Selection between the generalized Pareto and kappa distributions in peaks-over-threshold hydrological frequency modelling

Abstract

Hydrologists use the generalized Pareto (GP) distribution in peaks-over-threshold (POT) modelling of extremes. A model with similar uses is the two-parameter kappa (KAP) distribution. KAP has had fewer hydrological applications than GP, but some studies have shown it to merit wider use. The problem of choosing between GP and KAP arises quite often in frequency analyses. This study, by comparing some discrimination methods between these two models, aims to show which method(s) is (are) recommended. Three specific methods are considered: one uses the Anderson-Darling goodness-of-fit (GoF) statistic, another uses the ratio of maximized likelihood (closely related to the Akaike information criterion and the Bayesian information criterion), and the third employs a normality transformation followed by application of the Shapiro-Wilk statistic. We show this last method to be the most recommendable, due to its advantages with sizes typically encountered in hydrology. We apply the simulation results to some flood POT datasets.EDITOR D. Koutsoyiannis; ASSOCIATE EDITOR E. Volpi