WATER RESOURCES RESEARCH, VOL. 41, W01009, doi:10.

1029/2004WR003075, 2005

On the probability of droughts: The compound renewal model

Hugo A. Loáiciga
Department of Geography, University of California, Santa Barbara, California, USA

Received 3 February 2004; revised 9 October 2004; accepted 26 October 2004; published 18 January 2005.

[1] Droughts influence the planning and design of water supply infrastructure.
Hydrologists ascertain drought duration, severity, and pattern of recurrence from
instrumental and reconstructed records (e.g., using tree rings) of streamflow and
precipitation. This work introduces a compound renewal model for the probabilistic
analysis of multiyear drought recurrence. The compound renewal process generalizes
the Poisson process. In the former the interarrival time between two consecutive events is
the duration of nondrought conditions, and the events (i.e., droughts) have a probabilistic
duration of at least q years. The sum of the interarrival time and its subsequent drought
duration is called the renewal time, which regenerates over time according to probabilistic
laws derived in this work. Drought severity is incorporated in the analysis by means of a
threshold quantile (e.g., the median or the average), so that low-streamflow conditions
become a drought whenever they last over q years. A case study dealing with a river basin
that has multiyear storage capacity, and in which droughts recurred frequently in the
twentieth century, demonstrates the analytical power of the compound renewal model.
Citation: Loáiciga, H. A. (2005), On the probability of droughts: The compound renewal model, Water Resour. Res., 41, W01009,
doi:10.1029/2004WR003075.

1. Introduction data. The compound renewal model generalizes classical

[2] Droughts inflict considerable economic and social
damage worldwide [Bryant, 1991]. Their frequent and
irregular occurrence has been a prime reason for the
planning and construction of water resources infrastructure
intended to increase the reliability of water supply in
drought-prone areas. The understanding of drought recur-
rence, duration, and severity is of vital importance to water
supply because droughts exacerbate the scarcity of natural
water sources [Loáiciga and Renehan, 1997]. Compound-
ing the task of water planning for drought abatement,
present-day climate simulation capabilities do not permit
reliable long-range forecasting (i.e., over decadal time-
scales) of regional droughts, of their severity, duration,
and spatial coverage [Loáiciga et al., 1996; Mahlman,
1997; Grassi, 2000; Kerr, 2000; Forest et al., 2002].
Because of the limitations surrounding long-range climate
prediction, water planners rely on the study of the past
climate to gain insights about the probable future climate.
They analyze instrumental records of streamflow and pre-
cipitation, the two key variables in regional water planning,
to extract from them information about the probabilistic
nature and recurrence of droughts. In the absence of
significant regional climatic change, it is reasonable to
expect observed drought behavior to repeat itself, in a
statistical sense, in the future, say, a century hence [Loáiciga
et al., 1992a, 1993; Loáiciga and Leipnik, 1996; Chung and
Salas, 2000; Shiau and Shen, 2001]. This is a fundamental
premise underlying the probabilistic study of droughts.
[3] This article introduces a compound renewal model for
the probabilistic analysis of (multiyear) drought recurrence
and tests its descriptive power with historical streamflow
Copyright 2005 by the American Geophysical Union.
0043-1397/05/2004WR003075$09.00
W01009
renewal theory [Feller, 1957; Parzen, 1964; Ross, 1993;
Loáiciga and Leipnik, 1996]. It is built upon the probabi-
listic distribution of the renewal time. The latter is the sum
of the interarrival time between two consecutive events
(droughts, in this case) and the duration of the event itself.
The interarrival time and drought may have arbitrary dis-
tributions, which are dictated by the physical phenomenon
being modeled. Once the probability distribution of the
renewal time is obtained from those of its two building
blocks, it becomes the key to derive other probabilistic
entities of interest in drought analysis. Among those are the
drought risk, the expected number of droughts, the proba-
bility of an arbitrary number of droughts in a specified
period, and higher moments of the number droughts, all of
which are expressed in terms of novel equations as shown in
the following sections. Furthermore, the severity of drought,
determined by the degree of dryness during several consec-
utive years, is easily handled within the framework of the
compound renewal model, making the latter well suited for
the quantitative description of protracted drought. A case
study dealing with a river basin that has multiyear storage
capacity, and in which droughts recurred frequently in the
twentieth century, demonstrates the analytical power of the
compound renewal model.
2. A Definition of Drought
[4] Drought is defined herein as an extended period of
low streamflow during which the natural water supply is not
sufficient to meet normal water needs. Low streamflow is
equated in this work with below-median annual streamflow.
An ‘‘extended period’’ is one that causes stress to human
and environmental water uses, and it is meaningful only in
the context of specific water supply and water use con-
ditions in a given regional setting. In regions with multiyear
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W01009 LOÁICIGA: ON THE PROBABILITY OF DROUGHTS
reservoir carryover capacity, 3 or more years of below-
median streamflow typically give rise to stressful water use.
Many river basins in the semiarid western United States are
a case in point [Loáiciga et al., 1992a, 1993; Loáiciga and
Leipnik, 1996]. This definition of drought is tailored for the
planning, design, and management of regional water supply
systems with interannual storage carryover capacity. This is
in contrast to other drought indicators that measure the
extent of dry weather. Prominent among the latter is the
Palmer Drought Severity Index (PDSI) [see Karl, 1983;
Gutman, 1998]. Dracup et al. [1980] provide a more
elaborate review of drought definition.
3. Probabilistic Nature of Droughts
3.1. Basic Distributions
[5] Droughts exhibit peculiar probabilistic characteristics
[Sen, 1977, 1980; Loáiciga and Leipnik, 1996; Chung and
Salas, 2000]. A compound renewal process is proposed to
describe drought recurrence. Prior to describing such a
process, consider two basic probability density functions.
Let qp denote the pth quantile of the probability density
function (pdf) of annual streamflow, in which qp could
denote the median, for example (with p = 0.50). Further-
more, suppose that a drought occurs whenever there are q
or more consecutive years whose annual streamflows are
less than qp. The pdf, fD(t), of drought duration (D), is
modeled with a truncated exponential distribution (with
shape parameter a1):
f D ðtÞ ¼ a1 ea1 ðtqÞ t  q; a1 > 0 ð1Þ
The truncated exponential pdf has been found to fit
multiyear droughts well in river basins of the western
United States (Zelenhastic and Salvai [1987], Loáiciga and
Leipnik [1996], and Salas et al. [2004], who used its
discrete analog, the geometric probability distribution).
[6] The interarrival time (T) elapsed between the ending
of a drought and the beginning of the next drought is
modeled with an exponential pdf, fT(t), a choice supported
by previous research involving river basins in the western
United States [Loáiciga et al., 1992a, 1993; Loáiciga and
Leipnik, 1996; Loáiciga, 2002]:
f T ðtÞ ¼ a2 ea2 t t  0; a2 > 0 ð2Þ
The sum of the duration of a drought plus the subsequent
interarrival time is the renewal time, that is, R = D + T.
[7] Figure 1 illustrates the phenomenon of drought recur-
rence as a compound renewal process with a historical (i.e.,
instrumental) time series of (unimpaired) annual streamflow
in the upper Santa Ynez River (at Bradbury Dam), in Santa
Barbara County, California, from 1917 through 2000 (data
provided by the Santa Barbara County Water Agency).
Starting at time t = 0 (year 1917), there is an interval T1 =
1 year of nondrought conditions, followed by a drought of
duration D1 = 3 years. The number of droughts in the
interval (0, t = 84 years), N(t), increases from zero to one at
the end of the first drought, T1 + D1 = 4 years. The first
realization of the renewal process has a duration R1 = T1 +
D1 = 4 years. The second interarrival time T2 = 1 year
follows the first drought. At time T1 + D1 + T2 = 5 years
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W01009
Figure 1. Unimpaired annual streamflow in the upper
Santa Ynez River, California. Drought durations (in years)
are written over the horizontal lines. The dashed line
indicates median streamflow (35.2  106 m3). Data source
is Santa Barbara County Water Agency.
begins the second drought (of duration D2 = 3 years). The
number of droughts N(t) increases to two at the end of the
second drought, i.e., at time T1 + D1 + T2 + D2 = 8 years.
The second renewal time has a duration R2 = T2 + D2 =
4 years, and the regeneration of renewal times continues in
similar fashion until the end of the time series. Notice that
the duration of droughts must be at least q years, where q is
the threshold that triggers the onset of drought (set equal to
3 years in Figure 1 [Loáiciga and Leipnik, 1996]). Eight
droughts occurred in the Santa Ynez River basin in
the period 1917 – 2000. Drought duration varied between
3 years and 5 years, with an average duration of 3.5 years.
Further analysis of the time series shown in Figure 1 is
found in section 4.
[8] Many of the statistical methodologies dealing with
drought duration and severity published in earlier papers
have followed the pioneering approach of Yevjevich [1967].
In his approach, the bivariate pdf of the cumulative water
deficit (D) and drought length (L), is given by fD,L(d, l) =
fD/L(d)fL(l), in which fD/L(d) and fL(l) are the conditional pdf
of D given L and the marginal pdf of L, respectively. The
pdfs fD/L(d) and fL(l) are specified by the analyst, thus
defining the joint pdf, from which other pds of interest are
then obtained. Several other papers dealing with drought
recurrence and the return interval of droughts have
employed times series– based, autoregressive or Markov-
type, models of streamflow. This is well exemplified by the
works of Sen [1977, 1980] and Shiau and Shen [2001]. This
article’s approach to the study of drought recurrence, on the
other hand, is a generalization of the Poisson process, in
which the pdfs of drought duration and the interarrival time
are identified and tested directly from data. Drought severity
is captured by the choice of the quantile qp of streamflow
and the duration threshold q, which are determined by the
analyst based on local conditions and empirical evidence
concerning droughts in a given region, as exemplified later
in this work. The theory presented in this article encom-
passes drought severity and recurrence jointly, leading to
closed-form, novel, expressions for the drought risk, the
W01009 LOÁICIGA: ON THE PROBABILITY OF DROUGHTS
return interval of droughts, and, for the probability distri-
bution function of the number of droughts in an interval of
arbitrary length. The pdf of the number of droughts, in
particular, is a very useful result from which many other
variables of practical interest (e.g., moments), can be
derived.
3.2. The pdf of the Renewal Time
[9] Central to the theory of this work is the pdf of
the renewal time, fR(t). It is shown in Appendix A that
fR(t) is
a1 a2 h ðtqÞa2 i
f R ðt Þ ¼ e  eðtqÞa1 tq
a1  a2
The shape parameters must differ in equation (3), a1 6¼ a2,
which is the situation of greatest practical interest. For
completeness, Appendix A presents the pdf fR(t) when a1 =

equals the
a2. The expected value of the renewal time (R)
sum of the expected values of D(= q + 1/a1) and T(= 1/a2),
or

¼qþ 1 þ 1
R ð4Þ
a1 a2
The expected value of the renewal time is a measure of the
probabilistic regularity with which droughts recur. The
analyst chooses the threshold q, while the parameters a1 and
a2 are estimated from data. For example, one approach to
estimate the parameter a2 is to use the fact that the expected
value of the interarrival time (T) is 1/a2. Therefore
one calculates the sample average of T and then estimates
the parameter a2 as the inverse of that sample average.
The average drought duration estimated from data, D, ^ is
used in conjunction with the threshold q to estimate a1 with
^  q).
1/(D
3.3. Drought Risk
[10] The risk of drought, Ht, in a time interval [0, t] is
the probability that one or more droughts occur in that
interval: Ht = P[N(t)  1] = 1  P[N(t) = 0] = 1  P[R  t] =
P[R t], in which the last probability, after integrating the
right-hand side of equation (3), equals the following:
 
a1 a2 1  eðtqÞa2 1  eðtqÞa1
Ht ¼  tq
a1  a2 a2 a1
Appendix A derives the risk for the case a1 = a2.
3.4. On the Issue of Drought Severity
[11] Several authors [Yevjevich, 1967; Salas et al., 2004]
have proposed joint probability distributions for drought
duration and severity, where the latter variable is modeled as
a deficit relative to baseline water availability. In the joint
probability approach, the marginal distributions of drought
duration and severity are obtained by integrating their joint
probability distribution. Furthermore, simplifying assump-
tions are introduced in the probabilistic characterization of
drought severity to render its marginal distribution
mathematically manageable. A key assumption is the inde-
pendence of the interannual deficits that make up the
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(cumulative) deficit defining overall drought severity. The
modeling of drought duration and severity with a joint
probability distribution is appealing, but not devoid of
simplifying assumptions. In contrast to the joint probability
approach, this work treats drought severity parametrically.
Specifically, drought severity enters the probability treat-
ment of drought recurrence through the choice of the
streamflow quantile qp, in which qp can be the median,
average, or some other suitable index of annual streamflow.
Annual streamflow less than the quantile qp is considered
low flow, and low-flow conditions become a drought
whenever they last over q years. It may be the case that as
the choice of qp changes, so does the duration threshold q. A
ð3Þ
reasonable choice of qp and q must be rooted on empirical
observations of historical droughts and their effects on water
supply. That, in fact, was the rationale for choosing median
annual streamflow and a drought duration threshold of
3 years in this study. Studies by the author and collaborators
in rivers basins and reservoir systems with multiyear carry-
over capacity of the western United States [Loáiciga et al.,
1992a, 1993; Loáiciga and Leipnik, 1996; Loáiciga, 2002]
have shown that qp equal to the median annual flow and
threshold q equal to 3 years are suitable choices in that
region. The compound renewal process parameterized in
terms of qp and q has a flexible structure, as shown in the
remainder of this article. In addition, it is mathematically
tractable and leads to sound descriptive equations, which are
derived in section 3.5.
3.5. Probability of Multiple Droughts
[12] The compound renewal process can be fully charac-
terized by the probability of k droughts in a period (0, t),
P[N(t) = k]. To derive the latter probability distribution, the
time until the end of the kth drought, Rk, is most helpful:
X
k
Rk ¼ Rr k ¼ 1; 2; 3; . . . ð6Þ
r¼1
in which the renewal time R(=R1) is distributed according to
equation (3). Note that N(t) k if and only if Rk+1 > t.
Therefore:
P½NðtÞ ¼ k ¼ P½Rk t  P½Rkþ1 t ð7Þ
k ¼ 1; 2; 3; . . . ; ½t=q
ð5Þ
where [t/q] is the integral part of t/q. Clearly, P[N(t) = 0] =
P[R > t].
[13] The key to P[N(t) = k] is the pdf of Rk, fk(t).
Appendix A shows that fk(t) equals the following expres-
sion (it was assumed, without loss of generality, that a1 > a2;
if a2 > a1 simply replace a1 with a2 and a2 with a1 in the
following equation):
1
pffiffiffi ða1 a2 Þk ðt  q kÞk2 ða1 þ a2 Þðtq kÞ
f k ðt Þ ¼ p e 2
ðk  1Þ! ða1  a2 Þk12
  
t  qk
Ik12 ða1  a2 Þ ð8Þ
2
k ¼ 1; 2; 3; . . . ; t  q k
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W01009 LOÁICIGA: ON THE PROBABILITY OF DROUGHTS
Figure 2. Histograms of the number of observed renewal
times (‘‘observed’’) and of the expected number of renewal
times (‘‘theoretical’’) in selected ranges of renewal time
duration. The histograms’ data were used to perform a
statistical goodness-of-fit test of the derived distribution of
the renewal time (see equation (3)).
in which Ik(1/2)[((t  q k)/2)(a1  a2)] is the modified
Bessel function [see Gradshteyn and Ryzhik, 1994, equation
8.467]. (Values of the modified Bessel function are
available from commercial software, such as Mathematica1
or MATLAB, which also calculate any of the other special
functions appearing in the equations of this article (see
below)). When k = 1, fk(t) = f1(t) reduces to the pdf of the
renewal time in R in equation (3). Appendix A gives fk(t)
when the shape parameters are equal. The pdf in equation (8)
is nonnegative. Furthermore, it produces a probability mass
of one when integrated over the domain t  q k.
[14] The distribution of N(t) in equation (7) involves the
cumulative distribution function, cdf, of R k , which
is obtained by integration of the pdf in equation (8) (for
a1 6¼ a2, see Appendix A):
ða1 a2 Þk Xk1
ð1Þs ðk þ s  1Þ!
PðRk tÞ ¼
ðk  1Þ! s¼0 s!ðk  s  1Þ!
" #
g½k  s; a1 ðt  q kÞ g½k  s; a2 ðt  q kÞ
þ ks
a1ks ða2  a1 Þkþs a2 ða1  a2 Þkþs
k ¼ 1; 2; 3; . . . ; t  q k
in which g[a, x] is the incomplete gamma function with
arguments a = k  s and x = aj (t  q k), j = 1 or 2 [see
Gradshteyn and Ryzhik, 1994, equation 8.350.1]. Appendix
A derives P[Rk(t) k] for the case a1 = a2 = a. Equation (9)
is used in equation (7) to construct P[N(t) = k].
[15] The expected value, E[N(t)], of the number of
droughts in a finite period (0, t), N(t), is (see Appendix A
for a derivation):
½t=q
X ða1 a2 Þk X
k1
ð1Þs ðk þ s  1Þ!
E½NðtÞ ¼
ðk  1Þ! s¼0 s!ðk  s  1Þ!
k¼1
" #
g½k  s; a1 ðt  q kÞ g½k  s; a2 ðt  q kÞ
kþs
þ ks
aks
1 ða2  a1 Þ a2 ða1  a2 Þkþs
in which a1 6¼ a2 (see Appendix A for the case a1 = a2).
W01009
[16] Higher moments of N(t) are readily obtained from
the basic probability distribution P[N(t) = k]. For example,
the variance of N(t) is
½t=q
X
s2 ¼ k2 P½NðtÞ ¼ k  ðE½NðtÞ Þ2 ð11Þ
k¼1
[17] All the special functions appearing in equations
presented above are computationally accessible with ob-
ject-oriented numerical software such as Mathematica1 or
MATLAB. The author used Mathematica1 4.0 by Wolfram
[2000] to calculate cumbersome equations (e.g., (7) – (10)).
Results are presented in section 4.
4. Calculations and Discussion of Results
[18] The calculations reported in this section are based on
statistics of the historical (unimpaired) streamflow (1917 –
2000) in the upper Santa Ynez River (see Figure 1 for a
graph of the annual streamflow). The median annual stream-
flow equals 35.2  106 m3. The drought duration threshold
used was q = 3 years. There were eight droughts between
1917 and year 2000, with an average duration of 3.5 years.
The average interarrival time between consecutive droughts
equaled 6.2 years. The estimates of the coefficients a1 and a2
of the pdf’s of drought duration and interarrival time were
2.0 and 0.16 yr1, respectively. The average renewal time
was 9.7 years.
[19] Figure 2 shows a histogram of the number of renewal
times in selected duration ranges ([3, 7],]7, 11],]11, 15], and
>15, in years) observed in the period 1917 – 2000. The
number of events in each range were counted and graphed
under the label ‘‘observed.’’ Also shown in Figure 2 is a
histogram of the expected number of renewal times in each
of the selected duration ranges (labeled ‘‘theoretical’’). The
expected number of events in a specified duration range
equals N  pi, where N is the total number of renewal times
that occurred in 1917 – 2000 and pi is the probability of the
renewal time being in the specified range. The probability pi
was obtained (after integration) from the pdf in equation (3)
ð9Þ with a1 = 2.0 yr1, a2 = 0.16 yr1, and q = 3 yr. A chi-square
test of goodness-of-fit was conducted to assess the suitabil-
ity of the derived pdf of the renewal time, which is the
fundamental building block in our probabilistic approach.
The chi-square test statistic equaled 3.50, which is less than
the theoretical c23(0.05) = 7.82. Therefore the null hypoth-
esis of a pdf of the renewal time (see the pdf in equation (3))
was not rejected at a 5% significance level. This chi-square
test is not infallible (see Loáiciga et al. [1992b] for a
discussion of this test in the context of hydrologic applica-
tions). Its power increases with the length of the tested data
set. Loáiciga and Leipnik [1996] showed this using tree ring
reconstructed annual streamflow.
[20] Figure 3 contains graphs of the pdf’s of drought
duration (fD(t)), of the interarrival time (fT(t)), and of
the renewal time (fR(t)) corresponding to the model param-
eters estimated with the 1917 –2000 streamflow data (a1 =
ð10Þ 2.0 yr1, a2 = 0.16 yr1) and q = 3 yr. Evidently, the pdf of
the renewal time is unimodal and highly skewed.
[21] Figure 4 shows the drought risk (Ht) in any period
(0, t), with t ranging between q = 3 years and 100 years.
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W01009 LOÁICIGA: ON THE PROBABILITY OF DROUGHTS
Figure 3. Probability density function (pdf) of the renewal
time R, drought duration (D), and interarrival time between
consecutive droughts (T).
Recall that the drought risk is the probability of at
least one drought in a time interval (0, t). The 100-year
time upper bound was chosen because it is a typical service
life of regional water storage facilities. It can be seen in
Figure 4 that there is approximately a 50% risk of drought
in any 8-year period, whereas the drought risk becomes
100% for any time interval in excess of 30 years.
[22] Figure 5 shows the probability of observing k
droughts (k = 0, 1, 2, 3, . . .) in any 100-year time interval
(P[N(t = 100) = k]). The mode (i.e., the most likely value) is
k = 10 droughts. It is worth noting in Figure 5 that the range
of the number of droughts k associated with nonnegligible
probabilities is relatively narrow. Specifically, nonnegligible
probabilities were obtained for k in the range [4, 16].
[23] The expected number of droughts (E[N(t)]) in any
period (0, t) in the upper Santa Ynez River is shown in
Figure 6, where t ranges between 10 to 100 years. It is
remarkable that, in spite of the mathematical complexity of
the equation for E[N(t)] (see equation (10)), the expected
number of droughts increases with increasing duration of
the period in an approximately linear fashion.
Figure 4. Drought risk in any period (0, t), upper Santa
Ynez River, California. The drought risk is the probability
of one or more droughts in a period (0, t).
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Figure 5. Probability of k droughts in any 100-year
period, upper Santa Ynez River, California.
[24] The above calculations and tests using the compound
renewal model for drought analysis demonstrate several of
its several attractive features. First, it allows the treatment of
time series data in a completely probabilistic manner, thus
avoiding problems of autocorrelation and associated com-
plications that arise in the statistical treatment of annual
streamflow data. The author and collaborators [Loáiciga et
al., 1992a, 1993; Loáiciga and Leipnik, 1996; Loáiciga,
2002] have provided ample evidence that drought duration
and the interarrival time are independently distributed, and
this is all that is needed in constructing the compound
renewal model. Second, the compound renewal model
conforms effortlessly with the observed recurrence pattern
of multiyear droughts. Third, the principles of probability
and applied mathematical analysis used in conjunction with
the compound renewal model produce elegant and useful
equations that describe drought recurrence phenomena.
Last, but not least, the compound renewal model has
built-in flexibility that permits handling drought severity
parametrically, through the specification of the threshold
quantile qp.
[25] The prediction of the drought risk, the probability of
droughts, the expected number of droughts, and like vari-
ables, is very useful in water resources research. These
probabilistic variables play a role in the sizing of reservoirs
[Loáiciga, 2002], and, in general, in the risk analysis of
water resources infrastructure. Future research involving the
compound renewal model will focus on extending historical
streamflow records with tree-reconstructed streamflow and
assessing the changes in the probabilistic description of
Figure 6. Expected number of droughts (E[N(t)]) in any
period (0, t), upper Santa Ynez River, California.
W01009 LOÁICIGA: ON THE PROBABILITY OF DROUGHTS W01009

drought risk brought about by hydrologic time series several in which Res 1 and Res 2 are the residues of the complex
centuries long. integral in equation (A6). Res 1 is given by
h iðtqkÞ i
Appendix A 1 dk1 ev þ ia2
A1. Derivation of the pdf of the Renewal Time Res 1 ¼
ðk  1Þ! dvk1
[26] One approach to obtaining the pdf of the renewal v¼ia1

time, fR(t), is to take the Fourier transform of the charac- ið1Þk Xk1
ð1Þs ðk þ s  1Þ!ðt  qkÞks1 ea1 ðtqkÞ
¼
teristic function (cf) of R. Using the fact that R = D + T, in ðk  1Þ! s¼0 s! ðk  s  1Þ!ða2  a1 Þkþs
which D and T are independent random variables, the cf of
R, CR(v), is ðA7Þ
  
a1 eivq a2 The expression for Res 2 is identical to that for Res 1,
CR ðvÞ ¼ ðA1Þ
ða1  ivÞ ða2  ivÞ with a1 replaced by a2 and a2 replaced by a1. Substitution of
pffiffiffiffiffiffiffi Res 1 and Res 2 into equation (A5) yields the pdf fk(t):
in which i = 1. The first and second terms in the right-
hand side of equation (A1) are the characteristic functions ða1 a2 Þk X k1
ðk þ s  1Þ!
of the drought duration (D) and the interarrival time (T), fk ðtÞ ¼ ð1Þs ðt  qkÞks1
ðk  1Þ! s¼0 s!ðk  s  1Þ!
respectively, whose pdf’s are given in equations (1) " #
and (2). Taking the Fourier transform of CR(v) yields ea1 ðtqkÞ ea2 ðtqkÞ
þ k ¼ 1; 2; 3; . . . ; t  q k
fR(t) (for a1 6¼ a2) ða2  a1 Þkþs ða1  a2 Þkþs
Z1 ðA8Þ
1 a1 a2 h ðtqÞa2 i
fR ðtÞ ¼ eivt CR ðvÞdv ¼ e  eðtqÞa1
2p a1  a2
1 [29] From a computational standpoint, it is advantageous
tq ðA2Þ to introduce modified Bessel functions in equation (A8).
Specifically, the modified Bessel functions used are
which is the same as equation (3). The integral in Kk(1/2)(z) [Gradshteyn and Ryzhik, 1994, equation 8.468]
equation (A2) was obtained with the method of residues and I±(k(1/2))(z) [Gradshteyn and Ryzhik, 1994, equation
[Churchill and Brown, 1990], which is presented in more 8.467], and the following relationship between them
general detail below (see equations (A6) and (A7)). The [Gradshteyn and Ryzhik, 1994, equation 8.485]:
case in which a1 = a2 = a can be treated in an analogous " #
manner. Let a1 = a2 = a in equation (A1) and then take the p Ikþ12 ðzÞ  Ik12 ðzÞ
Fourier transform of the resulting cf to obtain Kk12 ðzÞ ¼ ðA9Þ
2 ð1Þkþ1
fR ðtÞ ¼ a2 ðt  qÞeðtqÞa tq ðA3Þ
[30] The use of the modified Bessel functions and
expression (A9) in equation (A8) yields the desired form
A2. Drought Risk Equation of the pdf fk(t) (it was assumed, without loss of generality,
[27] When a1 = a2 = a, the risk Ht is obtained by that a1 > a2; if a2 > a1 simply replace a1 with a2 and a2
integrating the right-hand side of equation (A3) from q with a1 in the following equation):
to t, leading to 1
pffiffiffi ða1 a2 Þk ðt  q kÞk2 ða1 þ a2 Þðtq kÞ
Ht ¼ 1  e aðtqÞ
½1 þ aðt  qÞ tq ðA4Þ f k ðtÞ ¼ p e 2
ðk  1Þ! ða1  a2 Þk12
  
t  qk
Ik12 ða1  a2 Þ ðA10Þ
A3. The pdf of Rk and fk(t) 2

[28] The pdf of Rk can be obtained by taking the Fourier k ¼ 1; 2; 3; . . . ; t  q k

transform of its cf. Letting Ck(v) denote the cf of Rk, and
in which the modified Bessel function Ik(1/2)[z = ((t 
remembering equation (A1), Ck(v) equals
q k)/2)(a1  a2)] is [see Gradshteyn and Ryzhik, 1994,
 k  k equation 8.467]
a1 eivq a2
Ck ðvÞ ¼ CR ðvÞk ¼ ðA5Þ
ða1  ivÞ ða2  ivÞ "
1 X
k1
ðk þ s  1Þ!
Ik12 ½z ¼ pffiffiffiffiffiffiffiffi ez ð1Þs ð2zÞs
For k = 1, C1(v) is the cf of the renewal time (CR(v), see 2pz s¼0
s! ð k  s  1Þ!
#
equation (A1)). Taking the Fourier transform of the cf (A5) k z
X
k1
ðk þ s  1Þ! s
and using the method of residues, produces the pdf fk(t) of þ ð1Þ e ð2zÞ ðA11Þ
s¼0
s!ðk  s  1Þ!
Rk:

Z1 Equation (A10) is the same as equation (8). The pdf fk(t)

1 ð1Þk ða1 a2 Þk is easily shown to be nonnegative. All terms in the right-
fk ðtÞ ¼ eivt Ck ðvÞdv ¼ f2pi½Res 1 þ Res 2 g
2p 2p hand side of equation (A10), except for that corresponding
1
ðA6Þ to the modified Bessel function, are obviously nonnega-
6 of 8
W01009 LOÁICIGA: ON THE PROBABILITY OF DROUGHTS W01009

tive. The modified Bessel function is positive. This is It is easily proven by induction that P[Rk 1] = 1 for k =
demonstrable from its alternative form [Gradshteyn and 1, 2, 3, . . ..
Ryzhik, 1994, equation 8.445]: [34] When a1 = a2 = a, the cdf of Rk is obtained by
integrating the right-hand side of equation (A15) to yield
 1
z k2þ2s
X
1
2 
Ik12 ðzÞ ¼ ðA12Þ g½2k; aðt  q kÞ
s¼0 s!G k  12 þ s þ 1 P½Rk t ¼ k ¼ 1; 2; 3; . . . ; t  q k ðA19Þ
ð2k  1Þ!

which is positive for positive z, with G( ) being the gamma Either equation (A16) or (A19), as the case might be, is
function. used in equation (7) to construct P[N(t) = k].
[31] If the shape parameters are equal, let a1 = a2 = a in
the cf (A5), take the Fourier transform to obtain
A5. Expected Value E[N(t)]
Z1 [35] By definition, the expected value is
1 ð1Þk ðaÞ2k
f k ðt Þ ¼ eivt Ck ðvÞdv ¼ f2pi Resg ðA13Þ
2p 2p ½t=q
1 X
E½NðtÞ ¼ s P½NðtÞ ¼ s ðA20Þ
s¼0
in which Res is the residue:

  in which [t/q] is the integral part of t/q, and q in the threshold

1 d2k1 eivðtq kÞ duration of a drought. Equation (A20) may be rewritten as
Res ¼
ð2k  1Þ! dv2k1 follows:
v¼ia
ið1Þk ðt  q kÞ2k1 eaðtq kÞ ½t=q X ½t=q X
½t=q
¼ ðA14Þ X s X
ð2k  1Þ! E½NðtÞ ¼ P½NðtÞ ¼ s ¼ P½NðtÞ ¼ s
s¼1 k¼1 k¼1 s¼k
½t=q
X
Substitution of equation (A14) into equation (A13) results ¼ P½NðtÞ  k ðA21Þ
in the pdf fk(t) when a1 = a2 = a: k¼1

a2k From equation (A21) and the fact that N(t)  k if and only if
f k ðt Þ ¼ ðt  q kÞ2k1 eaðtq kÞ ðA15Þ
ð2k  1Þ! Rk t, the expected value E[N(t)] becomes
k ¼ 1; 2; 3; . . . ; t  q k
½t=q
X
E½NðtÞ ¼ P½Rk t ðA22Þ
k¼1
A4. Probability P[N(t) = k]
[32] This probability is obtained from the cumulative dis- in which the probability P[Rk t] is that given by either
tribution function (cdf) of Rk, P[Rk t], see equation (7). equation (A16) or (A19). Equation (A22) may be the
The latter cdf is obtained integrating the right-hand side of computationally simplest formula to calculate the expected
equation (A8) term by term to produce the following: value E[N(t)]. Using equation (A16) in equation (A22)
produces E[N(t)] when a1 6¼ a2:
ða1 a2 Þk X
k1
ð1Þs ðk þ s  1Þ!
PðRk tÞ ¼ ½t=q
ðk  1Þ! s¼0 s!ðk  s  1Þ! X ða1 a2 Þk X
k1
ð1Þs ðk þ s  1Þ!
" # E½NðtÞ ¼
g½k  s; a1 ðt  q kÞ g½k  s; a2 ðt  q kÞ k¼1
ðk  1Þ! s¼0 s!ðk  s  1Þ!
þ " #
kþs kþs
aks
1 ða2  a1 Þ aks
2 ða1  a2 Þ g½k  s; a1 ðt  q kÞ g½k  s; a2 ðt  q kÞ
þ ks ðA23Þ
k ¼ 1; 2; 3; . . . ; t  q k ðA16Þ a1ks ða2  a1 Þkþs a2 ða1  a2 Þkþs

which is the same as equation (9), where which is the same as equation (10). If a1 = a2 = a, the
substitution of the cdf (A19) in equation (A22) produces the
Z aj ðtq kÞ
  desired expected value:
g k  s; aj ðt  q kÞ ¼ ez zks1 dz j ¼ 1; 2 ðA17Þ
0
½t=q
X g½2k; aðt  q kÞ
is the incomplete gamma function. E½NðtÞ ¼ ðA24Þ
k¼1
ð2k  1Þ!
[33] Notice that from equation (A16),
 k1 
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H. A. Loáiciga, Department of Geography, University of California,
Santa Barbara, Santa Barbara, CA 93106, USA. (hugo@geog.ucsb.edu)