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D. L. Fitzgerald

Analysis of extreme rainfall using the log logistic distribution

Published online: 3 February 2005

Ó Springer-Verlag 2005

Abstract Computer-intensive methods are used to

examine the ﬁt of the log logistic distribution to annual

maxima of Irish rainfall. The characteristics of the

L-moment solutions are examined by using the con-

ventional bootstrap on the data and by random sam-

pling within the ellipse of concentration of the parameter

estimates. A statistical method of examining uncertainty

is provided by the maximum product of spacings solu-

tion. Factors derived from random division of an

interval are proposed for estimation of short-duration

falls for which no data are available.

Keywords Log logistic distribution Æ L-moment

estimate Æ Maximum product of spacings method Æ

Bootstrap Æ Ellipsoid of concentration Æ

Geometric max-stable distributions

Introduction

In the Flood Estimation Handbook (1999) the gener-

alised logistic distribution is preferred to the general-

ised extreme value distribution for ﬂood estimation in

the UK. The log logistic (LLG) distribution is a re-

parameterisation of the generalised logistic. Its three-

parameter version (3pLLG) was employed in a study

of river ﬂows in Scotland (Ahmed et al. 1988) but, in

spite of its theoretical attractiveness it has been little

used in more recent ﬂood or extreme rainfall studies.

The L-moment solution of its three parameters is

examined and then recast by ﬁxing the location

parameter; then the shape and scale parameters have a

clear interpretation in terms of the data and, more

importantly, their maximum likelihood (ML) and

L-moment estimates coincide. Pooling L-moment

solutions is treated in detail in Hosking and Wallis

(1997). In this paper the focus is on examining the

stability of the L-moment quantile estimates at indi-

vidual stations under variation of the data and of the

parameters. The statistical tools used are: (1) the

conventional bootstrap to sample the data with

replacement (2) the ellipsoid of concentration (Crame` r,

1946) which gives a method of randomly varying the

parameters within bounds set by their covariance

matrix. (3) The maximum product of spacings solution

(Cheng and Amin 1983); for a sample of size n (x

1

, x

2

,

..., x

n

) it is equivalent to the ML solution of a more

extreme sample of size (n+1) with x

1

¢

< x

1

, x

2

¢

< x

2

,

....x

n

¢

< x

n

, x

n+1

¢

> x

n

.

The log logistic distribution

This is of form

f ðxÞ ¼

b

a

ðx ÀgÞ=a ð Þ

bÀ1

1 þðx Àg=aÞ

b

_ _

2

; x > g a; b > 0 ð1Þ

and b ln [(x À g)/a] has a logistic distribution of mean 0.

Eq. 1 implies that the cumulative distribution function

is:

F ðxÞ ¼

ðx Àg=aÞ ð Þ

b

1 þ x Àg ð Þ=a ð Þ

b

_ _ ð2Þ

This shows it as a special case of a Burr XII distri-

bution (Johnson and Kotz 1970). Its inverse is given by

x ¼ g þa

F ðxÞ

ð1 ÀF ðxÞÞ

_ _

c

¼ g þaðT À1Þ

c

c ¼ 1=b > 0

ð3Þ

where T=1/[1 À F(x)] is the return period. It follows

from Eq. 1 to Eq. 3 that

D. L. Fitzgerald

Met E

´

ireann, Glasnevin Hill, Dublin 9, Ireland

E-mail: denis.ﬁtzgerald@met.ie

Fax: +353-1-8064247

Stoch Environ Res Risk Assess (2005) 19: 249–257

DOI 10.1007/s00477-004-0229-x

Median ¼ g þa; mean ¼ g þ

acp

sinðcpÞ

;

mode ¼ g þa

1 Àc

1 þc

_ _

c ð4Þ

To a good degree of approximation mode =

2(median)Àmean for values of c less than 0.4; this covers

all but the most extreme growth rates. Also from Eq. 2

c ¼ 1 À2F ðmodeÞ ð5Þ

The shape parameter c is thus the measure of skew-

ness proposed in Bickel(2002) and using a plotting po-

sition formula we can get a ﬁrst estimate of c. As Eq. 4

shows mode < median < mean and the skewness is

positive.

Since b ln((x À g)/a) has a logistic distribution of

mean 0 the scale parameter a can be estimated as the

geometric mean of (xÀg) for the sample.

L-moment estimates of the parameters

The theory of L-moments and of the closely related

probability weighted moments (PWM) is given in

Hosking and Wallis (1997). With

l

1

¼ EðxÞ; l

2

¼ 2EðxF Þ ÀEðxÞ;

l

3

¼ 6EðxF

2

Þ À6EðxF Þ þEðxÞ

we get from Eq. 3

c ¼

l

3

l

2

¼ L - moment measure of skewness ð6Þ

a ¼ l

2

sinðpcÞ

p c

2

ð7Þ

g ¼ l

1

À

l

2

2

l

3

ð8Þ

When g is known the two-parameter log logistic theory

applies to (x-g) giving

c ¼

l

2

l

1

¼

l

3

l

2

ð9Þ

i.e. the shape parameter = the L-moment coeﬃcient of

variation = the L-moment coeﬃcient of skewness

(Fitzgerald 1996).

Since x>g, the location parameter might, ideally, be

expected to be a realistic estimate of the minimum of the

annual rainfall maxima; in some cases it is but more

often it is appears low and on occasion quite acceptable

estimates of rainfall quantiles occur with a negative

value of g.

The maximum likelihood (ML) parameter estimates

For a sample of size n the ML equations may be written

c ¼

1

n

i¼n

i¼1

ð2F ðx

i

Þ À1Þ lnðx

i

ÀgÞ ð10Þ

0 ¼

i¼n

i¼1

ð2F ðx

i

Þ À1Þ ð11Þ

c ¼

i¼n

i¼1

1 À2F ðx

i

Þ= x

i

Àg ð Þ ð Þ

i¼n

i¼1

1=x

i

Àg ð Þ

ð12Þ

When g is known Eqs. 10 and 11 are the two-

parameter ML equations. In the three-parameter case

a value of the location parameter g was taken, e.g. the

L-moment estimate, and Eq. 10 and Eq. 11 used to

estimate the shape and scale parameters; in turn the

new values of c and a were used to get a new value of

the location parameter. While often successful, this

method did not always converge but occasional failure

Table 1 Parameter and quantile estimates for 2-day (0900-0900UCT) annual maximum rainfalls (mm)

Estimation method Parameters Return periods

c a g RP 2 RP 100 RP 500 RP 1000

L-moment 0.225 32.4 17.0 49.3 108.1 148.3 170.5

ML 0.288 25.5 23.5 49.0 119.2 176.0 209.7

BOOTSTRAP

Estimation method Statistic Return Periods

RP 2 RP 100 RP 500 RP 1000

L-moment Mean 49±2 107±11 146±23 168±31

Median 49.4 106.1 144.1 165.1

ML Mean 50±2 105±16 142±28 163±35

Median 49.7 103.7 139.1 158.1

Station: Ffoulkesmills

Years of record=62

Sample max=105.2; Sample min=35.5; Sample median=48.2

250

is to be expected from Eq. 10 to Eq. 12; the most

usual case of non-convergence was with g strongly

negative and c low.

For quantile estimation beyond the range of the

sample it is unwelcome that Eq. 10 gives high weight to

low as well as to high values of (x-g) in the estimation of

the crucial shape parameter.

The information matrix

I ¼ À

1

n

E ð@

2

LÞ

_

@h

i

; @h

j

_ _

; #ðc; a; gÞ

is:

Here w is the digamma function.

Comparison of the L-moment and ML solutions

for the three-parameter LLG

Table 1 presents a typical case of a good ML ﬁt which

generally has a higher value of the crucial shape

parameter than the L-moment estimate. Bootstrapping

the data to generate 5,000 samples gave much-reduced

ML estimates at the higher return periods, closer to the

L-moment estimates which were largely unchanged.

However, nearly half the bootstrap samples did not

converge in a fully satisfactory manner and so all that

can safely be gleaned from this exercise is that the ML

solution is not stable under bootstrapping. Only with 12

of the 10,000 L-moment solutions was it considered

desirable to use the logistic instead of the LLG. Failures

tended to occur in samples having a mean less than the

median and hence unsuited to an LLG ﬁt. Typically, for

such samples the ML solution did not converge or

produced estimates which were distinctly low; the L-

moment solution produced low or even negative values

of the location parameter but usually acceptable esti-

mates of the rainfall quantiles.

Table 2 provides an example of an L-moment solu-

tion where the location parameter looked implausible

and ML solution converged smoothly.

Note that the sample mean is less than the median

and we may anticipate diﬃculty in ﬁtting the LLG dis-

tribution. The three parameter L-moment solution has a

very low value of the location parameter. The ML

solution converged with a distinctly more realistic value

of g. Bootstrapping provided L-moment estimates still

well in accord with the quantile estimates and problems

occurred with less than 12% of the 10,000 samples. As in

Table 1 the ML bootstrap estimates reduce at high re-

turn periods and have a higher variance than the

L-moment estimates. Again there is a strong element of

subjectivity in the ML bootstrap results since there were

convergence problems with nearly 30% of the 5,000

samples.

It seems clear that the L-moment estimates are the

more stable. From the bootstrap means and standard

errors it would also seem that they give fairly realistic

estimates of the 1,000-year rainfall quantile for an

individual station with about 50 years of record.

The 2p/3p solution

From (1) setting the location parameter g at some ﬁxed

value is an attractive option. For the two-parameter

LLG the requirement that the L-moment coeﬃcient of

Table 2 Parameter and Quantile estimates for 2-day (0900-0900UCT) Annual Maximum Rainfalls(mm)

Estimation Method Parameters Return Periods

c a g RP 2 RP 100 RP 500 RP 1000

L-moment 0.151 58.9 04.5 63.9 122.2 154.7 171.2

ML 0.226 39.6 23.3 62.9 135.3 184.7 212.2

BOOTSTRAP

Estimation Method Statistic Return Periods

RP 2 RP 100 RP 500 RP 1000

L-moment mean 64±3 121±12 153±24 169±32

median 63.9 120.5 151.7 167.6

ML mean 64±3 125±17 162±37 182±49

median 63.6 122.9 157.5 175.6

Station: Brosna (Mt Eagle)

Years of record=55

Sample max=118.2; min=38.4; median=66.3; mean=65.7

p

2

þ3

9c

0

Àpcð3cþð1Àc

2

Þðwð2ÀcÞÀwð2þcÞÞÞ

3ac

2

0

1

3a

2

c

2

ð1Àc

2

Þpc

3a

2

c

2

Àpcð3cþð1Àc

2

Þðwð2ÀcÞÀwð2þcÞÞÞ

3ac

2

ð1Àc

2

Þpc

3a

2

c

2

2pcð1Àc

2

Þ

3a

2

c

2

_

¸

¸

_

_

¸

¸

_

ð13Þ

251

variation (l-cv) and the L-moment coeﬃcient of skew-

ness (l-sk) be equal is a key test of ﬁt. A second test is

that the scale parameter should equal the geometric

mean of (x-g). From a plot, the mode of a typical 30- to

60-year sample can usually be seen to fall within a cer-

tain range; the estimates of the mode provided by

2(median) À mean and Eq. 4 should agree closely and

both should fall within the indicated range. For annual

maxima of Irish rainfall the ﬁt with g=0 is poor.

However, a non-zero value of g can be found which

gives a good ﬁt. In the course of systematically varying g

it was found that:

(a) The value of g obtained when l-cv = l-sk was never

appreciably diﬀerent from that of the three-param-

eter L-moment solution.

(b) The l-sk estimate of c was nearly constant as g

varied.

(c) The l-cv and ML estimates of c were broadly similar

and both varied systematically with g.

(d) A good ﬁt with a common value of g could be found

where the ML and the L-moment solutions for the

shape and scale parameters essentially coincided;

these values of g, a, c were in all cases so close to the

three-parameter L-moment solution that there was

no practical diﬀerence between their quantile esti-

mates.

Based on (d) the model for annual maxima adopted

was that the exceedances of a ﬁxed, if initially unknown,

threshold g follow a two-parameter LLG distribution; it

is convenient that this amounts to the three-parameter

L-moment solution with its location parameter g re-

interpreted. An advantage is that the two-parameter ML

theory now applies and Eq. 13 simpliﬁes to give for a

large sample of size n

varðcÞ ¼

9c

2

nðp

2

þ3Þ

; varðaÞ ¼

3a

2

c

2

n

;

covarianceða; cÞ ¼ 0

ð14Þ

Using Eqs. 3 and 14 the variance of the rainfall with

return period T is:

varðx

T

Þ ¼ ðx

T

ÀgÞ

2

varðcÞðlnðT À1ÞÞ

2

þ

varðaÞ

a

2

_ _

ð15Þ

Ellipsoids of concentration and random variation

Crame` r (1946) shows that for a random variable n (n

1

, n

2

,..., n

n

) of known covariance matrix an ellipsoid of

concentration can be deﬁned with the property that

randomly choosing a large number of points within the

ellipsoid yields a random variable with the same mean

and covariance matrix as n. The classical assumption is

of a parent population distribution with the parameters

estimated to a degree of accuracy determined by the

sample size n; the ellipsoid of concentration re-expresses

this in terms suited to computer simulation by deﬁning a

volume in parameter space within which all points can

be taken as equally likely. Belonging to the population

may then be taken as being within the ellipsoid of con-

centration and a random sample of n regarded as n

random choices within the ellipsoid.

In the case of the preferred solution for the LLG the

ellipsoid reduces to an ellipse having the parameter

estimates (a, c) as the mean of the random variable and

with covariance matrix given by Eq. 14. Since the ran-

dom variation is of the parameters, the eﬀect on the

mean, median and variability of the quantile estimates

Table 3 Comparison of rainfall estimates (mm)

RP Log logistic Log logistic Generalised extreme value

Years L M ML L-moment bootstrap Ellipse of concentration PWM ML PWM bootstrap

Mean SE Median Mean SE Median Mean SE Median

(Duration=1 clock hour Sample max=22.6 Sample min=7.2)

50 22.5 22.7 22.1 2.3 22.1 22.6 2.7 22.4 22.4 21.6 21.9 2.3 22.0

100 26.0 26.4 25.4 3.1 25.6 26.3 3.8 26.0 25.4 24.1 24.8 3.1 24.8

500 37.3 38.2 36.1 6.6 36.2 38.1 7.7 37.2 33.5 30.4 32.4 6.2 32.3

1000 43.9 45.2 42.4 9.0 42.3 45.1 10.2 43.7 37.7 33.4 36.4 8.2 36.1

(Duration=24 clock hours Sample max=94.0 Sample min=34.2)

50 94.1 101.6 92.8 7.3 92.9 94.4 8.2 94.0 92.4 91.4 91.0 7.4 91.2

100 104.5 116.1 102.9 9.8 103.0 104.9 10.5 104.4 99.7 98.7 98.2 9.7 98.3

500 133.0 159.6 130.7 18.9 130.0 133.9 17.3 132.8 116.0 115.0 114.5 16.8 113.6

1000 147.4 183.8 145.0 24.6 143.6 148.7 21.1 147.1 122.7 121.8 121.5 20.7 119.9

(Duration=96 clock hours Sample max=136.8 Sample min=53.8)

50 141.6 146.5 139.4 10.1 140.1 142.0 11.8 141.3 139.4 136.0 137.4 10.2 138.2

100 156.5 164.2 154.1 13.0 154.8 157.1 15.1 156.3 150.2 145.4 147.8 13.2 148.6

500 198.2 216.1 194.6 25.1 194.9 199.7 25.7 197.9 174.9 166.2 172.2 23.0 172.2

1000 219.7 244.2 215.8 32.8 215.2 221.8 31.7 219.2 185.3 174.8 182.9 28.4 181.9

Station: Cork Airport

Data: Annual maxima 1963–2002

L-M L-moment, PWM probability weighted moment, ML maximum likelihood, SE standard error, RP return period

Generalised extreme value: x=n+a(1 - (- ln F)

k

)/k

252

can be compared with the preferred solution estimates,

the three-parameter ML estimates and the values ob-

tained from bootstrapping the data and using the

L-moment solution. The results are presented in

Table 3. For purposes of comparison Table 3 includes

the probability weighted moment, the ML and the

bootstrap PWM estimates for the generalised extreme

value (GEV) distribution (Hosking and Wallis 1997).

The ellipse of concentration statistics are based on

20,000 sample points.

Remarks on Table 3

– The GEV displays a lower growth rate but even at the

1,000-year RP the estimates are within 1.5 standard

errors of the LLG estimates.

– Both the bootstrap and the ellipse of concentration

give broadly similar quantile estimates for the LLG

and both their medians and means agree well with the

L-moment values.

– The very close agreement between the median of the

ellipse of concentration estimates and the L-moment

values at all return periods allows the identiﬁcation of

the L-moment solution with a central value of the

well-deﬁned population based on the sample data.

Fit of the estimates to the top sample values

For some rough guidance on the return period T

m

associated with the higher order statistics of a sample of

size n note that the distribution of y=T

m

À 1 for the mth

order statistic of any distribution is given by

f ðyÞ ¼

1

Bðm; n Àm þ1Þ

y

mÀ1

ð1 þyÞ

Àðnþ1Þ

ð16Þ

where B is the beta function and f(y) an inverted beta

distribution.

From Eq. 16EðT

m

Þ ¼ n=ðn ÀmÞ ð Þ. The modal value

T

mode

¼ n þ1=ðn Àm þ2Þ ð Þ. The median can be ob-

tained from Eq. 16 using incomplete beta functions. A

restatement of Eq. 16 is that the CDF of the mth order

statistic F(x

m

) = y/ (1+y) has a beta distribution and

Jenkinson (1977) exploited this to show that its median

plotting position can be derived as

~

F ðx

m

Þ ¼

m À0:307

n þ0:386

.

In turn this gives the good approximation:

T

m

ðmedianÞ

~

T

m

¼

n þ0:386

n Àm þ0:693

ð17Þ

For the LLG the median value of x

m

is given by the

incomplete beta function expression

1

2

¼

B

y

m

=1þy

m

ðm; n Àm þ1Þ

Bðm; n Àm þ1Þ

where y

m

¼

ðx ÀgÞ

a

_ _

b

¼ T

m

À1

ð18Þ

and so, to the same approximation as in Eq. 17, we get

x

m

¼ g það

~

T

m

À1Þ

c

; c ¼

1

b

ð19Þ

As m approaches n Eq. 16 is a highly skewed distri-

bution. Hence the median seems by far the best central

value to select for the purpose of gauging the ﬁt of any

distribution by examining the quantile estimates for the

top sample values.

Remarks on Table 4.

– For both distributions the median plotting position

is used to make the estimates. The ﬁt to the sample

values is good for 1 h and 24 h durations; for 96 h

the ﬁt is greatly improved by taking the fourth

highest value (in brackets) into account. While it

might be observed that they agree more closely with

one another than with the data and that the GEV

Table 4 Comparison of top three sample values with median estimates

Duration Distribution

Clock hours Log logistic Generalised extreme value Sample

Parameter Estimates Parameter Estimates

01 c 0.272 23.3 k À0.153 23.0 22.6

a 5.9 19.6 a 2.2 19.5 21.3

g 5.6 17.7 n 10.6 17.9 18.5

24 c 0.148 96.5 k +0.035 94.2 94.0

a 53.4 84.1 a 12.2 84.4 87.3

g À0.80 78.1 n 8.0 79.1 78.7

96 c 0.163 145.4 k +0.011 141.8 136.8

a 65.4 127.7 a 16.2 127.7 130.2

g 18.8 119.4(113.9) n 77.5 120.2(115.0) 129.3(115.7)

Station: Cork Airport

Data: annual maxima 1963–2002

Generalised extreme value x=n+a (1 À (Àln F)

k

)/k

253

appears to ﬁt the data a little better than the LLG,

the notion of the LLG estimates as median values is

supported.

– For 1 clock hour we have an instance of the location

parameter g as a plausible minimum while the mini-

mum for the GEV is À3.7. In general we may rea-

sonably expect the growth rate to decrease or remain

steady with increasing duration greater than 1 h or

2 h but, in practice contradictions between return

periods arise e.g. here Table 3 gives 147.4 as the L-

moment estimate of the 1,000-year rainfall quantile

for 24 clock hours while the 18-h value is 149.3. Ta-

ble 4 shows that this is caused by the negative value of

the location parameter which forces a high value of

the scale parameter and a low value of the shape

parameter. The GEV estimates suﬀer from the same

lack of consistency as they give a 1,000-year rainfall

quantile of about 122 mm for 24 clock hours and an

18-h value of over 125 mm. This might fairly be taken

as an indication of the inadvisability of estimating

1,000-year quantiles from forty data points but it is

necessary to do so while imposing consistency over

durations and return periods. The ML solution for the

3-parameter LLG converges to give 0.226, 35.1 and

17.1 as the estimates for c, a, g respectively and gives

an 1,000-year quantile of 184 mm. However, its esti-

mate of the 50-year quantile as 102 mm appears a

little high as the median RP associated with the 40-

year sample maximum of 94 mm is over 58 years. The

location parameter may be considerably increased

without much change to the estimates in Table 3 and

in Table 4. The method, for a given value of the

location parameter, is to ﬁrst take the mean of the two

estimates of the shape parameter in Eq. 9 and to use

that in Eq. 7 to determine the scale parameter. Of

itself this gives RP estimates quite close to the pre-

ferred solution estimates. Taking g=15 we get esti-

mates of 0.177 and 37.6 for the shape and scale

parameters while the two-parameter ML solution

gives 0.212 and 37.3. Giving the two solutions equal

weight we get estimates of 95, 107, 141 and 159 for

Table 3 and 97.6, 84.1 and 77.7 for Table 4, thus

ironing out the contradiction between 18 h and 24 h

estimates and retaining a decent ﬁt to the top sample

values. This, admittedly ad hoc, procedure can be

used instead of or in conjunction with a depth-dura-

tion-frequency scheme [Flood Estimation Handbook

(1999), vol 2, Chap. 10].

Maximum product of spacings (MPS) solution

as a statistical safety factor

For parameter estimation of univariate distributions the

MPS method of maximising the geometric mean of the

sample spacings was developed by Cheng and Amin

(1983) as an alternative to maximum likelihood. It was

shown in Fitzgerald (1996) that the MPS method

applied to a sample of size n is equivalent to using ML

for a sample of size (n+1) where x

1

¢

< x

1

, x

2

¢

< x

2

, ..., x

n

¢

< x

n

, x

n+1

¢

> x

n

. It was further shown for the two-

parameter LLG that MPS gives a positively biased

estimate of the shape parameter while the scale param-

eter is essentially equal to the ML or L-moment esti-

mates. The location parameter of the preferred solution

of Sect. 2.4 is accepted for the MPS; then, the median

estimate of the two solutions is the same but for higher

return periods MPS gives more extreme quantile esti-

mates.

Maximum product of spacings chooses the sample

spacings closest to a perfectly regular pattern and

hence is a typical index of lack of clustering or

ignorance. Compared with the estimates of the pre-

ferred solution it produces quantiles that are in line

with climate change scenarios for mid latitudes, the

amount of the increase being determined by what

amounts to an application of the theorem of the mean

to the sample values. Table 5 shows the results of

using MPS estimates of the shape and scale parame-

ters and their variances in an ellipse of concentration

exercise as outlined in Sect. 3; the MPS results are

very much along the lines of those found for the L-

moment solution. The 100-year rainfall quantile in-

creases from 90 to 107±12 mm in what we may

choose to regard as the new, median-conserving cli-

mate. The 1,000-year quantile increases from 157±25

to about 210±35; if the period 1941–2002 is used

instead of the record for 1881–2002 the values become

173±36 and 230±54 respectively.

Table 5 Log logistic estimates of rainfall quantiles

MPS ellipse of concentration

RP

(years)

L-moment MPS Mean SE± Median

2 34.2 34.3 34.3 1.1 34.3

5 44.5 46.5 46.5 2.1 46.4

10 52.5 56.5 56.6 3.2 56.5

20 61.7 68.4 68.5 4.9 68.2

50 76.4 88.0 88.3 8.2 87.8

100 90.1 106.9 107.4 11.7 106.7

250 112.5 139.0 140.0 18.3 138.6

500 133.5 170.2 171.8 25.4 169.6

1,000 158.9 208.9 211.4 35.0 208.1

Station: Phoenix Park (Dublin)

Data: 1-day annual maxima 1881–2002

MPS Maximum product of spacings, RP return period, SE stan-

dard error

Table 6 Means and medians of maxima of the random division of

the unit interval

Number of intervals

2 3 4 5 6

Mean 0.75 0.61 0.52 0.46 0.41

Median 0.75 0.59 0.50 0.44 0.39

254

Why use the log logistic distribution?

In the Flood Studies Report (1975) the equation for the

rainfall growth curves is given by: ln

M

T

M

5

¼

cðy À1:5Þ; M

T

¼ T - year return period and y ¼

ÀlnðÀlnðF ðxÞÞ % lnðT À0:5Þ; T > 5

Here c= - k where k is the shape parameter of the

GEV distribution and c ranges from 0.23 to 0.07.

For the LLG the corresponding growth curve is of

strikingly similar form:

ln((x

T

À g)/(x

5

À g)) = c(ln(T À 1) À 1.4) where c is

the LLG shape parameter.

The LLG distribution also exhibits geometric-ex-

treme stability in the sense of Voorn (1987) i.e. if F(x) is

a continuous distribution independent of N, a distribu-

tion on the positive integers with generating function

Q(s), then F is maximum stable with respect to N if real

numbers a and b exist such that

QðF ðxÞÞ ¼

1

k¼1

p

k

F ðxÞ

k

¼ F

x Àa

b

_ _

; b > 0 ð20Þ

If the number of rainfall events capable of producing the

annual maximum is taken as geometric with generating

function Q(s) = (ps)/(1 À (1 À p)s)i.e. p

k

=p(1 À p)

k - 1

,

k=1,2, ... and the total rainfall from the individual

events is LLG(c, a, g) then

QðF ðxÞÞ ¼ F

x

u

_ _

; u ¼ p

Àc

; u > 1 ð21Þ

Hence over years with random numbers, N(p), of

events with an LLG distribution the maximum is an

LLG distribution of a rescaled variable.

However, the geometric distribution used here has

mean 1/p but its mode is 1 and this seems low for Irish

conditions as most years are nondescript, having several

events capable of yielding the maximum. If instead we

consider a series of annual maxima having an LLG

distribution and, after the manner of Mitnik and Rachev

(1993), take the number of years into the future that the

process is likely to remain free of radical change as a

geometric variable N(t), then the argument applied

above gives the CDF of the maximum of a sample of size

N(t) as LLG, most plausibly if p is small. Here t is the

rather ill-deﬁned and subjective probability of ‘major

change in any year’ and N(t) the waiting time to the

change. We might estimate t from our degree of belief in

the length of time the ellipse of concentration generated

from the LLG ﬁtted to the annual series will adequately

represent the process generating the maxima. A belief

that there was only a probability of 0.5 that the current

model would apply after 50 years would imply t=0.013

and for a shape parameter c=0.20 this yields a scaling

factor of 2.38 to allow for the uncertainty in the length

of the period. The MPS method deals with uncertainty

by increasing the shape parameter while the method of

(geometric) random sample size alters the scale param-

eter of the LLG distribution. However, the point of most

interest is that under both these randomisations the

LLG (and also the logistic distribution) is maximum

stable. If the negative binomial is used instead of the

geometric we get

QðF ðxÞÞ ¼

pF ðxÞ

1 Àð1 ÀpÞF ðxÞ

_ _

r

¼ F

x

u

_ _

r

,

a Burr III distribution (Johnson and Kotz 1970); this

may be viewed as LLG with a rescaling of the data and

of the time unit, especially if r is an integer since in this

case r bears the interpretation of the minimum number

of events in unit time.

Experience dictates that when choosing a probability

distribution for rainfall extremes it is wise to allow for

much higher values than appear even in a long-term

record. This leads to the choice of long-tailed distribu-

tions with shape and scale parameters. Among these the

LLG has the advantage that, as Eqs. 4 and 5 show, it

can be completely determined by three central values,

leading to the hope that population characteristics may

be accurately determined from a sample. Unfortunately

the sample sizes in this study are rather small and the

mode is not well-determined but may be inferred from

the mean and median. The ellipse of concentration

argument in Sect. 3 shows that the preferred solution

closely mimics the median of a plausible representation

of the population giving rise to the data. If, further, the

parameter estimates of the preferred solution yield close

approximations to the sample estimates of the median

and mean then its ﬁt to the LLG is regarded as good;

this solution is computationally inexpensive and the

simplicity of the underlying theory makes it easy to

investigate its properties either directly or by computer-

intensive methods.

A point to emphasise is that the ﬁt of the pure two-

parameter LLG to the rainfall data was mostly poor and

the move away from g=0 crucial to obtaining a good ﬁt.

Unfortunately for their applicability to this study, all the

recent papers on the LLG in hydrology that have come

to my attention have been on the pure two-parameter

case. An example of the latter, remarkable for the depth

of negative feeling expressed towards the 2pLLG, is the

paper of Rowin´ ski et al. (2002). They concentrate on the

analysis of the tail region and for this study the most

pertinent of their many reservations is the necessity to

restrict the ranges of the parameters if population mo-

ments are to be kept ﬁnite; the practical implications of

this are most easily discussed in terms of the following

equation derived from Eq. 3:

E

x Àg

a

_ _

r

_ _

¼ Bð1 þrc; 1 ÀrcÞ;

r ¼ 1; 2; 3; :::; 0\c\1,

B being the beta function.

In this form the fractional contribution to the pop-

ulation moment of the range 0–F

À 1

(u) is given by an

incomplete beta function. Also for a ﬁnite third moment

we must have a shape parameter less than one-third and

255

so on. This sort of restriction on the range of the shape

parameter constitutes a diﬃculty for full tail analysis.

For statistical practice, it is important to appreciate that

with c=0.33 about 90% of the value of the third mo-

ment is contributed by values with return periods of

10

5

years(time units) or more; with c=0.333 the ﬁgure is

99%. Thus, the approach of the population moment of

order three to inﬁnity is mediated by values very unlikely

to appear in samples. Clearly, in parameter estimation it

would be unwise to employ third order moments. The

restriction thus points up the advantages of the L-mo-

ment solution.

Values of the shape parameter c encountered in this

study range from 0.1 to 0.33, with values of 0.33 to 0.4

occasionally appearing for short durations where growth

rates are steeper. At c=0.4 the population mean receives

a 12% contribution from values with return periods of

50 years or more while for 100 years and 1,000 years the

ﬁgures are 8% and 2% respectively. For E(xF

r

) these

percentages rise only slowly with r . The indication is

that, while in no way a drastic problem even at c=0.4,

low values of the shape parameter can be more accu-

rately determined from a sample than high. In addition

Eqs. 14 and 15 show how the variance of the quantile

estimates increases with c. Values of c>0.33 were trea-

ted with caution and, insofar as possible, checked for

consistency against higher and lower durations, as in the

next section.

Short-duration falls and random division

of the unit interval

The sub-hourly falls available are predominantly from

Dines rainfall recorders (HMSO 1981). Durations from

15 min to 24 h have been extracted from 42 stations.

Fitting the LLG sometimes gives high growth rates, with

values of the shape parameter in excess of 0.35, espe-

cially for durations ranging from 15 min to 3 h; check-

ing for consistency of the quantile estimates raised the

question of the possibility of ﬁnding scaling factors be-

tween durations. More importantly, urban drainage re-

quires design values for durations less than15 min and

for such short durations no reliable long-term data are

available. When the sub-period can be considered part

of a single event the theory of the random division of an

interval can contribute plausible scaling factors. The

distribution of the maximum of n intervals on (0, 1)

(David 1981) gives the following.

That the factors are signiﬁcant can be seen by

checking them against the 5-year return period factors

in Table II of Logue (1975) or Tables 3.6 and 3.7, vol

2, Flood Studies Report (1975), especially the mid-

table values. However, their derivation as central val-

ues of the distribution of a maximum suggests that

they apply more widely. Since, for example, it must be

possible for more than 52% of the total to fall in one

quarter of the time period the factors should apply

better at low than at high return periods. Over Ireland

the 500-year quantile for 4-h falls is usually less than

80 mm; it is possible to get that amount in 1 h (Ro-

han 1986) and so, in practice, high may mean about

1,000 years for some durations. In the particular case

of the LLG using the factor to adjust the scale and

location parameters and assuming the shape parameter

is unchanged is equivalent to directly multiplying the

estimates by the scaling factors; this may be attributed

to the fact the parameters are determined by the

median, mode and mean and these three may rea-

sonably be taken to scale in the same way. If there is

a diﬀerence Dc between the shape parameters of the

two durations it appears as a multiplier (T À 1)

Dc

when estimating the T-year quantile; however, in the

absence of data for the shorter duration the assump-

tion that the shape parameter is constant seems a

reasonable ﬁrst approximation. Table 7 presents the

estimates of 5-min quantiles from 30- and 15-min

values.

Note that the 15-min estimates and 0.75 times the 30-

min estimates agree to within one standard deviation

even at the1,000-year return period, the scaled down 30-

min values being systematically higher. The consistency

between the 5-min estimates is heartening but their

accuracy is diﬃcult to gauge. It has been standard

practice at Irish synoptic stations to extract daily max-

imum rates for 5 min but, as Logue (1975) points out,

the Dines recorder is not accurate below about 15 min.

Maximum values for 5 min from Dines recorders range

from 12 mm to about 8 mm over a period of record

mostly of 40–50 years. Fairly near Rosslare there was a

remarkable fall of 38 mm in 12 min in August, 1949

(Rohan 1986); this strongly suggests that 5-min falls of

over 20 mm occur in the general area but attaching a

return period at a single point must be labelled a hopeful

exercise and it seems a good idea to employ a region-

alisation scheme to supplement single station analysis.

Table 7 Five-minute quantile estimates from 15 min and 30 min

values

LLG estimates Table 6 estimates

RP 15 min 30 min 5 from 15 5 from 30

Years mm mm mm mm

2 7.2±0.4 9.8±0.6 4.4 4.0

5 9.4±0.6 12.9±0.9 5.7 5.3

10 11.1±0.8 15.5±1.2 6.8 6.4

20 13.1±1.1 18.5±1.5 8.0 7.6

50 16.1±1.7 23.3±2.2 9.8 9.6

100 18.9±2.3 27.9±2.9 11.5 11.4

250 23.4±3.5 35.3±4.5 14.3 14.5

500 27.5±4.8 42.4±6.4 16.8 17.4

1000 32.5±6.6 51.1±9.0 19.8 20.9

Station: Rosslare

Data: 45 annual maxima for 15 min and 30 min (millimetres)

Distribution ﬁtted: log-logistic with shape, scale and location

parameters (c, a, g)

15-Min: c=0.254, a=5.3, g=1.9; 30-min: c=0.285, a=6.7, g=3.0

256

Discussion and conclusions

The parameters of the log logistic distribution are

readily interpretable in terms of the data. Its form and

L-moment solution are such that it is well suited to

computer-intensive investigations. Bootstrap and ellipse

of concentration exercises prove very informative about

the stability of the quantile estimates. Curiously, having

gone to some pains to obtain a solution with attractive

statistical properties, it was found that the parameters so

obtained can be varied fairly considerably without much

change to the quantile estimates; this is a useful property

that can obviate the need for depth-duration schemes to

iron out the occasional inconsistencies that arise at high

return periods when a single station record is analysed

over a range of durations.

Some idea of more extreme rainfall regimes may be

gleaned from the maximum product of spacings solution

or, even more vaguely, from the property of geometric-

maximum stability.

An interesting and important digression was that in

the examination of the ﬁt of the log logistic distribution

to falls of short duration D, scaling factors k based on

the theory of the random division of an interval were

found to give acceptable estimates for durations such as

D /2, D/3, D/4, D/5, .... In terms of the log logistic dis-

tribution the degree of approximation implied is that an

LLG(c, a, g) at duration D scales into an LLG(c, ka, kg)

at the shorter duration.

Over a wide range of durations ﬁtting the log logistic

distribution to annual maxima of Irish rainfalls using the

L-moment method of parameter estimation proved

successful. In comparisons with estimates based on the

generalised extreme value distribution the log-logistic

values agree closely for return periods up to about

100 years and tend to be higher at longer return periods.

References

Ahmad MH, Sinclair CD, Werrity A (1988) Log-logistic ﬂood

frequency analysis. J Hydrol 98:205–224

Bickel DR (2002) Robust estimators of the mode and skewness of

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tinuous univariate distributions with shifted origin. J R Stat Soc

B 45(3):394–403

Crame´ r H (1946) Mathematical methods of statistics. Princeton

University Press

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Fitzgerald DL (1996) Maximum product of spacings estimators for

the generalised Pareto and log-logistic distributions, Stochastic

hydrology and hydraulics, vol 10. Springer, Berlin Heidelberg

New York, pp 1–15

Flood Estimation Handbook (1999) Institute of hydrology, vols 1

and 2. Wallingford, UK

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London

HMSO (1981) Handbook of meteorological instruments. Her

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257

l2 ¼ 2EðxF Þ À EðxÞ. 3 c¼ l3 ¼ L . e. in some cases it is but more often it is appears low and on occasion quite acceptable estimates of rainfall quantiles occur with a negative value of g.5.4 25. 11 used to estimate the shape and scale parameters. Sample median=48.4 50±2 49.1 105±16 103. mean ¼ g þ sinðcpÞ c 1Àc mode ¼ g þ a 1þc ð4Þ When g is known the two-parameter log logistic theory applies to (x-g) giving c¼ l 2 l3 ¼ l 1 l2 ð9Þ To a good degree of approximation mode = 2(median)Àmean for values of c less than 0.0 RP 1000 170.0 23. Since x>g.1 0.moment measure of skewness l2 sinðpcÞ p c2 l2 2 l3 ð6Þ ð7Þ ð8Þ i. 2 c ¼ 1 À 2F ðmodeÞ ð5Þ The shape parameter c is thus the measure of skewness proposed in Bickel(2002) and using a plotting position formula we can get a ﬁrst estimate of c. 10 and 11 are the twoparameter ML equations. and Eq.3 176.1 163±35 158. Since b ln((x À g)/a) has a logistic distribution of mean 0 the scale parameter a can be estimated as the geometric mean of (xÀg) for the sample.1 142±28 139. the L-moment estimate. While often successful.225 0. As Eq. Median ¼ g þ a.7 RP 500 146±23 144.e.5 209.5 g 17.1 RP 1000 168±31 165. Also from Eq. the location parameter might. With l1 ¼ EðxÞ.2 . In the three-parameter case a value of the location parameter g was taken.3 49.4. be expected to be a realistic estimate of the minimum of the annual rainfall maxima.g.2 RP 500 148. ideally.288 a 32.7 Station: Ffoulkesmills Years of record=62 Sample max=105. l3 ¼ 6EðxF 2 Þ À 6EðxF Þ þ EðxÞ we get from Eq.7 RP 100 107±11 106. the shape parameter = the L-moment coeﬃcient of variation = the L-moment coeﬃcient of skewness (Fitzgerald 1996). 10 and Eq. The maximum likelihood (ML) parameter estimates For a sample of size n the ML equations may be written c¼ i¼n 1X ð2F ðxi Þ À 1Þ lnðxi À gÞ n i¼1 i¼n X i¼1 ð10Þ 0¼ ð2F ðxi Þ À 1Þ ð1 À 2F ðxi Þ=ðxi À gÞÞ Pi¼n i¼1 ð1=xi À gÞ ð11Þ Pi¼n c¼ i¼1 ð12Þ a ¼ l2 g ¼ l1 À When g is known Eqs. Sample min=35.0 RP 100 108.2.1 119. this method did not always converge but occasional failure Table 1 Parameter and quantile estimates for 2-day (0900-0900UCT) annual maximum rainfalls (mm) Estimation method Parameters c L-moment ML BOOTSTRAP Estimation method Statistic Return Periods RP 2 L-moment ML Mean Median Mean Median 49±2 49. 4 shows mode < median < mean and the skewness is positive. in turn the new values of c and a were used to get a new value of the location parameter.5 Return periods RP 2 49.250 acp . this covers all but the most extreme growth rates. L-moment estimates of the parameters The theory of L-moments and of the closely related probability weighted moments (PWM) is given in Hosking and Wallis (1997).

mean=65. For quantile estimation beyond the range of the sample it is unwelcome that Eq.7 184.9 RP 100 122.2 135. the Lmoment solution produced low or even negative values of the location parameter but usually acceptable estimates of the rainfall quantiles. gÞ n is: 2 p2 þ3 6 9c produced estimates which were distinctly low.7 RP 1000 171. Only with 12 of the 10. However.9 64±3 63. Bootstrapping the data to generate 5.6 0.7 . Comparison of the L-moment and ML solutions for the three-parameter LLG Table 1 presents a typical case of a good ML ﬁt which generally has a higher value of the crucial shape parameter than the L-moment estimate.226 a 58. median=66. 10 to Eq.5 RP 1000 169±32 167.000 samples gave much-reduced ML estimates at the higher return periods.000 samples.9 39. closer to the L-moment estimates which were largely unchanged. Failures tended to occur in samples having a mean less than the median and hence unsuited to an LLG ﬁt.3 Return Periods RP 2 63. Typically.000-year rainfall quantile for an individual station with about 50 years of record. min=38.151 0.6 RP 100 121±12 120.6 182±49 175. The information matrix Á 1 À I ¼ À E ð@ 2 LÞ @hi . It seems clear that the L-moment estimates are the more stable.7 162±37 157.3 RP 500 154.2 Station: Brosna (Mt Eagle) Years of record=55 Sample max=118. nearly half the bootstrap samples did not converge in a fully satisfactory manner and so all that can safely be gleaned from this exercise is that the ML solution is not stable under bootstrapping. Note that the sample mean is less than the median and we may anticipate diﬃculty in ﬁtting the LLG distribution. The three parameter L-moment solution has a very low value of the location parameter. As in Table 1 the ML bootstrap estimates reduce at high return periods and have a higher variance than the L-moment estimates. Table 2 provides an example of an L-moment solution where the location parameter looked implausible and ML solution converged smoothly.9 62. Bootstrapping provided L-moment estimates still well in accord with the quantile estimates and problems occurred with less than 12% of the 10. The ML solution converged with a distinctly more realistic value 3 ð13Þ 0 1 3a2 c2 ð1Àc2 Þpc 3a2 c2 60 4 Àpcð3cþð1Àc2 Þðwð2ÀcÞÀwð2þcÞÞÞ 3ac2 Àpcð3cþð1Àc2 Þðwð2ÀcÞÀwð2þcÞÞÞ 3ac2 7 ð1Àc2 Þpc 7 2 c2 5 3a 2pcð1Àc2 Þ 3a2 c2 Here w is the digamma function. From the bootstrap means and standard errors it would also seem that they give fairly realistic estimates of the 1.4. 10 gives high weight to low as well as to high values of (x-g) in the estimation of the crucial shape parameter.5 23.000 samples.5 125±17 122.9 RP 500 153±24 151. 12.2.000 L-moment solutions was it considered desirable to use the logistic instead of the LLG. the most usual case of non-convergence was with g strongly negative and c low.3.6 g 04. #ðc. The 2p/3p solution From (1) setting the location parameter g at some ﬁxed value is an attractive option. a.251 is to be expected from Eq. @hj . for such samples the ML solution did not converge or of g. For the two-parameter LLG the requirement that the L-moment coeﬃcient of Table 2 Parameter and Quantile estimates for 2-day (0900-0900UCT) Annual Maximum Rainfalls(mm) Estimation Method Parameters c L-moment ML BOOTSTRAP Estimation Method Statistic Return Periods RP 2 L-moment ML mean median mean median 64±3 63. Again there is a strong element of subjectivity in the ML bootstrap results since there were convergence problems with nearly 30% of the 5.2 212.

3 38.2 43.8 21.8 15.2 Generalised extreme value PWM ML PWM bootstrap Mean 22..6 Sample min=7.3 36.4 100 104.3 22.6 143.7 31.1 22. Based on (d) the model for annual maxima adopted was that the exceedances of a ﬁxed. 13 simpliﬁes to give for a large sample of size n Table 3 Comparison of rainfall estimates (mm) RP Years Log logistic LM ML L-moment bootstrap Mean SE Median varðcÞ ¼ 9c2 3a2 c2 .7 18.8 Sample min=53. (b) The l-sk estimate of c was nearly constant as g varied.6 146.1 11.4 10.2 13.8 32.8 32.4 9.4 33. if initially unknown.0 104.ln F)k)/k .1 6.4 99. nðp2 þ 3Þ n covarianceða.3 3.8 136.3 45.7 10.4 33.1 13.2 38.0 98.1 141.7 139.0 121.9 199. it is convenient that this amounts to the three-parameter L-moment solution with its location parameter g reinterpreted. the eﬀect on the mean.2 114.1 194.7 (Duration=96 clock hours Sample max=136.4 91.8 32.2 98.4 91. n 2.9 94.6 36.4 98.2 8. 4 should agree closely and both should fall within the indicated range.2 181.3 21.9 9.8 7.2 42.0 24.2) 50 22.0 100 156.8 172.1 102.3 156.8 157.. In the course of systematically varying g it was found that: (a) The value of g obtained when l-cv = l-sk was never appreciably diﬀerent from that of the three-parameter L-moment solution.9 185.3 92.1 101.7 16.2 8.0 28. Since the random variation is of the parameters. In the case of the preferred solution for the LLG the ellipsoid reduces to an ellipse having the parameter estimates (a.8 7. varðaÞ ¼ .6 100 26. An advantage is that the two-parameter ML theory now applies and Eq.0 133.7 116.0 145.1 (Duration=24 clock hours Sample max=94. c were in all cases so close to the three-parameter L-moment solution that there was no practical diﬀerence between their quantile estimates. (c) The l-cv and ML estimates of c were broadly similar and both varied systematically with g. However.1 1000 43.1 25. The classical assumption is of a parent population distribution with the parameters estimated to a degree of accuracy determined by the sample size n.1 30..2 7.1 500 198. 14.3 113.. these values of g.0 Sample min=34.2 174.6 92.(. Belonging to the population may then be taken as being within the ellipsoid of concentration and a random sample of n regarded as n random choices within the ellipsoid. RP return period Generalised extreme value: x=n+a(1 .2 10.5 139.9 45.7 115.7 Median 22.0 159.2) 50 94.2 23.6 148.1 140.3 500 37. a non-zero value of g can be found which gives a good ﬁt. For annual maxima of Irish rainfall the ﬁt with g=0 is poor. ML maximum likelihood.6 24.4 25.1 91. SE standard error.2 221. A second test is that the scale parameter should equal the geometric mean of (x-g).0 104.4 25.8 103.0 24.7 10.4 132.2 36.5 37.7 92.8 Station: Cork Airport Data: Annual maxima 1963–2002 L-M L-moment.9 1000 147.6 119. PWM probability weighted moment. the ellipsoid of concentration re-expresses this in terms suited to computer simulation by deﬁning a volume in parameter space within which all points can be taken as equally likely. From a plot.4 Median 22.2 148.7 1000 219.5 121.4 9.3 197.1 6.5 164.4 150. threshold g follow a two-parameter LLG distribution. (d) A good ﬁt with a common value of g could be found where the ML and the L-moment solutions for the shape and scale parameters essentially coincided.1 2.9 130.to 60-year sample can usually be seen to fall within a certain range.7 244. the mode of a typical 30.5 22.4 36.8 145.2 216.3 21.6 172.5 137.8 215.6 130. the estimates of the mode provided by 2(median) À mean and Eq.9 219.4 183.4 166. c) as the mean of the random variable and with covariance matrix given by Eq.0 42.8) 50 141.9 500 133.7 22.2 174.7 3.4 26.0 122. 3 and 14 the variance of the rainfall with return period T is: ! varðaÞ 2 2 varðxT Þ ¼ ðxT À gÞ varðcÞðlnðT À 1ÞÞ þ ð15Þ a2 Ellipsoids of concentration and random variation ` Cramer (1946) shows that for a random variable n (n 1. n n) of known covariance matrix an ellipsoid of concentration can be deﬁned with the property that randomly choosing a large number of points within the ellipsoid yields a random variable with the same mean and covariance matrix as n.0 26.2 215.1 25.4 3.8 147.4 147.9 SE 2. cÞ ¼ 0 ð14Þ Using Eqs.5 17.9 24.6 26.8 20. median and variability of the quantile estimates Log logistic Ellipse of concentration Mean SE 2.7 94.1 142.2 154.9 138. a.0 37.1 194.5 116.9 (Duration=1 clock hour Sample max=22.6 25.0 154.2 182.252 variation (l-cv) and the L-moment coeﬃcient of skewness (l-sk) be equal is a key test of ﬁt.

2 10.0 19.8 127. A restatement of Eq.011 16.163 65.8 130.6 0.3(115.7 136.2 8. Remarks on Table 3 – The GEV displays a lower growth rate but even at the 1.253 can be compared with the preferred solution estimates.7 119.0) 22. 16EðTm Þ ¼ ðn=ðn À mÞÞ.7) Sample Station: Cork Airport Data: annual maxima 1963–2002 Generalised extreme value x=n+a (1 À (Àln F)k)/k .80 0.5 17.8 Estimates 23. The median can be ob- Table 4 Comparison of top three sample values with median estimates Duration Clock hours Distribution Log logistic Parameter 01 24 96 c a g c a g c a g 0. 16 using incomplete beta functions. Fit of the estimates to the top sample values For some rough guidance on the return period Tm associated with the higher order statistics of a sample of size n note that the distribution of y=Tm À 1 for the mth order statistic of any distribution is given by f ðyÞ ¼ 1 y mÀ1 ð1 þ yÞÀðnþ1Þ Bðm.1 141.1 145.153 2.5 84.7 120.9 94. 16 is a highly skewed distribution. – For both distributions the median plotting position is used to make the estimates. For purposes of comparison Table 3 includes the probability weighted moment.000 sample points. n À m þ 1Þ ðx À gÞ b ¼ Tm À 1 where ym ¼ a ð18Þ and so.3 78. The ellipse of concentration statistics are based on 20. – The very close agreement between the median of the ellipse of concentration estimates and the L-moment values at all return periods allows the identiﬁcation of the L-moment solution with a central value of the well-deﬁned population based on the sample data.6 +0.272 5.2 84. While it might be observed that they agree more closely with one another than with the data and that the GEV where B is the beta function and f(y) an inverted beta distribution.2 129. Remarks on Table 4.7 96.035 12.3 19. n À m þ 1Þ ¼ 2 Bðm.6 17.4 18. the three-parameter ML estimates and the values obtained from bootstrapping the data and using the L-moment solution. – Both the bootstrap and the ellipse of concentration give broadly similar quantile estimates for the LLG and both their medians and means agree well with the L-moment values.5 Estimates 23.5 94.1 78. 16 is that the CDF of the mth order statistic F(xm) = y/ (1+y) has a beta distribution and Jenkinson (1977) exploited this to show that its median plotting position can be derived as m À 0:307 ~ . 17.3 18.9 5. to the same approximation as in Eq.5 standard errors of the LLG estimates. F ðxm Þ ¼ n þ 0:386 In turn this gives the good approximation: ~ Tm ðmedianÞTm ¼ n þ 0:386 n À m þ 0:693 ð17Þ For the LLG the median value of xm is given by the incomplete beta function expression 1 Bym =1þym ðm.6 21. for 96 h the ﬁt is greatly improved by taking the fourth highest value (in brackets) into account. c¼ 1 b ð19Þ As m approaches n Eq.4(113. From Eq.4 À0.9) Generalised extreme value Parameter k a n k a n k a n À0.2 77. we get ~ xm ¼ g þ aðTm À 1Þc .4 79. the ML and the bootstrap PWM estimates for the generalised extreme value (GEV) distribution (Hosking and Wallis 1997). The ﬁt to the sample values is good for 1 h and 24 h durations.148 53.0 87.0 +0.2(115.000-year RP the estimates are within 1. The results are presented in Table 3. Hence the median seems by far the best central value to select for the purpose of gauging the ﬁt of any distribution by examining the quantile estimates for the top sample values. n À m þ 1Þ ð16Þ tained from Eq. The modal value Tmode ¼ ðn þ 1=ðn À m þ 2ÞÞ.4 127.

9 and to use that in Eq. Compared with the estimates of the preferred solution it produces quantiles that are in line with climate change scenarios for mid latitudes. Maximum product of spacings chooses the sample spacings closest to a perfectly regular pattern and hence is a typical index of lack of clustering or ignorance. Taking g=15 we get estimates of 0.8 106.5 56.6 169. – For 1 clock hour we have an instance of the location parameter g as a plausible minimum while the minimum for the GEV is À3. g respectively and gives an 1.2 208.7 138.2 11.000-year rainfall quantile for 24 clock hours while the 18-h value is 149.9 8.44 6 0. x¢n+1 > xn.5 68.4 is accepted for the MPS. in practice contradictions between return periods arise e. is to ﬁrst take the mean of the two estimates of the shape parameter in Eq. Table 5 Log logistic estimates of rainfall quantiles MPS ellipse of concentration RP (years) 2 5 10 20 50 100 250 500 1. It was shown in Fitzgerald (1996) that the MPS method applied to a sample of size n is equivalent to using ML . The 100-year rainfall quantile increases from 90 to 107±12 mm in what we may choose to regard as the new. The location parameter may be considerably increased without much change to the estimates in Table 3 and in Table 4.3 46. thus ironing out the contradiction between 18 h and 24 h estimates and retaining a decent ﬁt to the top sample values.6 208.6 68. This might fairly be taken as an indication of the inadvisability of estimating 1. In general we may reasonably expect the growth rate to decrease or remain steady with increasing duration greater than 1 h or 2 h but. procedure can be used instead of or in conjunction with a depth-duration-frequency scheme [Flood Estimation Handbook (1999).59 4 0.1 Station: Phoenix Park (Dublin) Data: 1-day annual maxima 1881–2002 MPS Maximum product of spacings.254 appears to ﬁt the data a little better than the LLG..4 88.000-year rainfall quantile of about 122 mm for 24 clock hours and an 18-h value of over 125 mm.000-year quantiles from forty data points but it is necessary to do so while imposing consistency over durations and return periods.75 0.6.1 112.000-year quantile of 184 mm. It was further shown for the twoparameter LLG that MPS gives a positively biased estimate of the shape parameter while the scale parameter is essentially equal to the ML or L-moment estimates.1 3. Of itself this gives RP estimates quite close to the preferred solution estimates.5 158.7.7 for Table 4.000 L-moment 34. 3. This.3 46. if the period 1941–2002 is used instead of the record for 1881–2002 the values become 173±36 and 230±54 respectively.2 4.. Table 6 Means and medians of maxima of the random division of the unit interval Number of intervals 2 Mean Median 0. Chap. 35. here Table 3 gives 147.3. the median estimate of the two solutions is the same but for higher return periods MPS gives more extreme quantile estimates.1 as the estimates for c. The 1.5 68.4 90.g. 84.7 76. the MPS results are very much along the lines of those found for the Lmoment solution. vol 2.1 2.8 211.5 133. The method.39 Maximum product of spacings (MPS) solution as a statistical safety factor For parameter estimation of univariate distributions the MPS method of maximising the geometric mean of the sample spacings was developed by Cheng and Amin (1983) as an alternative to maximum likelihood.61 0.000-year quantile increases from 157±25 to about 210±35.2 87.9 139.0 171.6 for the shape and scale parameters while the two-parameter ML solution gives 0.212 and 37.9 MPS 34. 107.52 0.1 and 77. admittedly ad hoc. Giving the two solutions equal weight we get estimates of 95.5 88.3 107. The ML solution for the 3-parameter LLG converges to give 0. 2. 7 to determine the scale parameter. The GEV estimates suﬀer from the same lack of consistency as they give a 1. RP return period.5 61.2 44. SE standard error for a sample of size (n+1) where x¢1 < x1.226.5 52.0 Median 34. Table 4 shows that this is caused by the negative value of the location parameter which forces a high value of the scale parameter and a low value of the shape parameter. median-conserving climate.46 0.75 3 0.. 10]. The location parameter of the preferred solution of Sect.177 and 37.3.4 35.0 170.1 and 17.41 0.3 46. Table 5 shows the results of using MPS estimates of the shape and scale parameters and their variances in an ellipse of concentration exercise as outlined in Sect. for a given value of the location parameter. However.3 25.50 5 0.4 56. x¢n < xn. the amount of the increase being determined by what amounts to an application of the theorem of the mean to the sample values.5 56. 141 and 159 for Table 3 and 97.4 as the Lmoment estimate of the 1. the notion of the LLG estimates as median values is supported. . its estimate of the 50-year quantile as 102 mm appears a little high as the median RP associated with the 40year sample maximum of 94 mm is over 58 years.4 SE± 1.7 18.0 106. x¢2 < x2.4 140.9 Mean 34. a. then.

Unfortunately the sample sizes in this study are rather small and the mode is not well-determined but may be inferred from the mean and median. 2. leading to the hope that population characteristics may be accurately determined from a sample. this solution is computationally inexpensive and the simplicity of the underlying theory makes it easy to investigate its properties either directly or by computerintensive methods. it can be completely determined by three central values. and the total rainfall from the individual events is LLG(c. An example of the latter. For the LLG the corresponding growth curve is of strikingly similar form: ln((xT À g)/(x5 À g)) = c(ln(T À 1) À 1. a r ¼ 1. having several events capable of yielding the maximum. The MPS method deals with uncertainty by increasing the shape parameter while the method of (geometric) random sample size alters the scale parameter of the LLG distribution. take the number of years into the future that the process is likely to remain free of radical change as a geometric variable N(t).255 Why use the log logistic distribution? In the Flood Studies Report (1975) the equation for the rainfall growth curves is given by: ln MT ¼ M5 cðy À 1:5Þ. A point to emphasise is that the ﬁt of the pure twoparameter LLG to the rainfall data was mostly poor and the move away from g=0 crucial to obtaining a good ﬁt.4) where c is the LLG shape parameter. u > 1 QðF ðxÞÞ ¼ F ð21Þ u Hence over years with random numbers. If the negative binomial is used instead of the geometric we get r x r pF ðxÞ QðF ðxÞÞ ¼ ¼F . especially if r is an integer since in this case r bears the interpretation of the minimum number of events in unit time. this may be viewed as LLG with a rescaling of the data and of the time unit.e. 3. 1 À rcÞ.. 0\c\1. further. then the argument applied above gives the CDF of the maximum of a sample of size N(t) as LLG. (2002). the parameter estimates of the preferred solution yield close approximations to the sample estimates of the median and mean then its ﬁt to the LLG is regarded as good. after the manner of Mitnik and Rachev (1993). k=1. However. remarkable for the depth of negative feeling expressed towards the 2pLLG. 4 and 5 show. In this form the fractional contribution to the population moment of the range 0–FÀ 1 (u) is given by an incomplete beta function. all the recent papers on the LLG in hydrology that have come to my attention have been on the pure two-parameter case. Among these the LLG has the advantage that. if F(x) is a continuous distribution independent of N. T > 5 Here c= . a. 3 shows that the preferred solution closely mimics the median of a plausible representation of the population giving rise to the data.013 and for a shape parameter c=0. A belief that there was only a probability of 0.20 this yields a scaling factor of 2. Also for a ﬁnite third moment we must have a shape parameter less than one-third and . then F is maximum stable with respect to N if real numbers a and b exist such that 1 x À a X QðF ðxÞÞ ¼ . g) then x .23 to 0. MT ¼ T . Unfortunately for their applicability to this study. B being the beta function.5 that the current model would apply after 50 years would imply t=0. N(p).1. If. We might estimate t from our degree of belief in the length of time the ellipse of concentration generated from the LLG ﬁtted to the annual series will adequately represent the process generating the maxima.07.k where k is the shape parameter of the GEV distribution and c ranges from 0. as Eqs. b>0 ð20Þ pk F ðxÞk ¼ F b k¼1 If the number of rainfall events capable of producing the annual maximum is taken as geometric with generating function Q(s) = (ps)/(1 À (1 À p)s)i.2. They concentrate on the analysis of the tail region and for this study the most pertinent of their many reservations is the necessity to restrict the ranges of the parameters if population moments are to be kept ﬁnite. If instead we consider a series of annual maxima having an LLG distribution and. This leads to the choice of long-tailed distributions with shape and scale parameters. the practical implications of this are most easily discussed in terms of the following equation derived from Eq. u ¼ pÀc . .. The ellipse of concentration argument in Sect. Here t is the rather ill-deﬁned and subjective probability of ‘major change in any year’ and N(t) the waiting time to the change. :::. is the ´ paper of Rowinski et al. of events with an LLG distribution the maximum is an LLG distribution of a rescaled variable. most plausibly if p is small. 1 À ð1 À pÞF ðxÞ u a Burr III distribution (Johnson and Kotz 1970).38 to allow for the uncertainty in the length of the period. 3: x À gr E ¼ Bð1 þ rc. the geometric distribution used here has mean 1/p but its mode is 1 and this seems low for Irish conditions as most years are nondescript.e. The LLG distribution also exhibits geometric-extreme stability in the sense of Voorn (1987) i. a distribution on the positive integers with generating function Q(s). Experience dictates that when choosing a probability distribution for rainfall extremes it is wise to allow for much higher values than appear even in a long-term record. pk=p(1 À p)k . However.year return period and y¼ À lnðÀ lnðF ðxÞÞ % lnðT À 0:5Þ. the point of most interest is that under both these randomisations the LLG (and also the logistic distribution) is maximum stable.

9 Station: Rosslare Data: 45 annual maxima for 15 min and 30 min (millimetres) Distribution ﬁtted: log-logistic with shape.4 occasionally appearing for short durations where growth rates are steeper.9±0. the Dines recorder is not accurate below about 15 min.7 18.6 11. The restriction thus points up the advantages of the L-moment solution. with c=0. g=3. especially for durations ranging from 15 min to 3 h.2 18.1 16. The distribution of the maximum of n intervals on (0.4 14.6 11.1 to 0. This sort of restriction on the range of the shape parameter constitutes a diﬃculty for full tail analysis. Maximum values for 5 min from Dines recorders range from 12 mm to about 8 mm over a period of record mostly of 40–50 years. this may be attributed to the fact the parameters are determined by the median.9 35. Over Ireland the 500-year quantile for 4-h falls is usually less than 80 mm. it must be possible for more than 52% of the total to fall in one quarter of the time period the factors should apply better at low than at high return periods. When the sub-period can be considered part of a single event the theory of the random division of an interval can contribute plausible scaling factors. Flood Studies Report (1975). 14 and 15 show how the variance of the quantile estimates increases with c. vol 2.3±2.33.4 20.4.8 5 from 30 mm 4.33 were treated with caution and.6 and 3.3 6. In the particular case of the LLG using the factor to adjust the scale and location parameters and assuming the shape parameter is unchanged is equivalent to directly multiplying the estimates by the scaling factors. 1) (David 1981) gives the following. a=5. Values of the shape parameter c encountered in this study range from 0. The indication is that. g) 15-Min: c=0.2±0.35. it is important to appreciate that with c=0.8 11.5 27.1±1.5±1. high may mean about 1.4±6.256 so on. scale and location parameters (c. 1949 (Rohan 1986). The consistency between the 5-min estimates is heartening but their accuracy is diﬃcult to gauge. At c=0.and 15-min values. this strongly suggests that 5-min falls of over 20 mm occur in the general area but attaching a return period at a single point must be labelled a hopeful exercise and it seems a good idea to employ a regionalisation scheme to supplement single station analysis. Durations from 15 min to 24 h have been extracted from 42 stations. Thus. That the factors are signiﬁcant can be seen by checking them against the 5-year return period factors in Table II of Logue (1975) or Tables 3.8±0. with values of 0. a. Table 7 presents the estimates of 5-min quantiles from 30. as in the next section.2 27.5 17.6 9. For statistical practice. while in no way a drastic problem even at c=0.4±3. in parameter estimation it would be unwise to employ third order moments.4 5. urban drainage requires design values for durations less than15 min and for such short durations no reliable long-term data are available.0 5. More importantly. in the absence of data for the shorter duration the assumption that the shape parameter is constant seems a reasonable ﬁrst approximation.8 8.333 the ﬁgure is 99%. In addition Eqs.9 15. insofar as possible.1±9. If there is a diﬀerence Dc between the shape parameters of the two durations it appears as a multiplier (T À 1)Dc when estimating the T-year quantile.7. especially the midtable values.000 years the ﬁgures are 8% and 2% respectively. 30-min: c=0. For E(xFr) these percentages rise only slowly with r .4 51.5 14. g=1.8 19. in practice. Values of c>0.7. checked for consistency against higher and lower durations.4±0.3 16. the approach of the population moment of order three to inﬁnity is mediated by values very unlikely to appear in samples. the scaled down 30min values being systematically higher.3 23.6 30 min mm 9.1±1. their derivation as central values of the distribution of a maximum suggests that they apply more widely.9±2. however.7 6.5±1.9.0 . Fitting the LLG sometimes gives high growth rates.5 23. Table 7 Five-minute quantile estimates from 15 min and 30 min values LLG estimates RP Years 2 5 10 20 50 100 250 500 1000 15 min mm 7.3.254. for example. Since.000-year return period.6 12.5 42. Fairly near Rosslare there was a remarkable fall of 38 mm in 12 min in August.9±2. Clearly.000 years for some durations.4 7.4 9.285. Short-duration falls and random division of the unit interval The sub-hourly falls available are predominantly from Dines rainfall recorders (HMSO 1981).8 13.3±4.33 to 0.75 times the 30min estimates agree to within one standard deviation even at the1.0 Table 6 estimates 5 from 15 mm 4. mode and mean and these three may reasonably be taken to scale in the same way. low values of the shape parameter can be more accurately determined from a sample than high.8 32.4 the population mean receives a 12% contribution from values with return periods of 50 years or more while for 100 years and 1.5±6. However. it is possible to get that amount in 1 h (Rohan 1986) and so.0 9. a=6. It has been standard practice at Irish synoptic stations to extract daily maximum rates for 5 min but. checking for consistency of the quantile estimates raised the question of the possibility of ﬁnding scaling factors between durations.33 about 90% of the value of the third moment is contributed by values with return periods of 105 years(time units) or more.1±0. with values of the shape parameter in excess of 0. Note that the 15-min estimates and 0.5±4. as Logue (1975) points out.

Wiley. Singh VP (2002) A note on the applicability of log-Gumbel and log-logistic probability distributions in hydrological analyses: I known pdf. New York Fitzgerald DL (1996) Maximum product of spacings estimators for the generalised Pareto and log-logistic distributions. Springer. Curiously. . References Ahmad MH. D/5. Kotz S (1970) Continuous univariate distributions-1. Econometric Rev 12(3):261–230 ´ Rohan PK (1986) The climate of Ireland. D/3. Met Eireann. Princeton University Press David HA (1981) Order statistics.257 Discussion and conclusions The parameters of the log logistic distribution are readily interpretable in terms of the data. Amin NAK (1983) Estimating parameters in continuous univariate distributions with shifted origin. J Hydrol 98:205–224 Bickel DR (2002) Robust estimators of the mode and skewness of continuous data. kg) at the shorter duration. Berlin Heidelberg New York. Met Eireann. this is a useful property that can obviate the need for depth-duration schemes to iron out the occasional inconsistencies that arise at high return periods when a single station record is analysed over a range of durations. In comparisons with estimates based on the generalised extreme value distribution the log-logistic values agree closely for return periods up to about 100 years and tend to be higher at longer return periods. London HMSO (1981) Handbook of meteorological instruments. J Appl Prob 24:838–851 . Wallis J R (1997) Regional frequency analysis (An approach based on L-moments). Hydrol Sci J 47(1):107–122 Voorn WJ (1987) Characterization of the logistic and log-logistic distributions by extreme value related stability with random sample size. g) at duration D scales into an LLG(c.. Comput Stat Data Anal 39:153–163 Cheng RCH. Dublin ´ Rowsinski PM. scaling factors k based on the theory of the random division of an interval were found to give acceptable estimates for durations such as D /2. vols 1 and 2. J R Stat Soc B 45(3):394–403 ´ Cramer H (1946) Mathematical methods of statistics. MET O 13 Technical Note No 58. Wallingford. Its form and L-moment solution are such that it is well suited to computer-intensive investigations. vol 2. having gone to some pains to obtain a solution with attractive statistical properties. CUP Jenkinson AF (1977) The analysis of meteorological and other geophysical extremes.. pp 1–15 Flood Estimation Handbook (1999) Institute of hydrology. An interesting and important digression was that in the examination of the ﬁt of the log logistic distribution to falls of short duration D. New York ´ Logue JJ (1975) Extreme rainfalls in Ireland. from the property of geometricmaximum stability. it was found that the parameters so obtained can be varied fairly considerably without much change to the quantile estimates. Werrity A (1988) Log-logistic ﬂood frequency analysis. British Meteorological Oﬃce Johnson NL. Stochastic hydrology and hydraulics. Over a wide range of durations ﬁtting the log logistic distribution to annual maxima of Irish rainfalls using the L-moment method of parameter estimation proved successful. In terms of the log logistic distribution the degree of approximation implied is that an LLG(c. NERC. Rachev ST (1993) Modelling asset returns with alternative stable distributions. Bootstrap and ellipse of concentration exercises prove very informative about the stability of the quantile estimates. even more vaguely.. Strupczewski WG. vol 10. UK Flood Studies Report (1975) Meteorological studies. London Hosking JRM. Her Majesty’s Stationery Oﬃce. D/4. Dublin Mitnik S. Wiley. ka. Sinclair CD. Some idea of more extreme rainfall regimes may be gleaned from the maximum product of spacings solution or. a.

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