HYDROLOGY

Lesson 5
Method of L-moments, Statistical testing

Stefania Tamea
 METHOD OF L-MOMENTS
Principle is the same: equate the sample and distribution characteristics
xsup
Br = ∫ ⋅ ⋅ p ( x ) ⋅ dx
r
x P ( x ) Probability weighted moments
xinf

The r power is applied to the probability

( x − x ) r → x ⋅ P( x) r
instead of to the distance from the mean
Br is linear with respect to x

L-moments are linear combination of moments Br, thus are linear in x as well
L1 = B0 = µ Equal to the mean (location parameter)
L2 = 2 B1 − B0 Analog of the variance (dispersion)
L3 = 6 B2 − 6 B1 + B0 Analog of the 3rd order moment (simmetry, L3=0 symmetric)

The method equates the L-moments (and NOT the probability-weighted

moments B) because L are better related to the distribution
 L-MOMENTS OF SAMPLE
Sample equivalent of the probability weighted moments
1 n (i − 1)(i − 2)...(i − r )
br = ∑ x(i ) 𝑥𝑥(𝑖𝑖) are sample elements sorted
n i =1 ( n − 1)(n − 2)...(n − r )
in ascending order

1 n
b0 = ∑ x(i ) = x Equal to the sample mean (sorting desn’t matter)
n i =1
1 n (i − 1) 𝑖𝑖−1
b1 = ∑ x(i ) 𝑛𝑛−1
is a weight  increases for larger elements
n i =1 ( n − 1)
1 n (i − 1)(i − 2)
b2 = ∑ x(i ) First r weights are 0 then quadratic with i
n i =1 ( n − 1)(n − 2)

Relation between probability weighted moments l1 = b0 = x

l2 = 2b1 − b0
and L-moments is equal to those of the distribution
l3 = 6b2 − 6b1 + b0
 STATISTICAL INFERENCE – STEP 4
STEP 4: VERIFY THE PROBABILISTIC MODELS WITH GOODNESS-OF-FIT TESTS
We need to quantify how well the probabilistic models adapt to the sample

STATISTICAL TEST: procedure to verify if a certain hypothesis H0 is acceptable

EXAMPLE of H0 :
a sample is taken from a symmetrical distribution

A test variable is necessary, for example CA.

Let’s pick a sample from a Normal distribution. Is the sample-CA equal to 0? No
 Sample variability: CA is a random variabile. p (CA)
Taking different samples from the same distribution,
different CA are obtained. It will never be 0!!

SET THE LIMIST OF ACCEPTANCE OF HYPOTESIS H0 CA

 STATISTICAL TESTS
Set a LEVEL OF SIGNIFICANCE (α) which is a
p (CA)
probability of rejecting a true hypothesys (e.g 5%)
This identifies a the reject region. If the test
α /2 α /2
variable has ONE TAIL, the probability is excluded
CA
on the right tail. If the test variable has TWO TAILS, CA− CA+

the probability α /2 is excluded on the left and

right tails.

The reject region is defined by the LIMITS OF ACCEPTABILITY (𝐶𝐶𝐶𝐶− , 𝐶𝐶𝐶𝐶+ )

• H0 accepted if 𝐶𝐶𝐶𝐶− ≤ 𝐶𝐶𝐶𝐶 ≤ 𝐶𝐶𝐶𝐶+ , within these limits it’s like if 𝐶𝐶𝐶𝐶 = 0
• H0 rejected if 𝐶𝐶𝐶𝐶 < 𝐶𝐶𝐶𝐶− or 𝐶𝐶𝐶𝐶 > 𝐶𝐶𝐶𝐶+

Outside limits of acceptability (in the rejection region), the hypothesis may be
true but we do not accept it (otherwise we would accept everything)
 ERROR TYPE 1
ERROR OF TYPE 1: hypothesys H0 is rejected but true
As in the case of a Normal distribution: if the sample has large 𝐶𝐶𝐶𝐶, symmetry
hypothesys is erroneously rejected
p (CA)
NO YES NO

CA
CA− CA+
The level of significance quantifies the probability of having an error of type 1
Greater α, greater SIGNIFICANCE of the test = more RESTRICTIVE test because
limits of acceptability are closer to 0
Smaller α, less RESTRICTIVE (limits are wider) and less error of type 1 
Is a good solution to consider small α?
NO
 ERROR TYPE 2
PROBLEM: take a non-simmetrical distribution and extract samples from it. Their
𝐶𝐶𝐶𝐶 will be larger (with frequencies shifted to the right), but how much?
p (CA)
NO YES NO

CA | simm CA | asimm

CA
CA− CA+

ERROR OF TYPE 2: hypothesys H0 is accepted but false

As in the case of a non-symmetrical distribution: if the sample has small 𝐶𝐶𝐶𝐶,
symmetry hypothesys is erroneously accepted
 ERROR TYPE 2
PROBLEM: take a non-simmetrical distribution and extract samples from it. Their
𝐶𝐶𝐶𝐶 will be larger (with frequencies shifted to the right), but how much?
p (CA)
NO YES NO

CA | simm CA | asimm

CA
CA− CA+

ERROR OF TYPE 2: hypothesys H0 is accepted but false

As in the case of a non-symmetrical distribution: if the sample has small 𝐶𝐶𝐶𝐶,
symmetry hypothesys is erroneously accepted

Probability of accepting H0 and

having an error of type 2
 ERRORS
Solution for the choice of the level of significance α: a COMPROMISE between
errors of type 1 and type 2
α  min 1% (less type-1 errors) - max 10% (less type-2 errors)

H0 TRUE H0 FALSE CONTINGENCY TABLE:

H0 accepted
Test correct
Error TYPE 2 double entry table to
(POSITIVE test) (false positive)
study the relation
H0 rejected Error TYPE 1
Test correct
among 2 variables
(NEGATIVE test) (false negative)
 PROCEDURE
 Define the null hypothesis H0 (about the population)
 Identify the quantitative test metric
 Test metric must have a known distribution
 Set the level of significance and the limits of acceptance
 Compare test metric and limits
 Conclusion about H0

NOTES
- One-tail (positive values) or two-tail (negative and positive values) tests
- Usually, rejection does not imply acceptance of the alternative hypothesis
- Trade-off between small and large α (1%-10%)

In statistical inference, we need GOODNESS-OF-FIT TESTS:

H0 is «the sample is drawn from such distribution with such parameters»
2 examples: Pearson test (or χ2) and Anderson-Darling test