INTERNATIONAL JOURNAL OF CLIMATOLOGY

Int. J. Climatol. 29: 1339–1349 (2009)

Published online 2 December 2008 in Wiley InterScience
(www.interscience.wiley.com) DOI: 10.1002/joc.1760

Non-stationary frequency analysis of extreme daily rainfall

in Sao Paulo, Brazil
Shigetoshi Sugahara,a * Rosmeri Porfı́rio da Rochab and Reinaldo Silveirac
a Instituto de Pesquisas Meteorológicas e Programa de Pós-Graduação da Faculdade de Ciências, UNESP/Bauru, São Paulo, Brazil
b Departamento de Ciências Atmosféricas, Universidade de São Paulo, São Paulo, Brazil
c Instituto Tecnológico SIMEPAR, Centro Politécnico da UFPR, Curitiba, PR, Brazil

ABSTRACT: This work is an assessment of frequency of extreme values (EVs) of daily rainfall in the city of Sao Paulo,
Brazil, over the period 1933–2005, based on the peaks-over-threshold (POT) and Generalized Pareto Distribution (GPD)
approach. Usually, a GPD model is fitted to a sample of POT values selected with a constant threshold. However, in
this work we use time-dependent thresholds, composed of relatively large p quantiles (for example p of 0.97) of daily
rainfall amounts computed from all available data. Samples of POT values were extracted with several values of p. Four
different GPD models (GPD-1, GPD-2, GPD-3, and GDP-4) were fitted to each one of these samples by the maximum
likelihood (ML) method. The shape parameter was assumed constant for the four models, but time-varying covariates were
incorporated into scale parameter of GPD-2, GPD-3, and GPD-4, describing annual cycle in GPD-2, linear trend in GPD-3,
and both annual cycle and linear trend in GPD-4. The GPD-1 with constant scale and shape parameters is the simplest
model. For identification of the best model among the four models we used rescaled Akaike Information Criterion (AIC)
with second-order bias correction. This criterion isolates GPD-3 as the best model, i.e. the one with positive linear trend
in the scale parameter. The slope of this trend is significant compared to the null hypothesis of no trend, for about 98%
confidence level. The non-parametric Mann–Kendall test also showed presence of positive trend in the annual frequency
of excess over high thresholds, with p-value being virtually zero. Therefore, there is strong evidence that high quantiles
of daily rainfall in the city of Sao Paulo have been increasing in magnitude and frequency over time. For example, 0.99
quantiles of daily rainfall amount have increased by about 40 mm between 1933 and 2005. Copyright  2008 Royal
Meteorological Society
KEY WORDS Brazil; extreme daily rainfall; frequency analysis; non-stationarity; peaks-over-threshold; Generalized Pareto
Distribution; Sao Paulo
Received 19 March 2008; Revised 30 July 2008; Accepted 3 August 2008

1. Introduction function of the EV yielding therefore estimates of the

The frequency analysis (FA) of extreme values (EV) of
environmental quantities has been widely used for prob-
lems related to engineering design and risk management
for buildings, bridges, and urban circulation systems.
The information on extreme rainfall events is of obvious
importance to society, especially to populations living in
areas of increasing flood risk, such as Sao Paulo, where
floods account for an important fraction of economic
loss from natural hazards (Carvalho et al., 2002). Sao
Paulo is located in the southeast of South America where
the summer precipitation is largely modulated by South
Atlantic Convergence Zone (Liebmann et al., 1999; Car-
valho et al., 2002), which also accounts for about 35% of
extreme rainfall events over the region (Carvalho et al.,
2002).
The FA of EV, in the framework of parametric theory,
aims to provide complete description of the distribution
* Correspondence to: Shigetoshi Sugahara, Instituto de Pesquisas Mete-
orológicas, UNESP/Bauru, Av. Luis Edmundo Carrijo Coube 14-01,
Bauru, SP, 17033-360 Brazil. E-mail: shige@ipmet.unesp.br
probability of observed and non-observed values (Katz
et al., 2002). Usually, two approaches have been used for
the FA of EV: block maxima and peaks-over-threshold
(POT). The block maxima approach consists of modelling
a sequence of maximum (or minimum) values taken
from blocks or periods of equal length, such as highest
daily rainfall amount over an entire year or season.
The probability distribution of values selected by this
way converges asymptotically to the generalized extreme
value distribution (GEV), under the assumptions that they
are independent and identically distributed (iid). For a
more comprehensive and complete review on this issue
see, for example, Smith (2001). Even though the block
maxima approach is a general method, since the GEV
combines the three only possible models for distribution
of maximum values (Gumbel, Frechet, and Weibull), it
has an important shortcoming in practical applications,
mainly because it uses only one value from each block.
It is well known that a small sample is always a critical
problem in parameter estimation and this has been an
important reason for the increasing use of the POT

Copyright  2008 Royal Meteorological Society

1340 S. SUGAHARA ET AL.
approach. This method is designed to utilize the available
data in a more efficient manner, by selecting from
each block any excesses over a given large threshold,
instead of simply selecting the maximum. The asymptotic
distribution of POT data set, under iid assumption, is the
Generalized Pareto Distribution (GPD).
The main objective of this work is to perform FA of EV
of daily rainfall in Sao Paulo, by using the POT method
and the GPD modelling. Whether the intensity of extreme
daily rainfall has changed over the past 73 years is of
particular interest. Thus, FA of EV in this work is carried
out in the non-stationary context. The statistical method
used in this study is different from the ones used in the
previous studies, which focused on rainfall extremes over
South America through the non-parametric method (e.g.
Marengo, 2004; Alexander et al., 2006; Haylock et al.,
2006; Dufek and Ambrizzi, 2008).
There are at least three reasons for non-stationary
modelling of EV of daily rainfall in Sao Paulo. The
first is that over the past several years the city has
been growing in area and in population, mainly after
1930s, following ever-increasing industrialization. The
city has become one of the most populous and largest
metropolitan areas of the world. This has contributed to
the development of a large urban heat island (Lombardo,
1985), the phenomenon in which temperatures of urban
areas are higher than those of its surrounding rural areas
(e.g. Oke, 1982). Gonçalves et al. (2002) attributed urban
expansion as one of the causes of upward trend in
the monthly averages of daily minimum air temperature
in Sao Paulo. Aside from the effect on temperature,
the urbanization and associated land-use change can
also produce effects on local wind patterns, humidity,
and precipitation (e.g. Childs and Raman, 2005, and
references therein). For discussion on the impact of
urbanization and land-use change on climate, readers are
referred, for example, to Huff and Changnon (1972);
Oke (1982); Carlson and Arthur (2000); Kalnay and
Cai (2003), and He et al. (2007). The second reason for
non-stationary modelling is related to the global climate
change which can also be a potential driver of extreme
hydro-meteorological events (e.g. Trenberth, 1999). A
warming trend in the globally averaged surface air
temperature during last 50 years is now widely admitted
(Houghton et al., 2001), and numerous studies have been
devoted concerning whether extreme events such as
floods, droughts, very high temperatures, and destructive
tropical cyclones are likely to increase in frequency
and intensity in a changing global climate (Wigley,
1988; Katz and Brown, 1992; Kharin and Zwiers, 2000;
Houghton et al., 2001; Jain and Lall, 2001; Strupczewski
et al., 2001a,b; Cunderlik and Burn, 2003; Beniston
and Stephenson, 2004; Cunderlik and Ouarda, 2006;
Garcia et al., 2007; Felici et al., 2007; Laurent and Parey,
2007; Parey et al., 2007). The third reason is related to
results of some previous studies evidencing statistically
significant positive trend in the extreme daily rainfall
time series across different regions of South America
(e.g. Marengo, 2004; Alexander et al., 2006; Haylock
Copyright  2008 Royal Meteorological Society
et al., 2006) including Sao Paulo (Alexander et al.,
2006; Haylock et al., 2006; Liebmann et al., 2004). Non-
stationary features have been also detected in the various
climate extreme indices derived from daily rainfall for a
number of sites across the State of Sao Paulo (Dufek and
Ambrizzi, 2008).
The anthropogenic influences as well as large-scale
natural low-frequency climate modes, which include, for
example, El Niño-Southern Oscillation (e.g. Jain and
Lall, 2001) and Antarctic Oscillation (e.g. Li et al.,
2005), imply potential non-stationarity in the hydro-
meteorological extremes. In such a case, the assumption
of stationarity for observed data becomes questionable,
and often statistical modelling of EV needs to be properly
modified to accommodate, for instance, a time-trend
component, either linear or non-linear (e.g. Strupczewski
et al., 2001a,b; Katz et al., 2002, 2005; Khaliq et al.,
2006; El Adlouni et al., 2007; Nogaj et al., 2007). This
has been an obvious motivation for effort by research
community for the development of various mathematical
frameworks capable of bringing in non-stationary features
into EV probability distributions, as may be seen in
the recent literature (Jain and Lall, 2001; Strupczewski
et al., 2001a,b; Katz et al., 2002, 2005; Cunderlik and
Burn, 2003; Li et al., 2005; Cunderlik and Ouarda,
2006; El Adlouni et al., 2007; Laurent and Parey, 2007;
Parey et al., 2007). Readers are referred to Khaliq et al.
(2006) for a comprehensive review of the various existing
approaches to deal with non-stationary EV.
2. Data and methods for the analysis
2.1. Data
The daily rainfall data set used in this work is from
the meteorological station of the Institute of Astronomy,
Geophysics and Atmospheric Sciences of the Univer-
sity of Sao Paulo (IAG/USP) for the period from 1933
to 2005. The time series plot of this data is shown
in Figure 1. The mean values of total monthly rain-
fall are shown in Figure 2. The station is located at
latitude 23° 39
S and longitude 46° 37
W and has never
Figure 1. Plots for time series of daily rainfall amounts (mm) over the
period from 1933 to 2005 observed at the IAG/USP meteorological
station in Sao Paulo.
Int. J. Climatol. 29: 1339–1349 (2009)
DOI: 10.1002/joc
 FREQUENCY ANALYSIS OF EXTREME DAILY RAINFALL IN SAO PAULO
been changed from its original location. This data set
is one of the longest for studying the climate of Sao
Paulo and fortunately free of missing values, which
is an extremely rare feature for historical data sets in
Brazil. The quality control tests applied to this data set
revealed no erroneous outliers. Further, quality control
test, based on the two-phase linear regression technique
(Wang, 2003, 2008) was applied, particularly for detect-
ing step-like changes that could have been caused by
changes in, for instance, instruments and/or exposure
throughout the whole period of record. Essentially, in
this approach, the classic regression F-statistic is calcu-
lated under the assumption that each point of the time
series, c = {1, 2, . . . , n}, is potentially a change point.
The existence of a change point is concluded when
Fmax = 1≤c≤n
max
Fc is too large to be attributed to chance
variation (Lund and Reeves, 2002; Wang, 2003, 2008).
In this work, two regression equations were designed for
detecting the mean shift without trend change. Further-
more, a recent improvement of the maximum F -test due
to Wang (2008), called penalized maximal F (PMF), was
used, which takes the relative position of each candi-
date change point into account to reduce the undesirable
effect of unequal sample sizes on the power of change
point detection. The result of the PMF test for daily and
monthly rainfall time series of Sao Paulo reveals no dis-
continuity in the mean value at 95% confidence level. The
software package to perform this test is available online
(http://cccma.seos.uvic.ca/ETCCDMI/software.shtml), in
R (R Development Core Team, 2006) and FORTRAN
languages.
2.2. POT approach and GPD model
The POT approach is described as follows (Smith, 2001;
Khaliq et al., 2006): Consider a sequence of M iid ran-
dom variables X1 , X2 , . . . , XM conditioned on X > u,
where u is a given high threshold. It can be demon-
strated that for sufficiently high u, under a wide range of
conditions, the distribution function of the excess values
Y = X − u converges to GPD, given by
 
1 − 1 + γ σ y
F (y, σ, γ ) = P r(X ≤ u + y|X ≥ u) =
 −y
1 − exp σ
Here σ and γ are scale and shape parameters, respec-
tively. The parameter σ characterizes the spread of dis-
tribution and γ the tail features. γ is often termed the
tail index. If γ < 0 the distribution is thin tailed, and if
γ > 0 it is heavy tailed or Pareto. The distribution with
γ = 0 is the limiting case obtained as γ → 0, and it is
light tailed or exponential. The distribution with γ > 0
is particularly important for studying EV. The inverse of
F is the quantile function, F −1 , such that the (1 − p)
Copyright  2008 Royal Meteorological Society
1341
quantile, y1−p , is given by
  σ  −γ
γ (p − 1), γ = 0
y1−p = F −1 (1 − p, σ, γ ) =  
1 , γ =0
σ log p
(2),
where log is the natural logarithm.
In the POT framework, it is assumed that the sequence
of time, say t1 , t2 , . . . , tM , corresponding to occurrences
of extreme events, is a Poisson process with the rate
parameter λ. It is common to express the quantile
function in terms of this parameter and the return period
T as yT = σ [(T λ)γ − 1]/γ (e.g. Khaliq et al., 2006),
where yT is termed the T -year return level, interpreted as
the level exceeded in any one year with probability 1/T ,
or alternatively the level which is exceeded once in T
years. In the later definition, the meaning of ‘once in T
years’ becomes questionable if there is some trend in the
data, as pointed out, for instance, by Smith (2001) and
Khaliq et al. (2006). Furthermore, the expression for yT
is restricted to stationary cases. For non-stationary cases,
Parey et al. (2007) (see also Laurent and Parey, 2007)
proposed recently a new definition for yT and a procedure
for its calculation. They defined yT as being the unique
level such that the expected number of exceedances over
yT in the next T years will be 1. Therefore, the time
variation of the considered distribution function and the
Poisson rate parameter should be taken into account,
properly, in the estimation of yT .
2.3. Parameter estimation
The parameters σ and γ were estimated in this work
using the maximum likelihood (ML) method, which is
summarized as follows. Let x1 , x2 , x3 , . . . , xn be n obser-
vations of a random sequence with probability density
function f (x|θ ), where θ is the vector of parameters of
this function. If one considers that the observations xi
are statistically independent, the joint probability density
function for this sample is the product of the individual
densities, called the likelihood function:

n
L(θ |x) = f (xi |θ ) (3)
i
−1/γ
, σ > 0, 1 + γ (y/σ ) > 0
  (1)
σ > 0, γ = 0
In general, this function is written as

n
logL(θ |x) = logf (xi |θ ) (4)
i=1
The ML estimation is in accordance with the likelihood
principle, which states that, in the process of the inference
of θ , all the relevant information in the observed data is
contained in the likelihood function (e.g. Pindyck and
Int. J. Climatol. 29: 1339–1349 (2009)
DOI: 10.1002/joc
1342 S. SUGAHARA ET AL.
Rubinfeld, 1976). Given the observed data, the goal
of ML estimation method is to find out among all
the probability density functions the one that is most
probably to have produced the given sample. Thus, one
should look for the best estimate of θ , θ̂ , such that
L(θ̂ |x) > L(θ
|x), where θ
represents any other vector
of estimates. In practice, the ML estimates can be found
∂logL(θ |x)
by solving the likelihood equations ∂θi = 0,
∂logL(θ |x)
given that ∂θi < 0, ensuring that L(θ |x) is in
fact the maximum in the vicinity of θ̂i . A great advantage
of this method is that the estimates are consistent and
asymptotically normally distributed. The standard error,
SE(θ̂i ), of each parameter estimate is given by the inverse
of the Hessian matrix, which has second-order partial
derivatives of the likelihood function, with respect to the
parameters of the distribution. Usually, the equations are
solved numerically by using a non-linear optimization
algorithm because in majority of the cases analytical
solutions are not possible. In this work, the Nelder–Mead
algorithm was used (Nelder and Mead, 1965).
In the FA of EV, Smith (2001) and Katz et al. (2002,
2005) suggest the application of the ML method not only
because of its propriety of consistency for estimation
of the distribution parameters but also because of its
flexibility for incorporating non-stationary features into
the distribution parameters (say γ or σ , for instance)
as covariates, such as annual cycle and long-term trend.
Consider a POT series y1 , y2 , . . . , yM , and the dates
on which these peaks have been observed t1 , t2 , . . . , tM .
The annual cycle could be incorporated into the scale
parameter σ assuming that the intensity of exceedances
Figure 2. Plots for time series of the average monthly rainfall (mm)
for Sao Paulo for the period from 1933 to 2005.
Copyright  2008 Royal Meteorological Society
depends on the particular day of the year td , according to
logσi = σ0 + σ1 sin(2π td /365) + σ2 cos(2π td /365),
(5)
where i = 1, 2, . . . , M and td = 1, 2, . . . , 365.
An approximation often used to represent long-term
trend is the linear trend (e.g. Katz et al., 2002), expressed
as:
logσi = σo
+ σ1
ti i = 1, 2, . . . , M (6)
This covariate can be attributed to human influences on
the natural systems or it can also be due to natural vari-
ability of very low frequency, as discussed previously.
Both the annual cycle and long-term trend may be
incorporated simultaneously as
logσi = σ0

+ σ1 sin(2π td /365)
+ σ2 cos(2 π td /365) + σ1
ti , i = 1, 2, . . . , M (7),
where the time indexes td and ti are as defined before.
In Equations (5)–(7), logarithm transform is used to
ensure only positive values for σi . The non-stationary
characteristics can also be incorporated into the γ param-
eter, but it is not a common practice as it is difficult to be
estimated. The use of covariates might be helpful for non-
stationary series, since it provides means for relaxing the
conditions of identically distributed data (Davison and
Smith, 1990; Smith, 2001; Katz et al., 2002), and then
making it possible to analyse the entire series without
splitting it by month as done in Silva and Zocchi (2006),
or by removing nonstationary features before modelling.
2.4. Time-dependent thresholds and problem of their
choice
The choice of an adequate threshold is a crucial step
for FA of EV in the POT method. A number of
procedures for selecting thresholds have been proposed
in the literature, but it does not seem that a general
and objective method to define threshold has emerged
(see Lang et al., 1999; Coles, 2001; Smith, 2001; Katz
et al., 2005 for a discussion on this issue). The key
point for threshold choice is that it has to be sufficiently
large to avoid violation of the asymptotic property of
the GPD, but not too high to trade the benefits of
the ML estimates. This work adopts the strategy of
testing several relatively high thresholds for selecting the
EV of daily rainfall and ascertaining which one may
give simultaneously a good fitting and satisfactory ML
estimates. In addition, the possibility of using a variable
threshold within each year was exploited, taking into
account the notion that the extreme is season dependent,
especially if the local rain regime has a significant annual
cycle, as in Sao Paulo. This idea of using a variable
threshold is given in Katz et al. (2002), though they did
not use it effectively. Hence, in order to obtain a sample
of POT values, time-dependent thresholds composed of
p quantiles, qp (td ), of daily rainfall amounts are used
instead of a fixed threshold within each year. Here qp (td )
Int. J. Climatol. 29: 1339–1349 (2009)
DOI: 10.1002/joc
 FREQUENCY ANALYSIS OF EXTREME DAILY RAINFALL IN SAO PAULO 1343

denotes p quantiles for calendar days td = 1, 2, . . . , 365,

and p = P r(X < qp (td )). The thresholds qp (td ) were
obtained as follows. Firstly, for each month, the monthly
value of p quantiles of daily rainfall amount was obtained
by considering all available data. The resulting monthly
values were then interpolated for each calendar day using
the Loess technique (Cleveland et al., 1992; Hipel and
McLeod, 2005). Following this procedure, a family of 19
qp (td ) was obtained, for p between 0.95 and 0.995, with
an interval of 0.0025. It is worth mentioning that these
thresholds vary daily but not interannualy. To be more
specific, a plot of monthly values of q0.99 (td ) (dashed
line) is shown in Figure 3, together with the interpolated
values for each day of the year (continuous line). One
can note from Figure 3 that a rainfall of about 27 mm in
August is as extreme as 58 mm for January, regarding
the parent probability distribution. Using this procedure,
even with a sequence of very large thresholds, such as
q0.99 (td ), it is possible to obtain a sample with 143 values,
which is almost twice that would be obtained if the annual
maximum procedure was used. The sequence q0.9975 (td ) is
considered as the upper limit since the number of selected
extremes is almost equal to the one that would result
when the annual maximum method is used.
The extremes of daily rainfall amount in Sao Paulo,
selected through the described procedure, show that their Figure 4. Plots for (a) annual frequency of daily rainfall amounts
annual frequency increased over the period 1933–2005, exceeding thresholds and (b) annual maxima of daily rainfall amounts.
which is not obvious by just looking at the plot in The two trend lines in these figures were obtained by Loess interpola-
tion (continuous line) and linear regression fitting (dashed line).
Figure 1, as previously mentioned. This behaviour can
be clearly seen in Figure 4(a), which depicts the series
of annual frequency of peaks exceeding q0.99 (td ) together in the October–March (wet season) maximum and the
with the Loess interpolation curve and linear regres- April–September (dry season) maximum (figures not
sion line with a positive rate of 3 per century over shown), though in the latter the trend is less signifi-
the period from 1933 to 2005. The computed statistic cant. One possible explanation for these trends is that
τ of the non-parametric trend test of Mann–Kendall the city has experienced a huge increase in urbaniza-
for this series is 0.302, which corresponds to a two- tion over the decades. Although global warming is not
side p-value of about 10−4 , and is highly significant the focus of this work, some related discussion is worth-
compared to a null hypothesis with no trend. A statis- while. Figure 4(a) shows that the positive trend in the
tically significant positive trend, with p-value of about annual frequency of daily rainfall extremes was occur-
10−3 , is also observed in the annual maximum of daily ring a few decades before the first clear evidence of
rainfall amount as depicted in Figure 4(b), as well as global warming, in the middle of the 1970s (see, for
example, Fig. 1.5 of Horel and Geisler, 1997). Accord-
ing to the Mann–Kendall τ statistic, for data displayed
in Figure 4(a) there is no significant difference in trend
between the period before and after 1975, for instance.
Moreover, the positive climatic trends since 1930s were
also observed in the time series of total annual precipi-
tation and mean annual temperature (figures not shown),
with p-values (Mann–Kendall τ statistic) of about 10−5
and 10−16 , respectively. Therefore, these trends are more
significant than those detected in Figure 4. Perhaps, the
prevalence of a local anthropogenic effect may be mask-
ing the effect of global climate change. But, no matter
what the cause of this consistent observational evidence,
these locally detected climatic trends indicate the impor-
tance of including non-stationary feature as a covariate in
Figure 3. Plots for time-dependent thresholds of daily rainfall amount
in Sao Paulo for each month (dashed line) and each day (continuous the FA. In the case of daily rainfall amount, Figure 4(b)
line). The daily values were obtained by Loess interpolation of monthly suggests that this feature should be incorporated as a
values. covariate at least in one of the parameters of the GPD

Copyright  2008 Royal Meteorological Society Int. J. Climatol. 29: 1339–1349 (2009)
DOI: 10.1002/joc
1344 S. SUGAHARA ET AL.
model, and a linear approximation seems to be reasonable
for this task.
2.5. Condition of independence and declustering
The practical application of EV theory has the drawback
of relying on the hypothesis that the observations are sta-
tistically independent. However, as several data points are
taken from each year, there may be several clustered val-
ues above threshold that are unlikely statistically indepen-
dent. In the case of daily rainfall in Sao Paulo, a cluster of
EV may have the same origin as the cold front, which can
cause time dependence (or autocorrelation) among EV,
and this phenomenon is not uncommon in Sao Paulo over
the year. In this work, in order to overcome the depen-
dence we adopt the simplest technique (e.g. Khaliq et al.,
2006), which can be described as follows. For a given
threshold qp (td ), a cluster is defined whenever there are
consecutive exceedances of these thresholds. From each
identified cluster, only the cluster maximum is preserved
for subsequent analysis, whereas other values in the same
cluster are set to zero. This filling with zeros aims to pre-
serve the original positions of exceedances. The condition
of independence among exceedances within declustered
series was examined using non-parametric Kendall’s τ
statistic following Claps and Laio (2003). It was found
that declustered series of exceedances, especially those
selected with larger thresholds, support the null hypoth-
esis H0 : τ = 0 with a high confidence level of about
99.9%. It is widely known that dependence disappears as
the thresholds increase (e.g. Claps and Laio, 2003).
2.6. Specification of the GPD models
Considering the seasonality of rainfall (as depicted in
Figure 2) and the evidence of a statistically significant
trend in annual maximum series (Figure 4(b)), the GPD
was specified in four distinct ways, as summarized in the
Table I. For the fitting of such models to the declustered
POT data samples obtained by time-dependent thresh-
olds, qp (td ), the ISMEV R software (Coles, 2001; R
Development Core Team, 2006) was used, which readily
allows the use of a variable threshold as well as covari-
ates. The method of Nelder and Mead (1965) was used
as non-linear optimization for solving the ML equations.
It is important to note that although the GPD-1 model
parameters are not dependent on time, a non-stationary
fitting is implied because of the time variation of the
threshold throughout the year.
2.7. The evaluation of the quality of the model fitting
The quality of fitting for a given model can be checked
through visual inspection of the probability–probability
(PP) plots and quantile–quantile (QQ) plots. To build
these plots, a procedure described by Coles (2001) and
Katz et al. (2002) was used. Consider a GPD model
fitted to a POT series, yi , i = 1, 2, . . . , M, with estimated
parameters σ̂i and γ̂ . As the M exceedances are not
Copyright  2008 Royal Meteorological Society
Table I. The four GPD models and the specification of their
scale parameter σ . The shape parameter γ is constant for the
four models.
Models Scale parameter of the models
GPD-1 σ = constant
GPD-2 σi = σ0 + σ1 sin(2 π td /365) +
σ2 cos(2 π td /365), as in Equation (5)
GPD-3 σi = σ0
+ σ1
ti , as in Equation (6).
GPD-4 σi = σ0

+ σ1 sin(2π td /365) +
σ2 cos(2π td /365) + σ1
ti , as in Equation (7).
identically distributed, they have to be transformed to
residuals, εi (Katz et al., 2002):
1 γ̂
εi = log 1 + yi (8)
γ̂ σ̂i
so that each εi has the same exponential distribution.
Let ε̃i be the ordered values of εi . The PP plot consists
of points:
i
, 1 − exp(−ε̃i ) (9)
(M + 1)
Like PP, QQ plot is given by points:
i
−log 1 − , ε̃i (10)
(M + 1)
2.7.1. The evaluation of the estimates by using the
bootstrap technique
The standard errors (SE) of ML estimates are given
directly from the inverse of the Hessian matrix, but like
the estimated parameters themselves, the SE may not be
reliable for small samples. One way to tackle this problem
and improve the accuracy of SE is through the bootstrap
technique (Efron, 1979). The scheme for using this tech-
nique for EV distribution function is described in detail
by Katz et al. (2002), including for nonstationary cases,
in which the bootstrap samples are manufactured through
Monte Carlo resampling of residuals (Equation (8)) to
attend to the underlying assumption that original sam-
ple consist of iid data. Following this procedure, the
bootstrap procedure was designed for generating 1000
samples from each original sample, considering whole
year as a block. For simplicity, only original POT data
set selected by using qp (td ), for p = 0.95, 0.96, 0.97,
0.98 and 0.99, was considered.
2.7.2. The identification of the best model
The best model among several candidates for the extreme
daily rainfall distribution in Sao Paulo is identified by
means of Akaike Information Criterion, AIC (Akaike,
1974). Actually, in this work we used a small-sample
version of AIC, called AI Cc (Hurvich and Tsai, 1989),
and in its rescaled form, rAI Cc (Burnham and Anderson,
2004). The AI Cc is recommended in practical application
because it outperforms AIC, in a such way that it
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 FREQUENCY ANALYSIS OF EXTREME DAILY RAINFALL IN SAO PAULO 1345

helps avoid overfitting the data more than conventional

AIC (Hurvich and Tsai, 1989). Consider a candidate
model with K parameters, θ , fitted to a sample of M
exceedances of thresholds qp (td ), denoted Y . The AI Cc
for this model is given by

2K(K + 1)
AI Cc = −2logL(θ̂ |Y ) + 2K + (11),
M −K −1

where logL(θ̂ |Y ) is the value of the maximized log

likelihood function, and θ̂ stands for the K estimated
parameters by the ML method. The first two terms of the
right hand of Equation (11) represent the classic AIC.
The additional term included in AI Cc is second-order
bias correction. It can be noted that AI Cc converges
to AIC, as M gets large. AI Cc is evaluated for each
candidate model, and the one with the smallest AI Cc is
selected as the best model. For a given model, the rAI Cc
suggested by Burnham and Anderson (2004) and used in
this work, for a quick and easy comparison and ranking
of candidate models is

rAI Cc = AI Cc − minAI Cc (12)

where minAI Cc is the smallest AI Cc , regarding all the

candidate models. According to this quantity, for given
data sample Y , a model having rAI Cc = 0 is the best,
and the larger the rAI Cc , the less plausible is the model.
The models having rAI Cc ≤ 2 are considered reasonable
choices by Burnham and Anderson (2004).
Figure 5. (a) The estimate of the shape parameter and (b) the respective
standard error for the four models, against time-dependent thresholds,
which were used for selecting the POT values to which models were
fitted. The probability varies from 0.95 to 0.995 with the interval of
0.0025.

number is smaller than the one that would be obtained if

3. Results
3.1. Estimates of shape parameter as function of
thresholds and inference on type of tail, for the four
GPD models
Only the estimation of the shape parameter γ is discussed
in detail here since there is more uncertainty in its estima-
tion than the scale parameter σ . One of the well-known
problems associated with the ML estimation of the shape
parameter γ is its large sampling fluctuation, yielding
often unrealistic values, especially for small samples.
Figure 5(a) shows the plot of the estimated shape
parameter γ̂ of the four concurrent GPD models (GPD-1,
GPD-2, GPD-3 and GPD-4) against the time-dependent
thresholds, qp (td ), used for extracting POT values. In
Figure 5 the probability p that specifies p quantile
increases from 0.95 to 0.995, with interval of 0.0025,
and this reveals the asymptotic behaviour of the esti-
mated shape parameter. The size of each POT sample
corresponding to thresholds qp (td ) is shown on the top
x-axis of Figure 5. For instance, 276 is the size of POT
sample obtained with the thresholds q0.98 (td ). The thresh-
olds q0.9975 (td ) were considered as the upper limit, since
only 72 values were selected for the POT sample and this
the block maxima method were used.
One can note from Figure 5(a) that the estimated
values of the shape parameter are, in general, positive.
This is a clue that the distribution of EV analysed here
is heavy tailed. The negative estimates are obtained only
for lower thresholds, smaller than those given by q0.96 (td ),
and for the highest thresholds, q0.995 (td ), particularly for
GPD-2 and GPD-4 models. Also, despite the relatively
large sampling fluctuations, it is possible to perceive
(for the four models) an asymptotic behaviour of γ̂
characterized by an increasing tendency, from about
0.0 to 0.2, especially for thresholds between q0.96 (td )
and q0.9925 (td ). Whatever the model, a strong sampling
fluctuation is noticed as the thresholds increase from
q0.9925 (td ) to q0.995 (td ), suggesting that these samples are
too small to yield reliable estimates.
The standard errors of the estimated shape parameter,
SE(γ̂ ), are shown in a similar manner in Figure 5(b).
One can note that the values of SE(γ̂ ) for the four
concurrent models are quite similar, and as expected
they increase systematically as the threshold increases.
The increase of SE(γ̂ ) is initially slow but becomes
faster from about the threshold q0.98 (td ). Therefore, in
terms of both the accuracy of the ML estimates and

Copyright  2008 Royal Meteorological Society Int. J. Climatol. 29: 1339–1349 (2009)
DOI: 10.1002/joc
1346 S. SUGAHARA ET AL.

asymptotic theory, loosely speaking, the q0.98 (td ), which
generated 276 POT values, is a reasonable choice for
the upper limit of the thresholds. These 276 values can
be thought as a realization of the Poisson process with
a rate parameter of about 3.8 occurrences per year.
Changing p in qp (td ) from 0.98 to 0.95 to enlarge
POT sample is not a recommended procedure, though
it could be very attractive. One can note that if q0.95 (td )
is used instead of q0.98 (td ) the SE(γ̂ ) does not diminish
significantly, despite a substantial increase in sample size,
i.e. from 276 to 655. The results of GPD models fitted
to 1000 bootstrap samples also show that the strategy
of lowering threshold does not lead to an increase of
accuracy. The estimates of the mean, γ ∗ , and standard
errors, SE(γ ∗ ), of distribution of bootstrap estimates,
γ ∗ , of the shape parameter are shown in Table II, for
a set of five thresholds qp (td ). Considering again the
thresholds q0.95 (td ) and q0.98 (td ), one can note from this
table that the difference in SE(γ ∗ ) is only about 50%.
Table II also shows the proportion of positive estimates.
A proportion larger than 90% for positive estimates,
especially for more appropriate thresholds discussed
above, is an indication of a heavy-tailed distribution. We
will return to this matter latter.
the GPD-3 and GDP-4 models contain a trend component
in the scale parameter. As one may see, the QQ plots in
Figure 7 show a satisfactory fitting for both the models.
For the sake of brevity, PP plots are not shown. It was
observed that the PP plot is less helpful than the QQ
plot for discerning differences of the quality of fitting.
A slight superiority of GPD-3 can be noted in Figure 7,
which is consistent with the model selection analysis.
With all the results in favour of GPD-3, it is rea-
sonable to assume that GPD model, which incorporates
both linear trend and annual cycle through time-varying
thresholds, is the best model to represent the extreme
daily rainfall events for Sao Paulo.
We shall now infer about the sign of the shape parame-
ter or the kind of tail of this distribution using t-statistic.
The use of this statistic is reasonable since the distribu-
tion of γ estimated from 1000 bootstrap samples (not
shown) is close to the normal distribution. The computed
value of t-statistic is about 1.9, such that the null hypoth-
esis H0 : γ = 0 is rejected with 90% confidence level.
In addition to this, it is also noted that 95% of 1000
bootstrap estimates of this parameter are positive, though
its magnitude is quite small, about 0.09. The estimated

3.2. Best model identification

Figure 6 shows the rAI Cc corresponding to each one of
the four concurrent models versus the thresholds qp (td ).
For each qp (td ), the values of rAI Cc can be compared
to each other. Moreover, as stated in Section 2.7, the
lower the rAI Cc , the better the model, and the best
model is by definition the one yielding rAI Cc equal to
zero. However, a comparison among values of rAI Cc
corresponding to different qp (td ) is not permitted by
definition of the criterion. One can note from Figure 6
that rAI Cc points out GPD-3 as the best model for
q0.98 (td ), which was judged before as optimum threshold.
On the basis of the thumb rule, rAI Cc ≤ 2, the GPD-4
model also can be considered as a reasonable model. Both Figure 6. Same as Figure 5, but for rAI Cc .

Table II. Average, γ ∗ , and standard error, SE(γ ∗ ) (in parentheses), obtained from 1000 bootstrap estimates of γ ∗ for each of the
four GPD models and five qp (td ) thresholds used for extracting POT values to which GPD models were fitted. The percentage
of samples with positive γ ∗ , np, is also shown.

qp (td ) thresholds
Models q0.95 (td ) q0.96 (td ) q0.97 (td ) q0.98 (td ) q0.99 (td )

GPD-1
γ ∗ and SE(γ ∗ ) 0.031(0.030) 0.033(0.033) 0.092(0.037) 0.100(0.047) 0.188(0.071)
np 86 85 99 98 99
GPD-2
γ ∗ and SE(γ ∗ ) 0.009(0.029) 0.010(0.032) 0.071(0.038) 0.076(0.047) 0.076(0.077)
np 65 66 96 94 94
GPD-3
γ ∗ and SE(γ ∗ ) 0.022 (0.031) 0.023(0.033) 0.082(0.039) 0.088(0.048) 0.185(0.070)
np 78 79 97 95 99
GPD-4
γ ∗ and SE(γ ∗ ) 0.000 (0.030) 0.000 (0.032) 0.056(0.039) 0.057(0.048) 0.125(0.075)
np 48 48 91 88 95

Copyright  2008 Royal Meteorological Society Int. J. Climatol. 29: 1339–1349 (2009)
DOI: 10.1002/joc
 FREQUENCY ANALYSIS OF EXTREME DAILY RAINFALL IN SAO PAULO
Figure 7. QQ plots for the residual quantiles for (a) GPD-3 and
(b) GPD-4 models fitted to the values selected by the time-varying
threshold. Line of equality in the both figures indicates a perfect fit.
scale parameters σ̂0 and σ̂1 (Equation (5)) of this model,
in exponential scale, are 1.69 and 1.40, with standard
errors of 0.40 and 0.634, respectively. Using t-statistic
for σ̂1 , we can conclude that the estimated linear trend
corresponds to a confidence level of about 98%.
The practical implication of this result is that high
quantiles of daily rainfall in Sao Paulo have increased in
magnitude from 1933 to 2005. To give a visual impres-
sion of this trend, the plot of 0.99-quantile of daily rainfall
amount, x0.99 , estimated with the GPD-3 model fitted to
sample extracted with thresholds q0.98 (td ) is shown in
Figure 8(a). The values of x0.99 were computed by using
Equation (2) and estimated scale and shape parameters
fitted to POT sample with 276 data points are extracted
using the thresholds q0.98 (td ). It is worth mentioning that
in this calculation the scale parameter is time dependent
and the values of q0.98 (td ) must be added in Equation (2).
The linear fit for values of x0.99 and the median (x0.50 )
of the fitted distribution are also shown in the same plot.
Figure 8(b) and (c) show the plots of the same estimated
quantiles separately for two different periods: wet (Octo-
ber–March with 172 values) and dry (April–September
with 104 values), respectively. Similar to Figure 8(a), the
median of the distribution and the linear fits are also
shown in these figures. The slopes of the linear fits in the
Copyright  2008 Royal Meteorological Society
1347
Figure 8. Plots of the 0.99 quantiles estimated with the GPD-3
model (circles), and fitted linear regression line (straight line) for
(a) January–December, (b) October–March, and (c) April–September
periods. The dashed line in each plot stands for median of the model,
and the vertical line the observed daily rainfall amount (in mm)
exceeding threshold.
three plots are virtually the same, whose values are about
0.0014 mm/day. Thus one can say that x0.99 increased by
about 40 mm over the past 73 years, from 1933 to 2005.
The intercepts of the three linear fit are 96.2 mm for the
entire year, 102 mm for October–March, and 84.5 mm
for April–September. Each intercept may be interpreted
as daily rainfall amount that was expected to be exceeded
with probability of 0.01 at the beginning of the corre-
sponding series. Equation (2) was also used to compute
x0.98 and x0.95 of the same model, and their values were
linearly fitted as was done for x0.99 . Figure 9 shows the
plot of the fitted lines for x0.99 , x0.98 , and x0.95 against
Int. J. Climatol. 29: 1339–1349 (2009)
DOI: 10.1002/joc
1348 S. SUGAHARA ET AL.
time, depicting changes in the frequency or probability of
the three considered quantiles over the years 1933–2005.
Numerically, by using the coefficients of the three lin-
ear fittings, it is found that the probability of rainfall of
about 100 mm increased from 1% to 2% between 1933
and 1954 and to 5% in 2001. It is important to mention
that a procedure, such the one adopted here, of bringing
seasonality into FA of EV can have some undesirable
side effects, whether the extreme rainfall regime is not
changing for some month(s) or season(s), or it is changing
in a different manner, for instance, one season show-
ing increases while the other showing decreases. In such
cases, this procedure is not recommended at all. In the
case of the extreme rainfall regime in Sao Paulo focused
here, pooling data from wet and dry seasons in FA and
extracting some quantiles seem to be a reasonable proce-
dure since the two periods for which high quantiles were
extracted show positive trend, though in the latter it is
less significant than in the first.
4. Summary and concluding remarks
The FA of EV of daily rainfall in Sao Paulo, in the
non-stationary context, was performed using the POT
approach and GPD modelling. The period of analysis
is from 1933 to 2005. The FA was carried out with
the entire series without splitting into month or sea-
sons. For selecting exceedances, we used a threshold
dependent on the day of the year, denoted as qp (td ),
td = (1, 2, . . . , 365), composed of p-quantiles of daily
rainfall amount obtained from all available data. Non-
stationary features present in the data, such as seasonality
and long-term trend, were incorporated as covariates. The
seasonality is a prominent characteristic of rainfall regime
in Sao Paulo, and statistically significant long-term trend
was captured in the annual and seasonal (October–March
and April–September) maximum of daily rainfall series.
Four GPD models, denoted GPD-1, GPD-2, GPD-3
and GPD-4, were designed and tested for the distribution
Figure 9. Linear regression fit of the 0.99, 0.98 and 0.95 quantiles
of daily rainfall estimated by GPD-3 (inclined straight lines), for
October–March, and rainfall amount of 102 mm (horizontal straight
line) with probability of 1% in the beginning of record and increasing
to 2% in 1954, and 5% in 2001.
Copyright  2008 Royal Meteorological Society
of EV of the considered series. The shape parameter
was set constant for the four models, but in GPD-
2, GPD-3, and GPD-4 time-varying covariate(s) was
incorporated into the scale parameter, as follows: in GPD-
2 σ describes annual cycle, in GPD-3, σ accommodates
a linear trend, and in GPD-4 σ incorporates both annual
cycle and linear trend. These models were therefore fitted
to several samples of exceedances by means of the ML
method, and the results of the ML estimations of models
parameters were examined to find an appropriate qp (td )
and the best model among the four concurrent models,
regarding both the performance of the ML estimation and
asymptotic theory of the GPD. It was found that q0.98 (td )
is an appropriate threshold for GPD for the considered
data. The selection of the models was performed by using
the small-sample version of AIC, in its rescaled form,
which isolated GPD-3 as being the best model, i.e. the
model with a positive linear trend in EV of daily rainfall
in Sao Paulo, statistically significant with the confidence
level of about 98%. Another characteristic of this model
is that it is heavy tailed (γ > 0), but the magnitude γ is
quite small. The detected trend, as found in our FA of
EV of daily rainfall in Sao Paulo is a matter of concern,
whatever the associated cause, as floods have been
serious problems for the city over last decades, largely as
the effect of urban growth, inadvertent land use, and lack
of public policy for preventing higher population density
in flood risk-prone areas such as shanty towns. Although
this work was performed with single-station data, the
collected information could be applied to the other
points of Sao Paulo, relying on reasonable assumption
of homogeneity in terms of atmospheric system and its
manifestation over the city.
Acknowledgements
This work was partially supported by the Brazil-
ian Financial Support Agency (FINEP) under con-
tracts #01.06.1120.00 and #01.06.1126.00. The authors
acknowledge the staff of the IAG/USP Weather Station
for providing the data, and especially its former direc-
tor Professor Paulo Marques dos Santos, for his effort
on keeping the station operating continuously and con-
cerning always about the quality of the measurements.
The two anonymous reviewers are also acknowledged
for their helpful comments and corrections.
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