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Keywords:

  • extreme value analysis;
  • nonstationary;
  • statistical modelling;
  • neural network;
  • nonlinear hydroclimatology

Abstract

Parameters in a generalized extreme value (GEV) distribution are specified as a function of covariates using a conditional density network (CDN), which is a probabilistic extension of the multilayer perceptron neural network. If the covariate is time or is dependent on time, then the GEV-CDN model can be used to perform nonlinear, nonstationary GEV analysis of hydrological or climatological time series. Owing to the flexibility of the neural network architecture, the model is capable of representing a wide range of nonstationary relationships. Model parameters are estimated by generalized maximum likelihood, an approach that is tailored to the estimation of GEV parameters from geophysical time series. Model complexity is identified using the Bayesian information criterion and the Akaike information criterion with small sample size correction. Monte Carlo simulations are used to validate GEV-CDN performance on four simple synthetic problems. The model is then demonstrated on precipitation data from southern California, a series that exhibits nonstationarity due to interannual/interdecadal climatic variability. Copyright © 2009 Her Majesty the Queen in right of Canada. Published by John Wiley & Sons, Ltd.