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Stationary hydrological frequency analysis coupled with uncertainty assess‐

ment under nonstationary scenarios

Cuauhtémoc Tonatiuh Vidrio-Sahagún, Jianxun He, K.S. Kasiviswanathan,

Subhamoy Sen

PII: S0022-1694(20)31186-0
DOI: https://doi.org/10.1016/j.jhydrol.2020.125725
Reference: HYDROL 125725

To appear in: Journal of Hydrology

Received Date: 21 July 2020

Revised Date: 18 September 2020
Accepted Date: 29 October 2020

Please cite this article as: Tonatiuh Vidrio-Sahagún, C., He, J., Kasiviswanathan, K.S., Sen, S., Stationary
hydrological frequency analysis coupled with uncertainty assessment under nonstationary scenarios, Journal of
Hydrology (2020), doi: https://doi.org/10.1016/j.jhydrol.2020.125725

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 Stationary hydrological frequency analysis coupled with uncertainty assessment

under nonstationary scenarios

Cuauhtémoc Tonatiuh Vidrio-Sahagúna, Jianxun He, a,*, K. S. Kasiviswanathanb, and Subhamoy

Senc

a Civil Engineering, Schulich School of Engineering, University of Calgary, 2500 University

Drive NW, Calgary, Canada, T2N 1N4.

b Department of Water Resources Development and Management, Indian Institute of Technology

Roorkee, Roorkee – 247667, India.

c School of Engineering, Indian Institute of Technology Mandi, Kamand – 175005, India.

* Corresponding author: jianhe@ucalgary.ca, 2500 University Drive NW, Calgary, Alberta,

Canada, T2N 1N4.

Abstract

The use of the nonstationary hydrological frequency analysis (HFA) has been prompted when

nonstationarity is diagnosed in hydrometeorological data. However, the inconclusive

identification of the physical process(es) and driver(s) behind the nonstationarity challenges the

identification of an appropriate model structure, and consequently might hinder its reliable

implementation. To date, no solid consensus on whether the nonstationary HFA is always

superior to the stationary HFA has been reached. Therefore, this paper aimed to advance the

understanding of the stationary and nonstationary HFAs under nonstationary scenarios by

illustratively comparing their performance in real applications, and examining the effects of the

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nonstationarity on the stationary HFA through a simulation study, especially from the

perspective of the uncertainty. The investigation of the effects of the nonstationarity on the

stationary HFA was conducted in two fundamental nonstationary scenarios, namely temporal

trends in the mean and variance, in which the degree of nonstationarity was quantifiable and

known a priori. The HFAs were conducted using the Particle Filter, a Bayesian filtering

technique which was recently employed in the stationary HFA and was further extended for the

nonstationary HFA in this paper. The illustrative comparison did not demonstrate a consistent

superiority of either HFA approach in terms of both fitting efficiency and uncertainty. This result

thus implied that the stationarity HFA could outperform the nonstationary HFA in some cases.

Besides, the simulation investigation of the stationary HFA revealed that the increase of

nonstationarity degree would lead to the deterioration in the analysis accuracy and the elevation

of uncertainty. The uncertainty in the stationary HFA was found to primarily originate from the

nonstationarity, while the distribution selection would be the other but secondary source of

uncertainty. The results from both the illustrative comparison and the simulation investigation

suggested that whether the stationary or nonstationary HFA outperforms the other could be

associated with the degree and pattern of nonstationarity. Therefore, it is recommended to

consider them when developing a strategic framework to select an appropriate approach to deal

with nonstationary hydrometeorological data.

Keywords: nonstationarity; uncertainty assessment; accuracy; extreme distribution; fitting

efficiency; particle filtering.

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1 Introduction

The hydrological frequency analysis (HFA) has been the tool to analyze extreme events

for water resources management, as well as water-related infrastructure design and risk

assessment. Conventionally, the HFA has been conducted to fit a selected probability distribution

to a set of observations (e.g., annual maximum series (AMS)) under the assumption that they are

independent and identically distributed, and consequently stationary. Owing to climate change as

well as other changes (e.g., changes in land cover/use), it is not uncommon to detect temporal

trends in hydrometeorological datasets, which is indicative of the presence of nonstationarity. To

detect the presence of temporal trends in hydrometeorological data, the non-parametric Mann-

Kendall (MK) test and its several variants to account for dependent data have been commonly

used (e.g., Cheng et al., 2014; O’Brien & Burn, 2018; and Pedretti & Irannezhad, 2019),

although these tests provide exploratory diagnosis and their results should be interpreted with

caution (Koutsoyiannis & Montanari, 2015; Milly et al., 2015; Serinaldi et al., 2018). The

presence of the nonstationarity in hydrometeorological datasets prompts the need to assess its

implications in water resources management as well as the design of water infrastructure (Read

& Vogel, 2016; Rootzén & Katz, 2013; Salas & Obeysekera, 2014). The violation of the

stationary requirement on datasets has questioned the use of the conventional/stationary HFA.

In the past decades, there has been a tendency to shift to the nonstationary HFA when the

datasets exhibit nonstationarity. Explanatory covariates, such as temporal (i.e., time) or physical

(e.g., land use or climatic indexes) covariates, have been incorporated in the nonstationary

approach to depicting the variation in the distribution parameters or moments (e.g., Mondal &

Mujumdar, 2015; Tramblay et al., 2013; and Villarini et al., 2009). Due to the violation of the

ergodicity in nonstationary scenarios, the use of physically-based covariate(s) is theoretically

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critical for making statistical inference (Koutsoyiannis & Montanari, 2015; Serinaldi et al., 2018;

von Storch & Zwiers, 2002), as well as practically desired, especially for extrapolation in the

future (Read & Vogel, 2015; Salas et al., 2018; Serinaldi & Kilsby, 2015). However, the physical

covariates often cannot capture the nonstationarity of the datasets well, as the dependency of the

nonstationarity on the selected physical drivers has usually been relatively low to medium

(Archfield et al., 2016; Ouarda et al., 2018; Ray & Goel, 2019). The inconclusive attribution

(namely the inconclusive identification of the physical drivers) of the nonstationarity thus

hinders the success of the nonstationary HFA. As a result, in a large number of studies the

temporal covariate has also been adopted as the proxy of the temporal evolution of the

hydrometeorological system response to the causative physical drivers, as both the system

response and the drivers change over time (e.g., Ganguli & Coulibaly, 2017; Obeysekera &

Salas, 2016; and Ragno et al., 2019). On the other hand, in the typical nonstationary approach,

the distribution function remains the same, which has recently been concerned due to the

potential change of the best-fit distribution over time (Ouarda & Charron, 2019).

Although the nonstationary HFA has been proposed to deal with nonstationary datasets,

the stationary HFA has also been demonstrated to be advantageous over the nonstationary HFA

in certain aspects. For instance, Luke et al. (2017) concluded that the stationary approach is

superior in out-of-sample prediction overall, whereas the nonstationary approach outperforms in

within-sample prediction. Similarly, Iliopoulou & Koutsoyiannis (2020) also reported the

superiority of the stationary approach in out-of-sample predictive performance. Moreover, a

comparison without the consideration of the uncertainty has been acknowledged to be unfair and

limitedly informative (Serinaldi & Kilsby, 2015). In general, the hydrological nonstationary

analysis and modeling are often accompanied by a significant amount of uncertainty compared to

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the stationary ones, principally due to the incomplete understanding of hydroclimatic systems

and, in turn, the use of a poor model structure for capturing the nonstationarity (Lins & Cohn,

2011). In the HFA, Ouarda et al. (2019) demonstrated that the nonstationary model structure is

an extra significant source of uncertainty, and an even wider uncertainty would be produced if

adopting a more complicated structure for capturing the nonstationarity to better fit the data (e.g.,

using two or more covariates). In contrast, the advantage of the stationary approach lies in the

absence of additional sources of uncertainty added for capturing the nonstationarity using

covariates (De Luca & Galasso, 2018). Therefore, although the nonstationary HFA offers higher

flexibility to fit data (De Luca & Galasso, 2018; Luke et al., 2017; Ouarda et al., 2019), several

studies have argued to retain the stationary approach in the face of the abovementioned issues

hindering its reliable implementation (e.g., Montanari & Koutsoyiannis, 2014; Sen et al., 2020;

Serinaldi & Kilsby, 2015).

In the HFA, the uncertainty can be categorized into two types, namely natural and

epistemic uncertainties (Apel et al., 2004; Beven, 2016; Ross et al., 2009). The former emerging

from the random natural variability of the hydrometeorological systems is inherent and

irreducible, whereas the latter originates from the incomplete/insufficient knowledge on the

system under study. Epistemic uncertainty arises from various sources such as parameter

estimation and model structure (Apel et al., 2004; Kunkel, 2013; Singh & Strupczewski, 2002),

which can be reduced by increasing the sample size and improving the knowledge of the process

and its driver(s), respectively (Serinaldi, 2009; Van Gelder, 2001). In addition, epistemic

uncertainty can also originate from selecting a distribution using statistical means (e.g.,

goodness-of-fit test), following local guideline, or taking a subjective perspective, as the true

distribution is not possibly known a priori (Debele et al., 2017; Salas et al., 2013; Singh &

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Strupczewski, 2002). In the nonstationary HFA, the selection of the model structure is

particularly critical (Khaliq et al., 2006; Ouarda & Charron, 2019), while in the stationary HFA

the ignorance or indolence of the nonstationarity might yield considerable uncertainty.

Uncertainty quantification in the hydrological modeling and analysis can be carried out

through several methods, which can be broadly classified into four categories (Alvisi &

Franchini, 2011; Shrestha & Solomatine, 2006): (1) confidence interval approach, which often

assumes statistical characteristics of the model errors (e.g. normality and homoscedasticity); (2)

fuzzy-based approach, in which the membership function is assumed; (3) ensemble or Monte

Carlo (MC) approach (simulation and re-sampling based), in which the uncertainty in outputs is

commonly quantified based upon the given/assumed uncertainty in input parameters; and (4)

probabilistic approach, which often requires assuming a priori distribution of parameters and/or

incorporating prior knowledge on parameters that modelers have. In the probabilistic approach,

which estimates the probability distributions of the model parameters, simulation methods such

as Markov Chain Monte Carlo (MCMC) have often been adopted owing to the unavailability of

closed-form solutions, in general (Halbert et al., 2016; Reis & Stedinger, 2005). Although each

approach has merits and demerits, their common drawback is the assumptions adopted, which

introduce additional uncertainty into the modeling and analysis results if they are not adequately

justified and/or validated. Besides, in the ensemble approach, bootstrapping (Efron, 1992) is an

alternative technique adopted in uncertainty quantification in the HFA (e.g., Hu et al., 2014;

Khaliq et al., 2006). The particle filtering (PF), which can be considered as an ensemble

approach and belongs to the Bayesian filtering family, integrates the recursive Bayesian filters

and the bootstrap resampling technique. The PF is advantageous in providing a rigorous

probabilistic framework for state variables estimation (Gordon et al., 1993) due to its

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applicability for non-Gaussian solution approximations in non-linear discrete dynamic state-

space models (Särkkä, 2013c), and thus for hydrological applications (Salamon & Feyen, 2009).

The application of the Bayesian PF in hydrology can be found in Moradkhani et al. (2005 and

2012a), Salamon & Feyen (2009) and Abbaszadeh et al. (2019), where it has been demonstrated

to be promising as it is free from assumptions and reliable in uncertainty estimation (Doucet et

al., 2001; Gordon et al., 1993). In particular, Sen et al. (2020) recently employed the PF to

quantify the uncertainty in the stationary HFA.

In summary, when dealing with nonstationary datasets, no solid consensus has been

reached yet on whether the nonstationary or stationary HFA is superior in the face of the

aforementioned practical challenges. Moreover, formal guidelines directing the selection of the

nonstationary or stationary approach are lacking (Luke et al., 2017). These imply the need for

further understanding of these two approaches and their comparison. Therefore, the two-fold

objective of this paper is to compare the stationary and nonstationary HFAs in their real

applications, especially in terms of uncertainty, and to examine how and to what degree the

ignorance of the nonstationarity would affect the performance of the stationary HFA. The second

research objective has not been explored in the literature yet. The investigation is needed to be

carried out knowing a priori the degree of nonstationarity, and thus an intensive simulation study

is conducted. The simulation is performed in two fundamental nonstationary scenarios: temporal

trends in the mean and the variance, both of which can be feasibly quantified for the simulation

study but also are seen in real datasets. The PF, which has been employed for the stationary HFA

previously, is extended also for the nonstationary HFA and used in this paper.

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2 Materials and Methods

2.1 Exploratory Data Analysis for Detecting Nonstationarity

In statistics, there are broadly two types of stationarity, namely strong/strict stationarity

and weak/second-order stationarity. The former requires the time-invariant probability

distribution, while the latter only concerns about the temporal invariance in the first and second

statistical moments of a stochastic process (Lindgren et al., 2013; von Storch & Zwiers, 2002). In

the field of water resources, the second type of stationarity has been commonly used in the

literature, and thus it was adopted in this paper.

The MK test was applied with the aim of conducting exploratory data analysis to detect

monotonic trends in the first two statistical moments, which are indicative of the presence of

nonstationarity. The MK test was coupled with the moving/sliding window approach (Plag &

Tsimplis, 1999), in which the window length (L) and the constant shift (S) are fixed. Despite the

simplicity in implementing this approach, the determination of L is not trivial (Vrugt &

Robinson, 2007). A short L implies an increment of the influence of outliers located in the

window span, whereas a long L can lead to missing important detail information, such as the

existence of non-monotonic trends (Kasiviswanathan et al., 2017). The moving windows, namely

(1) L = 30 and S = 10, and/or (2) L = S = 10, were considered to examine whether the

nonstationarity presents. The former moving window is intended to mimic the practice of the

HFA, which often requires a minimum length of 30 years of record and needs to skip decadal

variability presented in real datasets by shifting the window by ten years (Salvadori, 2013). The

latter case, which can avoid data points to be counted more than once because of window

overlapping, is particularly applicable for datasets which commonly have a relatively short

length. The presence of change points was also explored using the Pettitt and Mann-Kendall-

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Sneyers (also known as sequential Mann-Kendall) tests, which are for detecting the abrupt

changes and the approximate time at which a significant trend begins, respectively (Pettitt, 1979;

Sneyers, 1975 and 1990). The detection of change points is critical in trend analysis as two

opposite trends can counteract when assessing the trend in the whole dataset.

2.2 Real Hydrometeorological Datasets for the Comparison of Stationary and Nonstationary

Approaches

Three real datasets, which present different patterns of nonstationarity, were selected to

illustrate the comparison between the stationary and nonstationary HFAs. At Tacubaya station

(CONAGUA-SMN No. 9048) in Mexico City, Mexico, the precipitation AMS in 1877-2016

presents a significant upward trend in the mean (Fig. 1(a)). Significant upward trends in both the

mean and variance were detected from the precipitation AMS recorded in 1949-2015 at Armeria

station (CONAGUA-SMN No. 6001) in Colima, Mexico (Fig. 1(b)). A change point in both the

mean and variance was detected from the flow AMS recorded at a USGS station (No. 11532500)

(an unregulated station) on the Smith River, in northern California, USA, in 1932-2019 (Fig.

1(c)). This dataset was used in a recent study by Luke et al. (2017) in comparing the stationary

and nonstationary HFAs.

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Figure 1. Three AMS datasets with (a) a significant upward trend in the mean (no significant

trend in the variance), (b) significant upward trends in the mean and variance, and (c) a change

point (non-monotonic trend in the mean and variance). The solid red lines indicate the trends in

the mean, while the dashed red lines show the trend in the variance.

2.3 Distribution Selection and Synthetic Data Generation for the Simulation Study

Considering that the Extreme Value Theory provides a rigorous framework for the

analysis of climate extreme events (Coles, 2001; Katz et al., 2002) and the popularity of the

generalized extreme value distribution (GEV) in the HFA, the intensive simulation investigation

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was conducted for the GEV distribution for illustration purposes. Note that the methodology

adopted in this paper is applicable to any distributions. The cumulative GEV function of the

random variable, y, is defined as:

{
1

𝐹(𝑦;𝜃) = 𝐹(𝑦;𝜉,𝛼,𝜅) =
( [ ( )] )
exp ― 1 + 𝜅
𝑦―𝜉
𝛼
―𝜅
, 𝜅≠0
#(1)

( ( ( )))
exp ― exp ―
𝑦―𝜉
𝛼
, 𝜅=0

where the parameter vector 𝜃 is composed by 𝜅,𝛼, and 𝜉, namely the shape, scale, and location

parameters, respectively. The tail behavior of the distribution is described by 𝜅, and the GEV is

categorized into three subfamilies: Gumbel or Extreme Value type I distribution (EV1), which is

the unbounded case, when 𝜅 = 0; Fréchet or type II (EV2), which is the heavy-tailed and

bounded on the lower side (left) case, when 𝜅 > 0; and Weibull or type III (EV3), which is the

upper (right) endpoint case, when 𝜅 < 0 (Salas et al., 2018). The quantile estimate 𝑦𝑝, i.e. the

magnitude associated with the return period 1/(1 ― 𝐹(𝑦𝑝)), is thus given by:

{
𝛼
𝑦𝑝 = 𝜅
[1 ― { ― ln (𝐹(𝑦𝑝))} ―𝑘],
𝜉― 𝜅≠0
#(2)
𝜉 ― 𝛼ln [ ― ln (𝐹(𝑦𝑝))], 𝜅=0

Based upon the concept of the weak/second-order stationarity, in this paper the linkage

between the degree of nonstationarity and the level of uncertainty was explored in two elemental

scenarios: nonstationarity (temporal trend) in the mean (Scenario 1) and the variance (Scenario

2), both of which can be seen from real-world datasets (Fig. 1). In addition, datasets of more

complex patterns of nonstationarity (e.g., Fig. 1(c)) can be decomposed into these two

fundamental scenarios or their combination.

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 First, a set of 100 synthetic stationary AMS (without change points) were generated by

randomly sampling the quantiles for each GEV subfamily (here, 𝜅 = ―0.2 (light tail), 0, 0.2

(heavy tail), 𝛼 = 15 and 𝜉 = 90). The use of 100 stationary AMS was determined through a

sensitivity analysis such that the uncertainty and accuracy metrics investigated are stabilized

(namely absence of large variations) in the following numerical simulations. Among these three

distribution parameters, 𝜉 is highly linked to the mean of a dataset. Thus, its wide range is

expected due to the large variation in the magnitude of hydrometeorological variables (e.g.,

rainfall and flow) in different geographic locations. In this paper, the value of 90 was selected for

𝜉. The selected values for the other two distribution parameters, 𝛼 and 𝜅, which describe the

dispersion and tail region of the dataset, respectively, are in their ranges identified from a

number of studies (e.g. Agilan & Umamahesh, 2017; Ouarda et al., 2018; Papalexiou &

Koutsoyiannis, 2013; Sun et al., 2015; Villarini & Smith, 2010). Besides, the selected values of 𝜅

(-0.2 and 0.2) have been also employed in the simulation study by Kim et al. (2017), which

investigated the goodness-of-fit tests for selecting an appropriate nonstationary probability

distribution model. The length of simulation datasets was selected after running numerical

simulations with several different lengths (30, 50, 75, 100, 125, and 150 data points). As

expected, the uncertainty level decreased with the increase of the dataset length, and the

reduction in the uncertainty of longer datasets (e.g., above 100 data points) was not prominent. In

addition, hydrometeorological AMS datasets consisting of around 100 data points are available

in many places across the world. Therefore, the data length of 100 was determined for the

simulation study.

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 To perform the simulation study, the stationary datasets following the GEV distribution (

𝑌~𝐺𝐸𝑉(𝜉,𝛼,𝜅)) were perturbed by an exogenous time-dependent variable, 𝑍𝑡 = 𝑍(𝑡). The

resulting perturbed variable 𝑌𝑡 is given by

𝑌𝑡 = 𝑌 + 𝑍𝑡#(3)

which is nonstationary and was used to examine the effect of nonstationarity on the stationary

HFA. The datasets formed in such a way (i.e. considering the combination of stochastic and

deterministic components) satisfy the widely adopted statistical representation of a nonstationary

process in the hydrometeorological literature (e.g., Koutsoyiannis & Montanari, 2015; Milly et

al., 2015; Serinaldi et al., 2018).

In Scenario 1, linear trends (both downward and upward) in the mean were introduced

into the original stationary datasets through 𝑍𝑡 = tan (𝜆)𝑡 + 𝑏, where 𝑡 is the data index (or time

in time series), 𝜆 depicts the degree of nonstationarity in the mean, and the intercept (𝑏) is fixed

at zero in this case. Thus, 𝑍𝑡 in fact can be seen as the result of rotating the stationary datasets

about the left end of their trend lines (horizontal lines for the stationary datasets) by a set of

angles (𝜆), such that their stationarity in the variance was ensured. The degree of nonstationarity

in the mean quantified by 𝜆 is in the range of 2.5° ≤ |𝜆| ≤ 30° with |∆𝜆| = 2.5°. A total of 2,500

datasets were generated for each GEV subfamily. An example of the datasets generated for

Scenario 1 is illustrated in Fig. 2(a).

In Scenario 2, linear trends in the variance were introduced into the original stationary

datasets by adding white noise perturbations (𝜔𝑡) without altering the first moment of the

datasets, i.e. 𝑍𝑡 = 𝜔𝑡. The white noise was modeled as 𝜔𝑡~ 𝑁(0,Ω𝑡), where 𝑁( ∙ ) denotes normal

distribution, and Ω𝑡 is the variance, which linearly increases with 𝑡 modeled by Ω𝑡 = (WNF ∙

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𝜇)𝑡 + 𝑏, where the slope is the product of the mean (𝜇) of the dataset and the white noise factor

(WNF), and the intercept (𝑏) is fixed at zero as well. Note that 𝜇 is constant in the datasets of

Scenario 2. Thus, in fact, the WNF governs the trend in the variance and reflects its degree of

nonstationarity. In this paper, WNF is in the range of 0.0005 ≤ 𝑊𝑁𝐹 ≤ 0.003 with

∆𝑊𝑁𝐹 = 0.0005. The range of WNF was determined according to the parent distributions (with

the predetermined distribution parameter values). Smaller values of WNF result in the absence of

significant temporal trends in the generated nonstationary datasets, whereas larger values lead to

the presence of negative values in the synthetic datasets. A total of 90,000 datasets were

generated for each GEV subfamily, as 150 white noise perturbations were applied per WNF. A

sample of datasets generated is illustrated in Fig. 2(b). The number of original stationary datasets

(100 per GEV subfamily) and the number of white noise perturbations in Scenario 2 were also

determined through a sensitivity analysis, such that the performance metrics investigated were

stabilized in the following numerical simulations.

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 Figure 2. Sample of synthetic datasets generated for (a) Scenario 1 (showing a set of 25

time series with different degrees of nonstationarity in the mean) and (b) Scenario 2 (showing an

ensemble of 150 time series resulting from the perturbations with the highest degree of

nonstationarity in the variance (WNF = 0.003)). The black solid line indicates the original

stationary dataset.

Due to the introduction of the temporal trends in the mean and variance into the

stationary datasets, the generated nonstationary datasets are not always best fitted by the parent

distribution (here GEV). Therefore, other three commonly used three-parameter distributions,

namely the generalized logistic (GL), generalized normal (GNO), and Pearson type III (PE3),

were also included as the candidate distributions for assessing the uncertainty originated from the

distribution selection in the stationary HFA. The distribution was selected using the L-moment

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ratio diagram, which has been commonly adopted and is superior to the classical moments ratio

plots (Hosking, 1990; Papalexiou & Koutsoyiannis, 2013). Moreover, this approach is relatively

less sensitive to sampling variability, outliers, and measurement errors compared with other

methods (Cunderlik & Burn, 2003; Hosking, 1990). The metrics used to select the best-fit

distribution is the shortest deviation of the dataset from the theoretical curves of the candidate

distributions (i.e., the minimum Euclidean distance), called the L-distance throughout this paper.

2.4 Particle Filtering

In general, the idea behind Bayesian filtering is to estimate the hidden/unobservable state

vector, 𝑥0:𝑗 = {𝑥0, 𝑥1, …, 𝑥𝑗}, which is difficult, if not impossible, to be measured in the field. The

hidden state vector is estimated from the observations, 𝑦1:𝑗 = {𝑦1, 𝑦2, …, 𝑦𝑗}. In the Bayesian

framework, this problem can be expressed as the search of the joint posterior probability

distribution of all the states given the related observations.

The probabilistic state-space model is typically given by three elements: the initial

distribution of the hidden state 𝑃(𝑥0) at time step 𝑗 = 0, the dynamic model 𝑃(𝑥𝑗|𝑥𝑗 ― 1) that

describes the process, and the measurement model 𝑃(𝑦𝑗|𝑥𝑗) that specifies how 𝑦1:𝑗 depends on 𝑥𝑗

(Särkkä, 2013c). The model is assumed to be Markovian, therefore it has the following two

properties: 𝑥𝑗 forms a Markov sequence (or Markov chain if the state is discrete), i.e. 𝑃

(𝑥𝑗│𝑥𝑗 ― 1,𝑥𝑗 ― 2,…,𝑥0) = 𝑃(𝑥𝑗|𝑥𝑗 ― 1); and 𝑦𝑗 given 𝑥𝑗 is conditionally independent of the previous

measurements 𝑦1:𝑗 ― 1and states 𝑥1:𝑗 ― 1, i.e. 𝑃(𝑦𝑗│𝑥1:𝑗,𝑦1:𝑗 ― 1) = 𝑃(𝑦𝑗│𝑥𝑗) (Särkkä, 2013b).

Generally, Bayesian filtering techniques are conducted by an initialization step based on the prior

information/belief on the states and a loop consisting of two steps: prediction and update. In the

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initialization step, the prior distribution 𝑃(𝑥0) is given as a starting point of the recursive

process. The prediction step, also known as Bayesian belief propagation, produces the predictive

distribution estimation of 𝑥𝑗, i.e. 𝑃(𝑥𝑗│𝑦𝑗 ― 1) from 𝑃(𝑥𝑗 ― 1│𝑦1:𝑗 ― 1) conducted by the Chapman-

Kolmogorov equation given that the system state is assumed Markovian. This relationship allows

prior state estimates propagation through the time:

𝑃(𝑥𝑗│𝑦1:𝑗 ― 1) = ∫𝑃(𝑥 𝑗 ― 1│𝑦1:𝑗 ― 1) 𝑃(𝑥𝑗│𝑥𝑗 ― 1) 𝑑𝑥𝑗 ― 1 #(4)

The update step is governed by the likelihood estimations of 𝑥𝑗 through a mapping

function contrasted against corresponding measurements (i.e., 𝑃(𝑦𝑗│𝑥𝑗)). Finally, updating the 𝑥𝑗

estimations is carried out by Bayes’ theorem:

𝑃(𝑥𝑗│𝑦1:𝑗 ― 1) 𝑃(𝑦𝑗│𝑥𝑗)
𝑃(𝑥𝑗│𝑦𝑗) = ∝ 𝑃(𝑥𝑗│𝑦1:𝑗 ― 1) 𝑃(𝑦𝑗│𝑥𝑗) #(5)
∫𝑃(𝑥𝑗│𝑦1:𝑗 ― 1) 𝑃(𝑦𝑗│𝑥𝑗) 𝑑𝑥𝑗

For a Gaussian linear system, both prediction and update equations can be analytically

solved by the Kalman Filter (Särkkä, 2013a). However, for a non-linear and non-Gaussian

problem, the PF is an adequate alternative. The PF employs MC simulations using a set of

particles sequentially to update estimations based on the Bayesian theory to approximate non-

Gaussian solutions in non-linear discrete dynamic state-space models (Särkkä, 2013c).

In the framework of estimating the probability distribution parameters, the general

structure of the PF can be formulated in such a way, in which the parameter set 𝜃𝑗 of the

underlying probabilistic distribution is the state variable. The distribution parameters in 𝜃𝑗 are

constant under stationarity, whereas they are allowed to change to depict the distribution

evolution over time under nonstationarity. The general form of the state-space equation system

can be expressed as:

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 𝜃𝑗 = 𝑔(𝜃𝑗 ― 1,𝑣𝑗) #(6)

𝑦𝑗 = 𝑓(𝜃𝑗,𝜑𝑗) #(7)

where 𝜈𝑗 and 𝜑𝑗 are the process noise in 𝜃𝑗 and observation/measurement noise in 𝑦𝑗,

respectively; 𝑔 is the dynamic model that describes the stochastic dynamics of the system (i.e.

state function); and 𝑓 is the measurement model that describes the distribution of observations

given the state (i.e. observation/measurement function). The 𝑔 and 𝑓 can be expressed in

probabilistic notation as 𝑃(𝜃𝑗|𝜃𝑗 ― 1) and 𝑃(𝑦𝑗|𝜃𝑗), respectively. As the parameter estimation is

conducted for a given time period in the HFA, the hidden states evolve in pseudo-time, replacing

time by iterations in order to incorporate all available measurements unitized as a batch at each

step 𝑗, i.e. 𝑌𝑗 = {𝑦1, 𝑦2, …, 𝑦𝑛} ∀ 𝑗. Therefore, the state-space model can be expressed as follows:

𝜃𝑗 = 𝜃𝑗 ― 1 + 𝜈𝑗 𝜈𝑗 ~𝑁(0,𝑉𝑗) #(8)

𝑌𝑗 = 𝑓(𝜃𝑗) + 𝜑𝑗 𝜑𝑗~𝑁(0,Φ𝑗) #(9)

where 𝜃𝑗 evolves over pseudo-time steps 𝑗 being perturbed by 𝜈𝑗; and 𝑓(𝜃𝑗) is the mapping

equation which enables the comparison of the model outputs (i.e. quantile estimates) and

observations. The noise 𝜑𝑗 is assumed to be negligible in the measurements since this uncertainty

source is not considered in this paper. Following the Bayes theorem, the posterior probability is

then given by:

𝑃(𝑌𝑗│𝜃𝑗) 𝑃(𝜃𝑗│𝜃𝑗 ― 1)
𝑃(𝜃𝑗│𝑌𝑗) = #(10)
𝑃(𝑌𝑗│𝑌𝑗 ― 1)

where 𝑃(𝜃𝑗|𝜃𝑗 ― 1) is the prior distribution; 𝑃(𝑌𝑗│𝜃𝑗) is the likelihood; and 𝑃(𝑌𝑗│𝑌𝑗 ― 1) is the

normalization constant. In the PF, the analytical integration over the state space required in the

prediction step is replaced by an approximation conducted using a cluster of particles and its

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discrete weighted summation. There are 𝑚 ∈ ℕ𝜃 independent particles in the parameter domain

at pseudo-time 𝑗, Ψ𝑗 = { 𝜓1𝑗 , 𝜓2𝑗 , 𝜓3𝑗 , …, 𝜓𝑚

𝑗 }. The particles are sampled from an arbitrary prior

distribution, which differs from many other techniques enforcing a particular given distribution.

In this paper, the uniform distribution (i.e. non-informative) was adopted. The parameter

estimation is defined by the particle ensemble evolution over pseudo-time. The evolution of

Ψ𝑗 ― 1 to Ψ𝑗 is controlled by both weights updating and white noise perturbation around its

position, which is discussed later. Each particle has a weight 𝑤(𝜓𝑖𝑗), which represents the prior

distribution of the particles. At each pseudo-time step, model outputs are computed using the

parameter particle set. The estimates (here quantiles) are evaluated against the measurements 𝑌𝑗

by the error function (van Leeuwen, 2009):

𝜀𝑖𝑗 = 𝐸[𝑌𝑗 ― 𝑓(𝜓𝑖𝑗)] #(11)

where 𝑓(𝜓𝑖𝑗) is the quantile function of the probabilistic model. To estimate 𝜀𝑖𝑗, the empirical

plotting position formula 𝑝1:𝑛 = (𝑟 ― 0.35)/𝑛, where r is the rank of the kth observation and 𝑛 is

the sample size of 𝑌𝑗, was adopted to assign empirical exceedance probabilities to the

observations. This empirical plotting position formula was chosen as it provides better estimates

of parameters and quantiles compared to other formulas (Hosking, 1990; Hosking et al., 1985).

Under stationarity, the estimation of 𝜀𝑖𝑗 is straight-forward as aforementioned. However,

under nonstationarity, the plotting position formula cannot be directly applied to the observations

due to the fact that each observation belongs to a different marginal distribution of the

nonstationary stochastic process. The empirical exceedance probabilities under nonstationarity

are thus estimated based on the equivalent stationary time series (𝑌 in Eq. 3) by removing the

time-dependent component (𝑍𝑡 in Eq. 3) from the dataset. To approximate and remove the 𝑍𝑡 in

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the mean and/or variance, the sample mean 𝜇𝑌𝑡and variance 𝜎2𝑌𝑡 for the GEV distribution are

calculated by the moment equations (Stedinger, 2017):

𝛼𝑡
𝜇𝑌𝑡 = 𝜉𝑡 + [Γ(1 ― 𝜅𝑡) ― 1] (12)
𝜅𝑡

𝜎2𝑌𝑡 =
()
𝛼𝑡
𝜅𝑡
{Γ(1 ― 2𝜅 ) ― [Γ(1 ― 𝜅 )] }
𝑡 𝑡
2
(13)

The trends detected in these two moments are then used to remove the 𝑍𝑡 in 𝜇𝑌𝑡 and/or 𝜎2𝑌𝑡. In this

way, the PF can estimate the distribution parameters and approximate the empirical exceedance

probabilities of the observations simultaneously, and consequently allow the 𝜀𝑖𝑗 estimation. As it

can be noted, the PF under stationarity is the special case of the PF under nonstationarity, in

which 𝑍𝑡 is absent.

After estimating 𝜀𝑖𝑗, irrespective of under stationarity or nonstationarity, the log-likelihood

of the particle set is obtained by

𝑃(𝑌𝑗│𝜓𝑖𝑗) = exp ( ― 𝜀𝑖𝑗𝑅 ―1𝜀𝑖𝑇

𝑗 ) #(14)

where 𝑅 is the measurement error covariance; 𝑤(𝜓𝑖𝑗) is then updated from its corresponding prior

by employing the likelihood estimates:

𝑤(𝜓𝑖𝑗 ― 1)𝑃(𝑌𝑗│𝜓𝑖𝑗)
𝑤( 𝜓𝑖𝑗 )= 𝑚
#(15)
∑𝑖 = 1𝑤(𝜓𝑖𝑗 ― 1)𝑃(𝑌𝑗│𝜓𝑖𝑗)

The idea behind the PF is to use randomly drawn samples from the state space with their

associated weights acting as discrete posterior distributions. The parameter set approximation

can be obtained by the particle ensemble and their weights.

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 𝑚
𝜃𝑗 = ∑ 𝑖=1
𝑤(𝜓𝑖𝑗)𝜓𝑖𝑗 #(16)

After each pseudo-time step, resampling is conducted to remove particles of low weight

such that particle degeneracy is avoided, i.e. most particles with negligible weight, which can

lead to particle filter collapse (Snyder et al., 2008; Xu et al., 2017). In this paper, the multinomial

resampling algorithm is employed. It consists of drawing 𝑚 ordered uniform random numbers 𝑢𝑖

~𝑈[0,1), 𝑖 = 1,2,…,𝑚 and use them to select the particles 𝜓𝑖𝑟 that will be replicated. Particle

selection is based on the generalized inverse of the cumulative empirical distribution of the

normalized weights (multinomial distribution) (Hol et al., 2006):

[∑
𝑖―1 𝑖

𝜓𝑖𝑟 = 𝜓( 𝐹𝑤―1(𝑢𝑖))=𝜓 𝑖
∀ 𝑖 s.t. 𝑢𝑖 ∈
𝑙=1
𝑤𝑙, ∑𝑤
𝑙=1
]
𝑙 #(17)

The empirical cumulative density function is obtained by using the weights as the

probability of each particle, such that more new particles are to be generated from the particles of

high-weight. Once the new particles are created, random Gaussian noise perturbation 𝜈𝑗 is then

applied to avert sample impoverishment and ensure diversity among the resampled particles

during the evolution of Ψ𝑗 ― 1 to Ψ𝑗 (Gordon et al., 1993; Moradkhani et al., 2005; Xu et al.,

2017) by:

𝜓𝑖𝑗 = 𝜓𝑖𝑗 ― 1 + 𝜈𝑗 𝜈𝑗 ~𝑁(𝛿𝜓𝑗,𝑉𝑗) #(18)

where 𝛿 is the Dirac delta function. The noise 𝜈𝑗 is controlled by 𝑉𝑗, which is defined as 𝑉𝑗 = 𝑠𝑡

∙ 𝜎(𝜃𝑗 ― 1), where 𝜎2(𝜃𝑗 ― 1) is the variance of the particles at pseudo-time step 𝑡 ― 1; and 𝑠𝑡 is a

small tuning hyperparameter. The determination of 𝑠𝑡 is problem-specific (Abbaszadeh et al.,

2018; Moradkhani et al., 2012b) and needs to maintain adequate diversity of the particle

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ensemble over the parameter space after resampling without provoking overdispersion

(Leisenring & Moradkhani, 2012; Moradkhani et al., 2012b). In this paper, the piecewise 𝑠𝑡

= 1, 0.05 conditioned on the completeness of the data points coverage in the uncertainty bands

was adopted and verified to be adequate for the target problem after scrutiny. With the progress

of PF over pseudo-time steps, the parameter set converges to a stable estimation. Uncertainty

quantification can then be carried out employing the stabilized set of parameter particles.

A key issue in the PF is the selection of its parameters, including the number of particles

to be employed, the number of pseudo-time steps to reach a single estimation, as well as the

number of simulations per dataset, i.e. the repetition number of basic estimations to stabilize the

uncertainty approximations. To select these parameters, a sensitivity analysis was conducted. It

was found that a total of 5,000 particles are sufficient to stabilize the parameter estimation and

minimize error estimates for the synthetic datasets used. The number of pseudo-time steps

required to achieve a stabilized estimation is dependent on the number of particles. In this paper,

500 iterations were selected for the selected number of particles. The number of simulations per

dataset to stabilize the uncertainty metrics was determined to be 100. Similarly, the previously

defined number of synthetic stationary time series and white noise perturbations were

determined.

2.4 Performance Evaluation and Model Comparison Criteria

Three evaluation metrics including R2, root mean square error (RMSE), and Bias were

used to assess the analysis accuracy. These metrics were calculated from the stabilized estimates

in the PF approach as follows:

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 2

[ ]
𝑛
∑𝑘 = 1(𝑂𝑘 ― 𝑂𝑘)(𝑀𝑘 ― 𝑀𝑘)
𝑅2 = 𝑛 2 𝑛 2
#(19)
∑𝑘 = 1(𝑂𝑘 ― 𝑂𝑘) ∑𝑘 = 1(𝑀𝑘 ― 𝑀𝑘)

1 𝑛
𝑅𝑀𝑆𝐸 = ∑
𝑛 𝑘=1
(𝑀𝑘 ― 𝑂𝑘)2 #(20)

1 𝑛
𝐵𝑖𝑎𝑠 =
𝑛 ∑ 𝑘=1
(𝑀𝑘 ― 𝑂𝑘) #(21)

where 𝑂𝑘 and 𝑀𝑘 are the quantiles derived using the empirical plotting formula and the estimated

quantiles in the PF corresponding to the 𝑘𝑡ℎ observation, respectively.

In general, it is desired that the uncertainty band not only contains as many as possible

observations in a trade-off with the bandwidth, but also that the band is symmetrical about

observations (Xiong et al., 2009). Yet, the uncertainty estimates can be asymmetric, especially at

high quantiles, which are usually skewed (Mélèse et al., 2018; Obeysekera & Salas, 2014; Xiong

et al., 2009). Therefore, several uncertainty metrics including the average bandwidth (AW), the

percentage of observations coverage (POC), the average asymmetry degree (AAD), and the

average deviation amplitude (ADA) were employed to quantify uncertainty (Eq. 22-25), which

have been commonly used in the literature (e.g., Alvisi & Franchini, 2011; Xiong et al., 2009a).

The AAD and ADA quantify the symmetricity of uncertainty bands.

1 𝑛
𝐴𝑊 = ∑
𝑛 𝑘=1
(𝑀𝑈𝑘 ― 𝑀𝐿𝑘) #(22)

1 𝑛
𝑃𝑂𝐶 =
𝑛∑ 𝑘=1
𝐶𝑘 , 𝑤ℎ𝑒𝑟𝑒 𝐶𝑘 = { 0
1 ∀ 𝑘 𝑠.𝑡. 𝑀𝐿𝑘 ≤ 𝑂𝑘 ≤ 𝑀𝑈𝑘
𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒
#(23)

| 𝑀𝑈𝑘 ― 𝑂𝑘
|
1 𝑛
𝐴𝐴𝐷 =
𝑛 ∑ 𝑘=1 𝑀𝑈𝑘 ― 𝑀𝐿𝑘
― 0.5 #(24)

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 1 𝑛
𝐴𝐷𝐴 =
𝑛 ∑ 𝑘=1
|12(𝑀 ― 𝑀 ) ― 𝑂 | #(25)
𝑈
𝑘
𝐿
𝑘 𝑘

where 𝑀𝑈𝑘 and 𝑀𝐿𝑘 are the upper and lower uncertainty bounds at 𝑘, respectively.

Besides, the Akaike Information Criterion (AIC) and Bayesian Information Criterion

(BIC), which deal with the trade-off between the goodness-of-fit offered by a model and its

complexity on the basis of information loss (Akaike, 1974; Schwarz, 1978), were used to select a

parsimonious model from the competing models. Moreover, due to the conflicting nature of the

POC and AW, the Coverage Width Index (CWI) combining them to facilitate the assessment in

the context of uncertainty (Kasiviswanathan et al., 2019) was employed. These criteria were used

to compare the stationary and nonstationary HFAs and they are calculated by

𝐴𝐼𝐶 = 𝑛log (𝑅𝑀𝑆𝐸) + 2𝑁𝑝𝑎𝑟#(26)

𝐵𝐼𝐶 = 𝑛log (𝑅𝑀𝑆𝐸) + 𝑁𝑝𝑎𝑟log (𝑛)#(27)

𝑃𝑂𝐶 2
(
𝐶𝑊𝐼 = 𝐴𝑊 ∙ exp [1 ― 𝛼𝐶𝑊𝐼] ―
100
#(28) )
where 𝑁𝑝𝑎𝑟 is the number of model parameters, and 𝛼𝐶𝑊𝐼 is the significance level (0.05). A

model of smaller values of these criteria is of higher efficiency and less uncertainty, respectively.

Note that the HFA can be applied to extreme value analysis of various hydrometeorological

variables, which are of different units. Therefore, the units are not always denoted in this paper.

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3 Results and Discussion

3.1 Comparison of the stationary and nonstationary approaches in real applications

The use of the same distribution in the stationary and nonstationary HFAs was considered

in the comparison for bypassing the uncertainty originated from different distributions selected in

these two approaches. In the nonstationary HFA, in fact, there is no standardized way of

selecting a distribution that has been proved globally superior to others (Kim et al., 2017). As the

GEV distribution is one of the most commonly used distributions in the nonstationary HFA (e.g.,

Agilan & Umamahesh, 2017; Gado & Nguyen, 2016; and Ouarda et al., 2018) as well as in the

stationary HFA, the GEV was therefore used herein. In addition, several model structures

adopting the temporal covariate were considered in the nonstationary HFA. Among the candidate

models (Table 1), ℳ𝑆 is the stationary model and all others are the nonstationary models. The

nonstationary models depict linear or nonlinear dependencies of the distribution parameters on

the covariate, except the shape parameter, as its estimation is known to be difficult due to sample

size limitations and particularly unrealistic when it is treated as a varying parameter in the

nonstationary approach (Coles, 2001; Katz, 2013). More complicated model structures could be

considered, but they were excluded from the comparison as their parametrization might be highly

uncertain (Ouarda et al., 2019; Serago & Vogel, 2018; Serinaldi & Kilsby, 2015).

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Table 1. Candidate model structures for the comparison between the stationary and

nonstationary HFAs.

Model ID Model structure Model parameters

ℳ𝑆 𝐺𝐸𝑉(𝜉,𝛼,𝜅) 𝜉 = 𝜉0,𝛼 = 𝛼0, and 𝜅 = 𝜅0
ℳ𝑁𝑆:1,0,0 𝐺𝐸𝑉(𝜉(𝑡),𝛼,𝜅) 𝜉(𝑡) = 𝜌0 + 𝜌1𝑡; 𝛼 = 𝛼0, and 𝜅 = 𝜅0
ℳ𝑁𝑆:𝐸1,0,0 𝐺𝐸𝑉(𝜉(𝑡),𝛼,𝜅) 𝜉(𝑡) = exp (𝜌0 + 𝜌1𝑡); 𝛼 = 𝛼0, and 𝜅 = 𝜅0
ℳ𝑁𝑆:2,0,0 𝐺𝐸𝑉(𝜉(𝑡),𝛼,𝜅) 𝜉(𝑡) = 𝜌0 + 𝜌1𝑡 + 𝜌2𝑡2; 𝛼 = 𝛼0, and 𝜅 = 𝜅0
ℳ𝑁𝑆:1,1,0 𝐺𝐸𝑉(𝜉(𝑡),𝛼(𝑡),𝜅) 𝜉(𝑡) = 𝜌0 + 𝜌1𝑡; 𝛼(𝑡) = 𝛽0 + 𝛽1𝑡; and 𝜅 = 𝜅0
ℳ𝑁𝑆:𝐸1,1,0 𝐺𝐸𝑉(𝜉(𝑡),𝛼(𝑡),𝜅) 𝜉(𝑡) = exp (𝜌0 + 𝜌1𝑡); 𝛼(𝑡) = 𝛽0 + 𝛽1𝑡; and 𝜅 = 𝜅0
ℳ𝑁𝑆:1,𝐸1,0 𝐺𝐸𝑉(𝜉(𝑡),𝛼(𝑡),𝜅) 𝜉(𝑡) = 𝜌0 + 𝜌1𝑡, 𝛼(𝑡) = exp (𝛽0 + 𝛽1𝑡); and 𝜅 = 𝜅0
ℳ𝑁𝑆:𝐸1,𝐸1,0 𝐺𝐸𝑉(𝜉(𝑡),𝛼(𝑡),𝜅) 𝜉(𝑡) = exp (𝜌0 + 𝜌1𝑡); 𝛼(𝑡) = exp (𝛽0 + 𝛽1𝑡); and 𝜅 = 𝜅0

Table 2 summarizes the results of the stationary HFA and the best two nonstationary

models selected according to the AIC and BIC. For the three datasets, different nonstationary

models were selected based on these criteria. At both Tacubaya and Smith River stations,

ℳ𝑁𝑆:1,0,0 appears to outperform other nonstationary models in terms of fitting (RMSE) and

fitting efficiency (AIC/BIC), but not in terms of uncertainty (CWI). At Armeria station, ℳ𝑁𝑆:2,0,0

is the best nonstationary model in terms of fitting, fitting efficiency and uncertainty. In addition,

the use of a simpler model does not always guarantee to reduce uncertainty in the nonstationary

approach, as ℳ𝑁𝑆:1,1,0 and ℳ𝑁𝑆:1,𝐸1,0, which are of more model parameters, yield the lower

uncertainty at both Tacubaya and Smith River stations, respectively.

At Tacubaya station, the nonstationary HFA significantly enhances the efficiency of the

fitting, as both the AIC and BIC of the nonstationary models are largely smaller than those of the

stationary HFA; whereas at Armeria and Smith River stations, the enhancement in the fitting of

the nonstationary HFA is not as efficient as that at Tacubaya station. In the aspect of the

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uncertainty, ℳ𝑆 yields better results than the nonstationary models at Armeria and Smith River

stations as it produces the lowest CWI, but not at the Tacubaya station. Furthermore, the

stationary HFA can also be superior to the nonstationary HFA (in some model structures) in

terms of fitting efficiency. For example, ℳ𝑆 yields a lower BIC than ℳ𝑁𝑆:1,𝐸1,0 at Smith River

station.

It has been generally accepted that the nonstationary HFA, which have a higher flexibility

compared to the stationary HFA, would produce better results in the fitting, but possibly with an

elevated level of uncertainty introduced from the nonstationary model structure. The results from

the comparison demonstrate that the performance of the nonstationary HFA is sensitive to the

model structure, while the stationary HFA does not always outperform the nonstationary HFA in

terms of uncertainty, and vice versa in terms of the efficiency of the fitting. Recall that different

patterns of nonstationarity were detected from the three datasets. Therefore, whether the

stationary or nonstationary HFA is superior is potentially associated with the selected

nonstationary model structure and the pattern of nonstationarity of the underlying dataset. These

findings also call for advancing the understanding of the nonstationary HFA as well as the

stationary HFA, whose performance under nonstationarity has not been investigated in the

literature yet.

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Table 2. Summary of the uncertainty and accuracy metrics for the illustrative cases of study by

adopting stationary and nonstationary HFAs.

Model AW (*) POC (%) CWI (*) RMSE (*) AIC BIC
Tacubaya (*unit: mm/day)
ℳ𝑆 6.95 95.49 6.88 2.18 100.97 109.38
ℳ𝑁𝑆:1,0,0 5.79 99.18 5.33 1.10 19.44 30.66
ℳ𝑁𝑆:1,1,0 5.63 99.18 5.18 1.11 22.29 36.31
Armeria (*unit: mm/day)
ℳ𝑆 21.35 95.45 21.15 7.60 139.88 146.45
ℳ𝑁𝑆:2,0,0 25.77 96.97 24.78 6.13 129.64 140.59
ℳ𝑁𝑆:1,𝐸1,0 26.69 96.97 25.66 6.23 130.79 141.74
Smith River (*unit: m3/s)
ℳ𝑆 351.05 97.73 332.42 79.29 390.84 398.27
ℳ𝑁𝑆:1,0,0 374.79 98.86 346.92 74.76 387.65 397.56
ℳ𝑁𝑆:1,E1,0 362.76 97.73 343.50 74.85 389.77 402.16

3.2 Effect of Nonstationarity on the Stationary Approach in the Simulation Study

3.2.1 Analysis accuracy in estimated quantiles

Fig. 3 shows the calculated three accuracy metrics corresponding to each investigated λ

for each GEV subfamily in Scenario 1. As shown in Fig. 3, there are an obvious and consistent

decline in R2, and increases in RMSE in their medians and variation ranges with the increase in

the degree of nonstationarity (the absolute magnitude of λ) for all three GEV subfamilies.

Although the increase in the median of Bias with the increase of the degree of nonstationarity is

not prominent, the increase in its variation ranges is noticeable for all three GEV subfamilies.

Overall, the model accuracy deteriorates with the increase in the degree of nonstationarity in the

mean of the dataset. When comparing these three GEV subfamilies, the EV2 is most sensitive,

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while the EV3 is most insensitive to the degree of nonstationarity. Furthermore, the dependence

of the model accuracy on the degree of nonstationarity appears to be non-linear.

Figure 3. Variations of three accuracy metrics along with the degree of nonstationarity in the

mean (Scenario 1).

Similar to Scenario 1, in Scenario 2, the model accuracy also deteriorates with the

increase in the degree of nonstationarity (namely WNF) for all three GEV subfamilies. The

median of R2 decreases and the median of RMSE increases with the increase of WNF, while their

variation ranges enlarge with the increase of WNF (Fig. 4). Although the change in the median

of Bias is absent, the increase in its variation range is obvious (Fig. 4). In addition, among the

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three GEV subfamilies, the accuracy metrics of the EV2 are more sensitive to the WNF in terms

of both the median and range compared to those of the EV1 and EV3. The results from both

Scenarios 1 and 2 demonstrate the dependency of the analysis accuracy on the nonstationarity

and the accuracy deterioration with the increase of the degree of the nonstationarity.

Figure 4. Variations of three accuracy metrics along with the degree of nonstationarity in the

variance (Scenario 2).

3.2.2 Analysis uncertainty in estimated quantiles

The selected four uncertainty metrics were estimated to examine the evolution of the

level of uncertainty in the quantile estimates with the increase in the degree of nonstationarity in

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Scenarios 1 and 2. In both scenarios, among these four uncertainty metrics, AW and ADA show

evident increases in their medians with the increase of the degree of nonstationarity, whereas the

medians of AAD and POC appear to be more or less stable (Figs. 5 and 6). Furthermore, the

variation ranges of all these metrics enlarge with the increase of the degree of nonstationarity in

both scenarios. AAD always remains lower than 0.5; thus, the produced uncertainty bounds are

considered symmetrical (Alvisi & Franchini, 2011; Xiong et al., 2009). Therefore, among these

four uncertainty metrics, AW and ADA appear to be relatively more sensitive to the degree of

the nonstationarity compared to AAD and POC. In addition, all three GEV subfamilies, overall

respond to the degree of nonstationarity in the same manner but at different magnitudes in both

scenarios. Similar to the effect of nonstationarity on the analysis accuracy, its effect on the

analysis uncertainty appears to be most prominent in the EV2, followed by the EV1 and EV3.

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Figure 5. Variations of four uncertainty metrics along with the degree of nonstationarity in the

mean (Scenario 1).

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Figure 6. Variations of four uncertainty metrics along with the degree of nonstationarity in the

variance (Scenario 2).

These results reveal the elevation of uncertainty level in the quantile estimates due to the

increase in the degree of nonstationary in both mean and variance. Hence, the increment in the

degree of nonstationarity would lead to the deterioration of analysis uncertainty besides the

degradation of analysis accuracy. The effects of nonstationarity on the analysis accuracy and

uncertainty are clearly illustrated in the simulation study, which is performed given a specific

parent distribution (GEV) with a given distribution parameter set. Note that the introduction of

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the nonstationarity in the mean and variance leads to the change in the selected best-fit

distribution and distribution parameters estimated in the analysis. Thereby, similar results can be

speculated for different parent distributions and distribution parameters’ values.

In addition, when producing the uncertainty bounds, the trade-off between the two widely

used uncertainty metrics, namely the POC and AW, has been well acknowledged (Alvisi &

Franchini, 2011; Kasiviswanathan et al., 2017; Xiong et al., 2009). For instance, the

improvement in the POC would sacrifice the AW. In the simulation study, the POC is somewhat

constrained in the PF, as the particle ensemble evolution is continuously perturbed by noise to

cover a range wide enough in the state space to avert sample impoverishment, and consequently

embrace most observations. Thus, the POC varies in a small range of 93% - 100% in all different

degrees of nonstationarity in both scenarios (Figs. 5 and 6). Due to the implicit constraint on the

POC, the effect of the nonstationarity on the analysis uncertainty might be better reflected by the

AW. Irrespective of the slight decline in the POC, the apparent increment in the AW with the

increased degree of nonstationarity strongly suggests the association between the nonstationarity

and the analysis uncertainty.

3.2.3 Sources of uncertainty

In the HFA (either stationary or nonstationary), distribution selection is a critical

component. The trajectories of the ensemble means of the L-skewness and L-kurtosis of the

generated datasets along with the nonstationarity degree on the L-moment ratio diagram suggest

that different best-fit distributions should be selected in the simulation for the three GEV

subfamilies in both scenarios (Fig. 7(a)). Regardless of the parent distribution, different best-fit

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distributions are selected at different degrees of nonstationarity as well as even at the same

degree of nonstationarity in each scenario (Fig. 7(b)). In general, the percentage of the datasets

best fitted by the parent distribution decreases with the increase of nonstationarity degree in

Scenario 2; whereas in Scenario 1, the percentage appears to slowly recover at high degrees of

nonstationarity. Table 1 further presents the Pearson correlation coefficients of the accuracy and

uncertainty metrics with the L-distance in both scenarios for the three GEV subfamilies. The

correlation coefficients demonstrate that the dependency of the analysis accuracy and uncertainty

metrics on the L-distance ranges from weak to medium. Among these metrics, R2, RMSE, AW,

and ADA appear to be more dependent on the L-distance either positively or negatively. The

results are consistent with the relatively larger variations in these metrics (Figs. 3-6). Therefore,

the selection of distribution might be one source of uncertainty when dealing with nonstationary

datasets using the stationary HFA.

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Figure 7. (a) The trajectories of the ensemble means of the L-skewness and L-kurtosis of the

generated datasets on the L-moment ratio diagram and (b) the percentages of the best-fit

distributions selected in Scenarios 1 and 2. The arrows in (a) indicate the direction of the

increase of nonstationarity (|λ| in Scenario 1 and WNF in Scenario 2).

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Table 3. Pearson correlation coefficients of the accuracy and uncertainty metrics on the L-

distance to the best-fit distribution in both simulation scenarios for all three GEV subfamilies.

Significant coefficients are in boldface at the significant level of 5%.

Correlation Scenario 1 Scenario 2

coefficient EV2 EV1 EV3 EV2 EV1 EV3
Accuracy metrics
R2 -0.34 -0.33 -0.41 -0.56 -0.33 -0.29
RMSE 0.37 0.37 0.44 0.57 0.35 0.28
Bias 0.08 0.01 -0.03 0.05 0.09 -0.01
Uncertainty metrics
AW 0.35 0.35 0.45 0.54 0.31 0.28
POC -0.10 -0.23 -0.22 -0.05 -0.07 -0.10
ADA 0.41 0.39 0.47 0.61 0.35 0.31
AAD 0.25 0.23 0.17 0.03 0.07 0.09

In the context of nonstationary HFA, a concern has been raised regarding the use of the

same distribution but with varying distribution parameters, which could potentially introduce

considerable uncertainty (Ouarda & Charron, 2019). As previously discussed, uncertainty

originated from distribution selection might not be dominant as the uncertainty metrics as well as

the accuracy metrics are not largely explained by the L-distance. To compare this uncertainty

source with the source due to ignoring the nonstationarity in the stationary HFA, the above

results (using the best-fit distribution) are further compared to the results of a new set of

simulations, in which the parent distribution (GEV) is used as the default distribution for the

EV2 as an example (Figs. 8 and 9). Recall that the EV2 is identified to be the most sensitive to

the nonstationarity among the three GEV subfamilies. It is apparent that in the stationary HFA,

the use of best-fit distribution and the use of the parent distribution produce similar results in

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terms of variation patterns of these metrics with the degree of nonstationarity. Namely, both the

analysis accuracy and uncertainty deteriorate with the increase of the degree of nonstationarity in

both scenarios. The comparison of the medians and uncertainty bounds in these two simulation

cases shows that, in general, the use of the best-fit distribution would lead to an improvement,

especially at high degrees of nonstationarity. Similar results are obtained for the EV1 and EV3

(data not shown for brevity). This comparison suggests that the distribution selection would

introduce uncertainty into the analysis, but it is not the primary source of uncertainty compared

to the nonstationarity in the stationary HFA. Consequently, the uncertainty primarily originates

from the ignorance of the nonstationarity in the stationarity HFA. Note that the uncertainty from

other sources (e.g. measurement error, sample size, parameter estimation method and distribution

selection technique) are not considered in the simulation study.

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Figure 8. The variations of model accuracy metrics with the degree of nonstationarity when

using the parent distribution and the best-fit distribution in Scenarios 1 and 2 for the EV2.

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Figure 9. The variations of uncertainty metrics with the degree of nonstationarity when using the

parent distribution and the best-fit distribution in Scenarios 1 and 2 for the EV2.

A consensus has not been reached on whether the nonstationary HFA always outperforms

the stationary HFA, particularly in terms of analysis uncertainty. When nonstationarity is

detected in the underlying datasets, the selection of the use of either the stationary or

nonstationary HFA is always a question faced by practitioners. As shown by the results of the

simulation study, the level of uncertainty appears to be strongly associated with the degree of

nonstationarity (in the mean and variance here) in the stationary HFA. In addition, the

nonstationarity is identified to be the primary source of uncertainty in the stationary HFA.

Although the primary source(s) of uncertainty might be different in these two different HFAs,

the uncertainty level is believed to be directly or indirectly associated with the degree and/or

40 of 57
complexity of nonstationarity to a certain extent. Thus, these should be taken into consideration

when developing a framework for selecting an appropriate approach.

3.2.4 Parameter uncertainty under nonstationarity

Considering that the parameter estimates of the same distribution type would allow for a

fair comparison under different degrees of nonstationarity in the simulation scenarios, the

parameter uncertainty is examined in the case of using the parent distribution (GEV here). Fig.

10 displays the evolution of the parameter estimates along with the degree of nonstationarity in

both scenarios for the EV2, as an example. As illustrated in Fig. 10, in Scenario 1, the median of

the estimated ξ increases proportionally to λ, whereas its change with WNF is negligible in

Scenario 2. As for estimated α, the change in its median and variation ranges are prominent in

both scenarios. In Scenario 2, the linear trend introduced into the variance of the datasets is well

reflected into the observed linearly increasing pattern in α. The estimated κ appears to

continuously and nonlinearly change with the nonstationarity degree in terms of its median;

whereas the increase in its uncertainty interval is apparent at the lower degrees of nonstationarity

(i.e., |𝜆| ≤ 10° and WNF ≤ 0.0010) and the further increase of the nonstationarity appears to not

widen the interval considerably in both scenarios. In contrast, the uncertainty intervals of both

estimated ξ and α consistently increase with the increase in the nonstationarity degree in both

scenarios.

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Figure 10. Variations of estimated distribution parameters along with the degree of

nonstationarity in the mean (Scenario 1) and variance (Scenarios2) for the EV2 when using the

parent distribution.

In general, the uncertainty interval of the distribution parameters responds to the

nonstationarity degree similarly in both scenarios. The uncertainty level of all three parameters

increases with the increase of the nonstationarity degree. This result is consistent with the

observed increased uncertainty in the estimated quantiles with the increase of the nonstationarity

degree (Fig. 9). Among these three distribution parameters, the uncertainty of ξ increases with

the nonstationary degree in Scenarios 1 and 2, but its median tends to remain more or less

42 of 57
constant in Scenario 2. The different behavior of the uncertainty in ξ in these two scenarios can

be explained by the fact that the introduction of a temporal trend in the variance (Scenario 2)

does not lead to any change in the mean of datasets, but the introduction of a temporal trend into

the mean (in Scenario 1) would simultaneously result in a rise in the variance of the dataset. The

results argue that the nonstationarity in the higher order moments (e.g., variance) besides mean,

influences the uncertainty in all three distribution parameters of GEV. However, conventionally,

only the temporal trend in the mean of an underlying dataset has often been used to judge the

presence of nonstationarity. Therefore, when sample size permits, diagnosing nonstationarity

pertaining to variance and/or higher moments would be beneficial, as the high order moments of

underlying datasets also affect the distribution parameters and consequently, the analysis

accuracy and uncertainty.

4 Conclusions

Aiming to better understand the stationary HFA under nonstationary scenarios, this paper

illustratively compared the stationary and nonstationary HFAs through their real applications,

and investigated the effects of the nonstationarity (known a priori) in both the mean (Scenario 1)

and the variance (Scenario 2) on the performance of the stationary HFA through a simulation

study. The comparison showed that either the stationary or nonstationary HFA could be superior

to the other in terms of fitting efficiency and/or uncertainty depending on the cases. The results

from the simulation study further demonstrated the effects of the nonstationarity on the

stationary HFA, namely, the increase in the nonstationarity degree would lead to the

deterioration of the analysis accuracy and the elevation of uncertainty in the estimated

distribution parameters and quantiles. Such effects of the nonstationarity were found to be

43 of 57
sensitive to the tail characteristics of the datasets (i.e., the shape parameter of the distribution).

Moreover, the simulation results also revealed that in the stationary HFA, the nonstationarity is

the primary source of uncertainty while the distribution function selection is another, but a

secondary source of uncertainty.

In practice, the guidelines and/or frameworks for selecting between the stationary and

nonstationary HFAs are still unavailable. The selection has been mainly conducted based upon

incomplete understanding and/or subjective perspective, which might hinder the goal of

producing the best possible results (in terms of accuracy and reliability/uncertainty). The results

of this paper call for formulating the framework for selecting between the stationary and

nonstationary HFAs considering the degree and/or complexity of nonstationarity. More

comprehensive research on their comparison, other possible sources of uncertainty, systematic

quantification of nonstationarity as well as on the physical process(es)/driver(s) behind the

nonstationarity (especially for the nonstationary HFA) is recommended for developing a

practically useful framework.

Acknowledgments

The first author of this paper is funded by a doctoral Scholarship from the National Council for

Science and Technology of Mexico (CONACYT) and the Universidad de Guadalajara. This

work is also partially funded by the Discovery Grant of Natural Sciences and Engineering

Research Council held by the second author.

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Credit Author Statement

Cuauhtémoc Tonatiuh Vidrio-Sahagún: Conceptualization, Methodology, Formal Analysis,

Investigation, Writing – Original Draft, Visualization
Jianxun He: Supervision, Writing- Reviewing and Editing, Resources, Funding acquisition
K. S. Kasiviswanathan: Supervision, Writing- Reviewing and Editing
Subhamoy Sen: Supervision, Writing- Reviewing and Editing

Highlights:

 The particle filter is employed to conduct the stationary and nonstationary HFAs.

 Either the stationary or nonstationary HFA can be superior depending on cases.

 The degree of nonstationarity affects the overall performance of the stationary HFA.

 Ignoring nonstationarity is the primary uncertainty source of the stationary HFA.

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