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1 Acta Geophysica

1 2007

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On the informative value of the largest sample element of log-Gumbel distribution

Strupczewski W. G., Kochanek K., Singh V. P.

Acta Geophysica

2007

Vol. 55, no. 4

652-678

Extremes of stream flow and precipitation are commonly modeled by heavy-tailed distributions. While scrutinizing annual flow maxima or the peaks over threshold, the largest sample elements are quite often suspected to be low quality data, outliers or values corresponding to much longer return periods than the obser-vation period. Since the interest is primarily in the estimation of the right tail (in the case of floods or heavy rainfalls), sensitivity of upper quantiles to largest elements of a series constitutes a problem of special concern. This study investigated the sen-sitivity problem using the log-Gumbel distribution by generating samples of different sizes (n) and different values of the coefficient of variation by Monte Carlo ex-periments. Parameters of the log-Gumbel distribution were estimated by the prob-ability weighted moments (PWMs) method, method of moments (MOMs) and maximum likelihood method (MLM), both for complete samples and the samples deprived of their largest elements. In the latter case, the distribution censored by the non-exceedance probability threshold, FT , was considered. Using FT instead of the censored threshold T creates possibility of controlling estimator property. The effect of the FT value on the performance of the quantile estimates was then examined. It is shown that right censoring of data need not reduce an accuracy of large quantile estimates if the method of PWMs or MOMs is employed. Moreover allowing bias of estimates one can get the gain in variance and in mean square error of large quantiles even if ML method is used.