Search Results (15)

This study evaluates six parameter estimation methods for the generalized extreme value (GEV) distribution: maximum likelihood estimation (MLE), two probability-weighted moments (PWM-UE and PWM-PP), and three robust two-stage order statistics estimators (TSOS-ME, TSOS-LMS, and TSOS-LTS). Their performance was assessed using simulation experiments under varying tail behaviors, represented by three types of GEV distributions: Weibull (short-tailed), Gumbel (light-tailed), and Fréchet (heavy-tailed) distributions, based on the mean squared error (MSE) and mean absolute percentage error (MAPE). The results showed that TSOS-LTS consistently achieved the lowest MSE and MAPE, indicating high robustness and forecasting accuracy, particularly for short-tailed distributions. Notably, PWM-PP performed well for the light-tailed distribution, providing accurate and efficient estimates in this specific setting. For heavy-tailed distributions, TSOS-LTS exhibited superior estimation accuracy, while PWM-PP showed a better predictive performance in terms of MAPE. The methods were further applied to real-world monthly maximum PM2.5 data from three air quality stations in Bangkok. TSOS-LTS again demonstrated superior performance, especially at Thon Buri station. This research highlights the importance of tailoring estimation techniques to the distribution’s tail behavior and supports the use of robust approaches for modeling environmental extremes. Full article

The classical exponential model, despite its flexibility, fails to describe data with non-constant failure or between-event dependency. To overcome this limitation, two new bivariate lifetime distributions are introduced in this paper. The Farlie–Gumbel–Morgenstern (FGM)-based and Ali–Mikhail–Haq (AMH)-based modified Fréchet–exponential (MFE) models, by embedding the flexible MEF margin in the FGM and AMH copulas. The resulting distributions accommodate a wide range of positive or negative dependence while retaining analytical traceability. Closed-form expressions for the joint and marginal density, survival, hazard, and reliability functions are derived, together with product moments and moment-generating functions. Unknown parameters are estimated through the maximum likelihood estimation (MLE) and inference functions for margins (IFM) methods, with asymptotic confidence intervals provided for these parameters. An extensive Monte Carlo simulation quantifies the bias, mean squared error, and interval coverage, indicating that IFM retains efficiency while reducing computational complexity for moderate sample sizes. The models are validated using two real datasets, from the medical sector regarding the infection recurrence times of 30 kidney patients undergoing peritoneal dialysis, and from the economic sector regarding the growth of the gross domestic product (GDP). Overall, the proposed copula-linked MFE distributions provide a powerful and economical framework for survival analysis, reliability, and economic studies. Full article

This paper presents a new methodology for generating continuous statistical distributions, integrating the exponentiated odds ratio within the framework of survival analysis. This new method enhances the flexibility and adaptability of distribution models to effectively address the complexities inherent in contemporary datasets. The core of this advancement is illustrated by introducing a particular subfamily, the “Type 2 Gumbel Weibull-G family of distributions”. We provide a comprehensive analysis of the mathematical properties of these distributions, including statistical properties such as density functions, moments, hazard rate and quantile functions, Rényi entropy, order statistics, and the concept of stochastic ordering. To test the robustness of our new model, we apply five distinct methods for parameter estimation. The practical applicability of the Type 2 Gumbel Weibull-G distributions is further supported through the analysis of three real-world datasets. These real-life applications illustrate the exceptional statistical precision of our distributions compared to existing models, thereby reinforcing their significant value in both theoretical and practical statistical applications. Full article

The manuscript presents the applicability of the Gumbel distribution in the frequency analysis of extreme events in hydrology. The advantages and disadvantages of using the distribution are highlighted, as well as recommendations regarding its proper use. A literature review was also carried out regarding the methods for estimating the parameters of the Gumbel distribution in hydrology. Thus, for the verification of the methods, case studies are presented regarding the determination of the maximum annual flows and precipitations using nine methods for estimating the distribution parameters. The influence of the variability of the observed data lengths on the estimation of the statistical indicators, the estimation of the parameters, and the quantiles corresponding to the field of small exceedance probabilities (p < 1%) is also highlighted. In each case, the results are analyzed compared to those obtained with the Generalized Extreme Value distribution, the four-parameter Burr distribution, and the five-parameter Wakeby distribution estimated using the L-moments method. The results of the case studies highlight and reaffirm the statistical, mathematical, and hydrological recommendations regarding the avoidance of applying the Gumbel distribution in flood frequency analysis and its use with reservations in the case of maximum precipitation analysis, especially when the statistical indicators of the analyzed data are not close to the characteristic ones and unique to the distribution. Full article

Sample selection is one of the most important factors in estimating the unknown parameters of distributions, as it saves time, saves effort, and gives the best results. One of the challenges is deciding on a suitable distribution estimate technique and adequate sample selection to provide the best results in comparison with earlier research. The method of moments (MOM) was decided on to estimate the unknown parameters of the Gumbel distribution, but with four changes in the sample selection, which were simple random sample (SRS), ranked set sampling (RSS), maximum ranked set sampling (MRSS), and ordered maximum ranked set sampling (OMRSS) techniques, due to small sample sizes. The MOM is a traditional method for estimation, but it is difficult to use when dealing with RSS modification. RSS modification techniques were used to improve the efficiency of the estimators based on a small sample size compared with the usual SRS estimator. A Monte Carlo simulation study was carried out to compare the estimates based on different sampling. Finally, two datasets were used to demonstrate the adaptability of the Gumbel distribution based on the different sampling techniques. Full article

Modeling diameter distribution is a crucial aspect of forest management, requiring the selection of an appropriate probability density function or cumulative distribution function along with a fitting method. This study compared the suitability of eight probability density functions—A Charlier, beta, generalized beta, gamma, Gumbel, Johnson’s SB, and Weibull (two- and three-parameter)—fitted using both derivative methods (Moments) fitted in SAS/STAT^TM and optimization methods (MLE) fitted with the ‘optim’ function in R for diameter distribution estimation in forest stands. The A Charlier and Gumbel functions were used for the first time in this type of comparison. The data were derived from 167 permanent sample plots in an Atlantic forest (Quercus robur) and 59 temporary sample plots in tropical forests (Tectona grandis). Fit quality was assessed using various indices, including Kolmogorov–Smirnov, Cramér–von Mises, mean absolute error, bias, and mean squared error. The results indicated that Johnson’s SB function was more suitable for describing the diameter distribution of the stands. Johnson’s SB, three-parameter Weibull, and generalized beta consistently performed well across different fitting methods, while the fits produced by gamma, Gumbel, and two-parameter Weibull were of poor quality. Full article

With the ongoing global drive towards renewable energy, several potential offshore wind energy lease areas worldwide have come into focus. This study aims to estimate the extreme wind and wave conditions across several newly designated offshore wind lease sites spanning six continents that are crucial for risk assessment and the design of offshore wind turbines. Firstly, the raw data of wind speeds and wave heights prevailing in these different lease areas were obtained. Following this, an in-depth extreme value analysis was performed over different return periods. Two principal methodologies were applied for this comparative study: the block-maxima and the peaks-over-threshold (POT) approaches. Various statistical techniques, including the Gumbel method of moments, Gumbel maximum likelihood, Gumbel least-squares, and the three-parameter GEV, were employed under the block-maxima approach to obtain the distribution parameters. The threshold for the POT approach was defined using the mean residual life method, and the distribution parameters were obtained using the maximum likelihood method. The Gumbel least-squares method emerged as the most conservative estimator of extreme values in the majority of cases, while the POT approach generally yielded lower extreme values compared to the block-maxima approach. However, the results from the POT approach showed large variations based on the selected threshold. This comprehensive study’s findings will provide valuable input for the efficient planning, design, and construction of future offshore wind farms. Full article

Understanding the relationship between rainfall and runoff is one of the requirements and necessities in flood modeling, predicting, and recording annual runoff contributions. This study aimed to evaluate the use of hydrological modeling and flood frequency analysis (FFA) in studying the extent and occurrence of floods in complex mountain basins and the impact of dams on downstream flooding. The N’fis subbasin, the study area, is located in the High Atlas Mountains of Morocco; it drains a total area of 1700 km² and is characterized by an arid to semi-arid climate in the plains and a subhumid climate in the mountains. Flood modeling in this catchment is very difficult due to the lack of sufficient spatial and temporal flood data available for FFA. Therefore, the SWAT (Soil and Water Assessment Tool), a physics-based continuous model, was used to simulate and reproduce the hydrological behavior upstream of N’fis. The model’s parameters were calibrated and validated using data collected from 2000 to 2016, and the model performed well using Nash–Sutcliffe statistics with a calibration period of 0.52 and a validation of 0.69. Finally, using daily flood data (1982–2016), we performed FFA using the L-moments method (Gumbel, normal, and log-Pearson III). Furthermore, a comparison of the goodness of fit of the Gumbel, GEV, and LP3 distributions to the flood frequency analysis in the N’fis basin highlighted that the GEV distribution gave good results and appears to be the more appropriate distribution. This research will enable better assessment of floods and help water managers and decision makers to better plan and manage flood mitigation. Full article

In this work, we reveal some distributional characteristics of concomitants of generalized order statistics (GOS) with parameters that are pairwise different, arising from iterated Farlie–Gumbel–Morgenstern (IFGM) family of bivariate distributions. Additionally, the joint distribution and product moments of concomitants of GOS for this family are discussed. Moreover, some well-known information measures, i.e., extropy, cumulative residual extropy (CRJ), and negative cumulative extropy (NCJ), are derived. Applications of these results are given for order statistics, record values, and progressive type-II censored order statistics with uniform marginals distributions. Additionally, the issue of estimating the CRJ and NCJ is looked into, utilizing the empirical technique and the concomitant of GOS. Finally, bivariate real-world data sets have been analyzed for illustrative purposes, and the performance of the proposed method is quite satisfactory. Full article

The generalized half-logistic distribution is ideal to fit the lifetime of some products, such as ball bearings and electrical insulation. In this paper, we aim to extend this scope by creating a motivated bivariate version. We thus introduce the bivariate generalized half-logistic distribution using the Farlie Gumbel Morgenstern (FGM) copula, which is called the FGM bivariate generalized half-logistic distribution (FGMBGHLD for short). In particular, the FGMBGHLD finds application in describing bivariate lifetime datasets that have weak correlations between variables. Some statistical properties and functions of our new distribution, such as the product moments, moment generating function, reliability function, and hazard rate function, are derived. We discuss the maximum likelihood estimation method of the FGMBGHLD parameters. As an application of the FGMBGHLD in reliability, we consider the stress–strength model when the stress and strength random variables are dependent. We also derive the point and interval estimates of the stress–strength coefficient. Finally, we use the data from the household income and expenditure survey of KSA 2018 for Saudi households by administrative region to demonstrate the practicability of the proposed model. A comparison with a modern bivariate Weibull distribution is performed. Full article

The method for the prediction of extreme vertical wave bending moments on a passenger ship based on the hindcast database along the shipping route is presented. Operability analysis is performed to identify sea states when the ship is not able to normally operate and which are likely to be avoided. Closed-form expressions are used for the calculation of transfer functions of ship motions and loads. Multiple operability criteria are used and compared to the corresponding limiting values. The most probable extreme wave bending moments for the short-term sea states at discrete locations along the shipping route are calculated, and annual maximum extreme values are determined. Gumbel probability distribution is then fitted to the annual extreme values, and wave bending moments corresponding to a return period of 20 years are determined for discrete locations. The system reliability approach is used to calculate combined extreme vertical wave bending moment along the shipping route. The method is employed on the example of a passenger ship sailing across the Adriatic Sea (Split, Croatia, to Ancona, Italy). The contribution of the study is the method for the extreme values of wave loads using the hindcast wave database and accounting for ship operational restrictions. Full article

The determination of the return period of frequent discharges requires the definition of flood peak thresholds. Unlike daily data, the volume of data to be processed with the generalization of hourly data loggers or even with an even finer temporal resolution quickly becomes too large to be managed by hand. We therefore propose an algorithm that automatically extracts flood characteristics to compute partial series return periods based on hourly series of flow rates. Thresholds are defined through robust analysis of field observation-independent data to obtain five independent flood peaks per year in order to bypass the 1-year limit of annual series. Peak over thresholds were analyzed using both Gumbel’s graphical method and his ordinary moments method. Hydrological analyses exhibit the value in the convergence point revealed by this dual method for floods with a recurrence interval around 5 years. Pebble-bedded rivers on impervious substratum (Ardenne rivers) presented an average bankfull discharge return period of around 0.6 years. In the absence of field observation, the authors have defined the bankfull discharge as the Q_0.625 computed with partial series. Annual series computations allow Q₁₀₀ discharge determination and extreme floods recurrence interval estimation. A comparison of data from the literature allowed for the confirmation of the value of Myer’s rating at 18, and this value was used to predict extreme floods based on the area of the watershed. Full article

Intense monsoonal rain is one of the major triggering factors of floods and mass movements in Nepal that needs to be better understood in order to reduce human and economic losses and improve infrastructure planning and design. This phenomena is better understood through intensity-duration-frequency (IDF) relationships, which is a statistical method derived from historical rainfall data. In Nepal, the use of IDF for disaster management and project design is very limited. This study explored the rainfall variability and possibility to establish IDF relationships in data-scarce situations, such as in the Central-Western hills of Nepal, one of the highest rainfall zones of the country (~4500 mm annually), which was chosen for this study. Homogeneous daily rainfall series of 8 stations, available from the government’s meteorological department, were analyzed by grouping them into hydrological years. The monsoonal daily rainfall was disaggregated to hourly synthetic series in a stochastic environment. Utilizing the historical statistical characteristics of rainfall, a disaggregation model was parameterized and implemented in HyetosMinute, software that disaggregates daily rainfall to finer time resolution. With the help of recorded daily and disaggregated hourly rainfall, reference IDF scenarios were developed adopting the Gumbel frequency factor. A mathematical model [i = a(T)/b(d)] was parameterized to model the station-specific IDF utilizing the best-fitted probability distribution function (PDF) and evaluated utilizing the reference IDF. The test statistics revealed optimal adjustment of empirical IDF parameters, required for a better statistical fit of the data. The model was calibrated, adjusting the parameters by minimizing standard error of prediction; accordingly a station-specific empirical IDF model was developed. To regionalize the IDF for ungauged locations, regional frequency analysis (RFA) based on L-moments was implemented. The heterogeneous region was divided into two homogeneous sub-regions; accordingly, regional L-moment ratios and growth curves were evaluated. Utilizing the reasonably acceptable distribution function, the regional growth curve was developed. Together with the hourly mean (extreme) precipitation and other dynamic parameters, regional empirical IDF models were developed. The adopted approach to derive station-specific and regional empirical IDF models was statistically significant and useful for obtaining extreme rainfall intensities at the given station and ungauged locations. The analysis revealed that the region contains two distinct meteorological sub-regions highly variable in rain volume and intensity. Full article

Drought & flood events, especially the drought & flood combination events (DFCEs) on the North China Plain (NCP), known as an important grain production region in China, constitute a serious threat to China’s food security. Studies on DFCEs in this region are of great significance for the rational allocation of water resources and the formulation of integrated response strategy for droughts and floods. In this study, L-moments theory and bivariate copula method were used to evaluate the probability characteristics of seasonal DFCEs (continuous drought, continuous flood, and alternation between drought and flood) on the NCP, based on the daily precipitation data (1960–2012) at 19 meteorological stations. Results indicate the following: (1) On the NCP, the precipitation in summer accounts for 56.45%–72.02% of mean annual precipitation, and the precipitation in autumn and spring come second. The winter precipitation is the smallest (less than 4%); (2) The best-fit distribution for precipitation anomaly percentages in spring, summer and autumn are Generalized Normal (GNO), Generalized Logistic (GLO) and Pearson III (P-III) in sub-region I, respectively. While in sub-region II, they are respectively the P-III, P-III and Generalized Extreme-Value (GEV); (3) Compared with the Gumbel copula and Clayton copula, Frank copula is more suitable for spring-summer and summer-autumn precipitation anomaly percentage sequences on the NCP; (4) On the time scale, continuous drought respectively dominate in spring-summer DFCEs and in summer-autumn DFCEs on the NCP. Summer-autumn DFCEs prevail in sub-region I with the average probability value 0.34, while spring-summer DFCEs dominate in sub-region II, of which average probability value is 0.42; (5) On the spatial scale, most areas where the probability of continuous drought in spring-summer and spring drought & summer flood is relatively high are located in the northwest, northeast, and coastal parts of sub-region II; all the events with high probability of continuous drought in summer-autumn and summer flood & autumn drought occurred at the central part in the northwest of sub-region II. Full article

We study the recursive moments of aggregate discounted claims, where the dependence between the inter-claim time and the subsequent claim size is considered. Using the general expression for the m-th order moment proposed by Léveillé and Garrido (Scand. Actuar. J. 2001, 2, 98–110), which takes the form of the Volterra integral equation (VIE), we used the method of successive approximation to derive the Neumann series of the recursive moments. We then compute the first two moments of aggregate discounted claims, i.e., its mean and variance, based on the Neumann series expression, where the dependence structure is captured by a Farlie–Gumbel–Morgenstern (FGM) copula, a Gaussian copula and a Gumbel copula with exponential marginal distributions. Insurance premium calculations with their figures are also illustrated. Full article