

100

0
If xT = 100, 000 cfs
1905 1908 1918 1927 1938 1948 1958 1968 1978 1988 1998

Year
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

5
 Data series
600

500
Annual Max Flow (10 3 cfs)

400

300

200

100

0
1905 1908 1918 1927 1938 1948 1958 1968 1978 1988 1998

Year

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? 6
 Hydrologic data
series
„ Complete duration series
„ All the data available
„ Partial duration series
„ Magnitude greater than base value
„ Annual exceedance series
„ Partial duration series with # of values
= # years
„ Extreme value series
„ Includes largest or smallest values in
equal intervals
„ 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
„ Generalized extreme value family
„ EV1 (Gumbel), GEV, and EVIII (Weibull)
„ Exponential/Pearson type family
„ Exponential, Pearson type III, Log-Pearson type
III

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 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
2
1⎛ x−μ ⎞
1 − ⎜ ⎟
2⎝ σ ⎠
f X ( x) = e
σ 2π
μ is the mean and σ 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 (μ) = 0 and standard
deviation (σ) = 1
„ Normal distribution is transformed to standard
normal distribution by using the following
formula:
X −μ
z=
σ
z is called the standard normal variable
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 Lognormal distribution
„ If the pdf of X is skewed, it’s not
normally distributed
„ If the pdf of Y = log (X) is
normally distributed, then X is
said to be lognormally distributed.

1 ⎛ ( y − μ y )2 ⎞
f ( x) = exp⎜ − ⎟ x > 0, and y = log x
xσ 2π ⎜ 2σ y ⎟⎠
2
⎝

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 ⎡ x−u ⎛ x − u ⎞⎤
f ( x) = exp ⎢− − exp⎜ − ⎟⎥
α ⎣ α ⎝ α ⎠⎦
6sx
α= u = x − 0.5772α
π

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 ⎞
k −1
⎡ ⎛ x ⎞k ⎤
f ( x ) = ⎜ ⎟⎜ ⎟ exp ⎢ − ⎜ ⎟ ⎥ x > 0; α , k > 0
⎝ α ⎠⎝ α ⎠ ⎢⎣ ⎝ α ⎠ ⎥⎦

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

1
f ( x ) = λe − λx
x ≥ 0; λ =
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
(β) in a Poisson process is described
by the gamma distribution
„ Gamma distribution – a distribution
of sum of β independent and identical
exponentially distributed random
variables.

λβ x β −1e − λx
f ( x) = x ≥ 0; Γ = gamma function
Γ( β )
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 (ε)
λβ ( x − ε ) β −1 e − λ ( x −ε )
f ( x) = x ≥ ε ; Γ = gamma function
Γ( β )

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
λβ ( y − ε ) β −1 e − λ ( y −ε )
f ( x) = y = log x ≥ ε
Γ( β )

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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

⎡ x−u ⎛ x − u ⎞⎤ ⎡
f ( x) =
1
exp ⎢− − exp⎜ − ⎟⎥ ⎛ x − u ⎞⎤ EV1 pdf and cdf
α ⎣ α ⎝ α ⎠⎦ F ( x) = exp ⎢− exp⎜ − ⎟⎥
6sx ⎣ ⎝ α ⎠⎦
α= u = x − 0.5772α
π

x −u
Define a reduced variable y y=
α

F ( x) = exp[− exp(− y )]
y = − ln[− ln(F ( x) )] = − ln[− ln(1 − p)] where p = P(x ≥ xT )
⎡ ⎛ 1 ⎞⎤
yT = − ln ⎢− ln⎜1 − ⎟⎥
⎣ ⎝ T ⎠⎦
If you know T, you can find yT, and once yT is know, xT can be computed by

xT = u + αyT 19
 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 u = x − 0.5772α = 0.649 − 0.5772 * 0.138 = 0.569
α= = = 0.138
π π
⎡ ⎛ T ⎞⎤ ⎡ ⎛ 5 ⎞⎤
y5 = − ln ⎢ln⎜ ⎟⎥ = − ln ⎢ln⎜ ⎟ ⎥ = 1. 5
⎣ ⎝ T − 1 ⎠⎦ ⎣ ⎝ 5 − 1 ⎠⎦
x5 = u + αy5 = 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?
„ Chow proposed using: xT = x + KT s

xT = Estimated event magnitude fX(x)

„ where KT = Frequency factor

x
KT s

T = Return period P( X ≥ xT ) =
1
T
x = Sample mean
s = Sample standard deviation xT x

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 Normal Distribution
2
1 ⎛ x−μ ⎞
„ Normal distribution 1 − ⎜ ⎟
2⎝ σ ⎠
f X ( x) = e
σ 2π
xT − x
KT = = zT
s
„ 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

1
T = 50; p = = 0.02; K 50 = z50 = 2.054 Look in Table 11.2.1 or use –NORMSINV (.)
in EXCEL or see page 390 in the text book
50
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EV-I (Gumbel) Distribution
⎡ ⎛ x − u ⎞⎤ ⎡ ⎛ T ⎞⎤
F ( x) = exp ⎢− exp⎜ − ⎟⎥ α=
6s
u = x − 0.5772α yT = − ln ⎢ln⎜ ⎟⎥
⎣ ⎝ α ⎠⎦ π ⎣ ⎝ T − 1 ⎠⎦

xT = u + αyT
6 6 ⎧ ⎡ ⎛ T ⎞⎤ ⎫
= x − 0.5772 s+ s ⎨− ln ⎢ln⎜ ⎟ ⎬
π π ⎩ ⎣ ⎝ T − 1 ⎠⎥⎦ ⎭
6⎧ ⎡ ⎛ T ⎞⎤ ⎫
=x− ⎨0.5772 + ln ⎢ln⎜ ⎟⎥ ⎬s
π ⎩ ⎣ ⎝ T − 1 ⎠⎦ ⎭

xT = x + K T s

6⎧ ⎡ ⎛ T ⎞⎤ ⎫
KT = − ⎨0.5772 + ln ⎢ln⎜ ⎟⎥ ⎬
π ⎩ ⎣ ⎝ 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⎜ ⎟⎥ ⎬
π ⎩ ⎣ ⎝ T − 1 ⎠⎦ ⎭

6⎧ ⎡ ⎛ 5 ⎞⎤ ⎫
KT = − ⎨0 .5772 + ln ⎢ ln⎜ ⎟⎥ ⎬ = 0.719
π ⎩ ⎣ ⎝ 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. Rank the data from largest (m = 1) to smallest (m = n)
2. Assign plotting position to the data
1. Plotting position – an estimate of exccedance probability
2. Use p = (m-3/8)/(n + 0.15)
3. Find the standard normal variable z corresponding to the
plotting position (use -NORMSINV (.) in Excel)
4. 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
Data
Q (1000 cfs)
400 Normal

300
200

100

0
-3 -2 -1 0 1 2 3
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. Sort the data from largest to smallest
2. Assign plotting position using Gringorten formula
pi = (m – 0.44)/(n + 0.12)
3. Calculate reduced variate yi = -ln(-ln(1-pi))
4. 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
Q (1000 cfs) 400 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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