HYDROLOGY

Lesson 2
Return period, cdf and pdf

Stefania Tamea
 (FLOOD) FREQUENCY ANALYSIS
With an infinitely long record of measurements, a frequency distribution would
tell us all information about the occurrence of extreme events (eg. frequency of
exceedance of any value)

But available data are not infinite and often insufficient

 Need to extract information from limited data

Let’s first introduce the statistical meaning of the RETURN PERIOD

 Return Period
EXTREME EVENT: when a random variable Q is greater than some level QT
RECURRENCE INTERVAL, τ : time between the occurrences of events (random var.)

Q τ1 τ2 τ3 τ4

QT
t

RETURN PERIOD, T, is the expected value of τ, i.e. the mean recurrence interval
measured over an infinite number of occurrences, or
∞
T = E[τ ] = ∑τ ⋅ prob(τ )
τ =1
 Return Period
Let’s call p = Pex (Q ≥ QT )
The probability p(τ) of a recurrence after τ years is the product of probabilities of
independent events:
- probabilities of not having the event (ie. 1- p) for (τ -1) years
- probability of finally having the event (ie. p) :

prob(τ ) = (1 − p )τ −1 ⋅ p

∞
The return period is thus (with an infinite sum of terms): T = ∑τ ⋅(1 − p )τ −1 ⋅ p
τ =1

The infinite summation equals the power series expansion, i.e.

∞
1
T = p ⋅ ∑τ ⋅(1 − p )τ −1 = p ⋅ [1 − (1 − p )]− 2 =
τ =1 p
 Return Period
Recalling the meaning of p in terms of non-exceedance probability:
1 1
T= =
Pex (Q ≥ QT ) 1 − Pnonex

EXERCISE: Take an event with return period of T years.

What is the probability that it will occur at least once in N years?

No events in N years (1 − p) N
 At least once in N years 1 − (1 − p) N N (years) P occurrence
(for T=100)
N 1 0.01
 1 10 0.096
P = 1 − 1 − 
 T 100 0.634
 STATISTICAL INFERENCE
GOAL: estimate a design value associated to a given return period or exceedance
probability, based on a finite number of observations
MEANS: from finite data sample, infer information about the population (infinite
possible values the random variable may assume)

FOCUS DATA: extreme (largest) events at annual scale (return period in years)

HYPOTHESYS: sample elements are independent and identically distributed (iid)

 STAT. INF. – Step 1

STEP 1: SAMPLE DESCRIPTION (graphics and metrics) + IDENTIFY IF SAMPLE IS

DRAWN FROM A UNIQUE POPULATION
• Random or deterministic data?
• Outliers  verification of extreme events
• Step changes (change of instruments, setting, conditions)  verifications
• Trends (time series and generating process is NON STATIONARY) 
regression analysis, trend tests, define the random variable in time
 STAT. IF. – Step 2
STEP 2: CHOICE OF THE PROBABILITY DISTRIBUTION
Use the sample to understand from which population it is drawn, despite the
F (x)
SAMPLE VARIABILITY 1
Mean, variance and all
descriptors are random Two samples drawn from
variables as well! same population:
0 x

Increasing the number of elements (sample size), height of steps will decrease
and curves get close: SAMPLE VARIABILITY DECREASES
F (x)
1 Increasing the size  Population
i
n→∞ F ( x(i ) ) = →0
n

0 x continuous curve: CUMULATIVE

DISTRIBUTION FUNCTION P ( x) = lim F ( x(i ) )
n →∞
 Cumulative Distribution Function
Since we do not have an infinite sample, a MATHEMATICAL MODEL is necessary to
represents the curve. Such model is a…
CUMULATIVE DISTRIBUTION FUNCTION (or CDF), P(x),
is the probability of NON-EXCEEDANCE of the value of x
Properties: 0 ≤ P ( x) ≤ 1, ∀x
P ( x) is monotonic

Inverse function is the QUANTILE FUNCTION, expressing the smallest x (quantile)

with non-exceedance probability greater than P

A design problem becomes a QUANTILE EXTRACTION, ie. to find x so that

P(x)=0.99 (or exceedance probability, Pex(x)=0.01)
 CDF example
Non exceedance probability described by an
exponential distribution (indicates the «shape») P( x) = 1 − e − x / θ
θ is the parameter of the distribution
Parametric family of CDF
Is this function a CDF? 1
Yes, it is monotonic, then θ<
P ( xinf ) = P (0) = 0 θ>
P ( xsup ) = lim P ( x) = 1 0 Q
x →∞

QUANTILE EXTRACTION requires the inversion of the CDF formula, i.e.

x = −θ ⋅ ln(1 − P )

Then compute x so that P=1-Pex=0.99. Result: x = 4.6·θ

 Probability density function
P(x)
Given a non-exceedance (cumulative) 1

distribution function, what is the P(x*)

probability associated to a given value?

0 x
x*
Answer given by the PROBABILITY DENSITY p (x)
FUNCITON (PDF): dP ( x )
p( x) =
dx
x* P(x*)
P ( x*) = ∫ p( x)dx 0 x*
x
xinf
p(x*): probability to draw a value near x*
(with continuous variables, probability p (x)
associated to single values is 0)
f (x)
FREQUENCY DENSITY, f(x): referred to the 0 x
∆x
sample