INTERNATIONAL JOURNAL OF CLIMATOLOGY

Int. J. Climatol. (2017)

Published online in Wiley Online Library
(wileyonlinelibrary.com) DOI: 10.1002/joc.5181

Covariate and parameter uncertainty in non-stationary

rainfall IDF curve
V. Agilan and N. V. Umamahesh*
Department of Civil Engineering, National Institute of Technology, Warangal, India

ABSTRACT: Since the substantial evidence of non-stationarity in the extreme rainfall series is already reported, the current
realm of hydrologic research focusing on developing methodologies for a non-stationary rainfall condition. As the rainfall
intensity duration frequency (IDF) curve is primarily used in storm water management and infrastructure design, developing
rainfall IDF curves in a non-stationary context is a current interest of water resource researchers. In order to construct
non-stationary rainfall IDF curve, the probability distribution’s parameters are allowed to change according to covariate value
and the current practice is to use time as a covariate. However, the covariate can be any physical process and the recent
studies show that the direct use of time as a covariate may increase the bias. Moreover, the significance of selecting covariate
in developing non-stationary rainfall IDF curve is yet to be explored. Therefore, this study aims to find the uncertainties in
rainfall return levels due to the choice of the covariate (covariate uncertainty). In addition, since the uncertainty in parameter
estimates (parameter uncertainty) is the major source of uncertainty in the stationary IDF curve, the relative significance of
covariate uncertainty, when compared to the parameter uncertainty, is also explored. The study results reveal that the covariate
uncertainty is significant, especially when a number of covariates produce significantly superior non-stationary model and,
remarkably, it is nearly equivalent to the parameter uncertainty in such cases.

KEY WORDS Bayesian inference; covariate uncertainty; non-stationarity; parameter uncertainty; rainfall IDF curve
Received 28 November 2016; Revised 29 March 2017; Accepted 27 May 2017

1. Introduction probability of extreme rainfall events is assumed to be con-

Quantification of extreme rainfall characteristics (i.e.
intensity, duration and frequency) is crucial in hydrologic
designs including the design of urban storm water collec-
tion systems and flood protection systems (Hassanzadeh
et al., 2014; Rupa et al., 2015). The rainfall intensity
duration frequency (IDF) curves contain characteristics
of rainfall extremes. In specific, for a given duration and
return period, the intensity of extreme rainfall events is
described by the rainfall IDF curve. Therefore, rainfall
IDF curves have been widely used as the primary input to
approximate extreme rainfall for storm water management
and other engineering design applications (Endreny and
Imbeah, 2009; Dourte et al., 2013; Cheng and AghaK-
ouchak, 2014; Hassanzadeh et al., 2014; Yilmaz and
Perera, 2014; Agilan and Umamahesh, 2016). For devel-
oping rainfall IDF curve, observed extreme rainfall time
series of different durations (i.e. 1 h, 2 h, 3 h, 6 h, … ) are
fitted with a theoretical probability distribution. Note that
the existing rainfall IDF curves are based on the concept
of temporal stationarity, meaning, the parameters of the
fitted probability distribution are not expected to change
significantly over time. In other words, the exceedance
* Correspondence to: N. V. Umamahesh, Department of Civil Engi-
neering, National Institute of Technology, Warangal, India. E-mail:
mahesh@nitw.ac.in
stant over time (Jakob, 2013; Cheng and AghaKouchak,
2014).
However, it is now widely recognized that the global cli-
mate change is intensifying the frequency and intensity of
extreme rainfall events (Trenberth et al., 2003; Emori and
Brown, 2005; Mueller and Pfister, 2011; Tramblay et al.,
2012; Jena et al., 2014; Xu et al., 2015). For example,
the mean surface temperature of the globe has increased
during the last century due to various human activities
such as excessive greenhouse gas emission by burning
fossil fuels (Min et al., 2011; IPCC, 2013). Because of
this additional temperature, the water holding capacity
of the air is increasing 7% for every one-degree addi-
tional temperature and straightforwardly affecting rain-
fall (Trenberth, 2011). More importantly, recent studies
show that the higher atmospheric water vapour can cause
more intense rainfall events (Lenderink and van Meijgaard,
2008; Berg et al., 2013; Kunkel et al., 2013; Wasko and
Sharma, 2015). Therefore, the rise in global mean surface
temperature and subsequent increase in moisture content
of atmosphere may increase the occurrence probability
of extreme rainfall (Trenberth et al., 2003; Kunkel et al.,
2013). In recent years, the increasing trend in extreme rain-
fall characteristics is being detected in many regions of
the world (Khaliq et al., 2006; Westra et al., 2013; Agi-
lan and Umamahesh, 2015; Asadieh and Krakauer, 2015;
Mondal and Mujumdar, 2015; Vasiliades et al., 2015).

© 2017 Royal Meteorological Society

 V. AGILAN AND N. V. UMAMAHESH
Consequently, the extreme rainfall time series will have
a non-stationary component. In other words, the param-
eters of the theoretical probability distribution fitted to
the extreme rainfall series will change significantly over
time and it violates the stationarity assumption which is
made to derive the existing rainfall IDF curves. Hence,
the rainfall IDF curves developed with the stationarity
assumption will underestimate the return levels. As a
result, the drainage networks which are designed using
stationary IDF curve will fail more frequently than its
actual design. Since the rainfall IDF curves developed with
the stationarity assumption are not tenable in a chang-
ing climate, it is indispensable to update the rainfall IDF
relationship developing methods for the non-stationary
condition.
In recent years, in the direction of coping
non-stationarity in the extreme rainfall time series,
researchers developed non-stationary rainfall IDF curves
by modelling trend present in the observed extreme
rainfall time series. For example, in order to develop
non-stationary rainfall IDF curves, Cheng and AghaK-
ouchak (2014) introduced time-varying component in
the location parameter of the generalized extreme value
distribution (GEVD) using time covariate. The authors
developed non-stationary IDF curves and analysed their
uncertainties resulting from the estimation of GEVD
parameters using the Bayesian method. From their
study results, they reported that developing IDF curves
under the stationary extreme value theory may lead to
underestimation of extreme rainfall by as much as 60%.
Similarly, Yilmaz and Perera (2014) incorporated trend
in the GEVD’s location and scale parameters using time
covariate for analysing non-stationarity in the IDF curves
of Melbourne city, Australia. Further, more recently,
Agilan and Umamahesh (2016) developed non-stationary
rainfall IDF curves of Hyderabad, India and Wilming-
ton, USA by modelling non-linear trend in the extreme
rainfall series using multi-objective genetic algorithm
generated time-based covariate. In addition, they also
reported that directly applying time covariate-based linear
trend is sometimes increasing the bias of non-stationary
model.
Modelling linear trend using time covariate is simple
and easy to implement because there is no need of any
additional data and computation. However, it is already
reported that directly applying time covariate-based linear
trend is sometimes increasing the bias of non-stationary
model. Moreover, even if the time covariate-based linear
trend produces less bias non-stationary model, the covari-
ate time (or directly applying any single covariate) may
not be the best choice to model the non-stationarity in
the extreme rainfall series. Further, the covariate can be
any complicated form of time or any physical process,
which influences extreme rainfall occurrence of the study
area. In such a case, will the choice of covariate create
any significant difference in estimating return levels in a
non-stationary context? If so, are the uncertainties result-
ing from the choice of covariate higher/lower than those
resulting from the estimation of non-stationary GEVD
© 2017 Royal Meteorological Society
parameters? Till date, these two questions were not stud-
ied. However, it is indispensable to know the answers to
these two questions for the accurate estimate of return
levels. Therefore, the objectives of this study are: (1)
to quantify the uncertainties in estimating non-stationary
return levels due to the choice of covariate (covariate
uncertainty); (2) to quantify the uncertainties resulting
from the estimation of non-stationary GEVD parameters
(parameter uncertainty) and (3) to analyse the significance
of covariate uncertainties when compared to the parameter
uncertainties.
2. Study area and data
Since the aim of this study is to analyse the uncer-
tainties in non-stationary rainfall IDF curves, the study
areas where the non-stationarity in the rainfall IDF curves
were already reported are chosen. Initially, Cheng and
AghaKouchak (2014) reported the non-stationarity in the
rainfall IDF curves of Wilmington city, USA. Then, Agi-
lan and Umamahesh (2016) developed non-stationary
IDF curves of Hyderabad city, India and Wilmington
city, USA by modelling non-linear trend present in the
extreme rainfall time series and reported the significance
of non-stationary IDF curves for designing infrastruc-
tures of these two cities. Though there are many stud-
ies which show non-stationarity in the daily rainfall of
many parts of the worlds (Khaliq et al., 2006; Agilan and
Umamahesh, 2015; Asadieh and Krakauer, 2015; Mondal
and Mujumdar, 2015; Vasiliades et al., 2015), since the
non-stationarity in the rainfall IDF curves of Hyderabad
city and Wilmington city is already detected and mod-
elled; these two cities are considered as study area for
studying the uncertainties in non-stationary rainfall IDF
curves. For more information on geographical and clima-
tological details of Hyderabad city and Wilmington city,
the interested reader is referred to Agilan and Umamahesh
(2016).
For this study, the hourly rainfall observed at the centre
of the Hyderabad city by the India Meteorological Depart-
ment is procured for the period of 01 January 1972 to 31
December 2013. From the hourly observations, different
duration (1, 2, 3, 6, 12, 24 and 48 h) rainfall series are gen-
erated using the moving window approach and the annual
maximum series is extracted from each duration rainfall
time series. In the case of Wilmington city, the annual max-
imum rainfall series of 1-, 2-, 3-, 6-, 12-, 24- and 48-h dura-
tion rainfall is available through the United States National
Oceanic and Atmospheric Administration (NOAA) Atlas
14 (Bonnin et al., 2006) and it is downloaded from http://
hdsc.nws.noaa.gov/hdsc/pfds/pfds_series.html (Accessed
on 11 January 2016) for the available period of 53 years
(1948–2000).
Then, for developing non-stationary rainfall IDF curves,
there is a need for covariates. Since it is irrelevant to
use covariates which are not having any relationship with
extreme rainfall process, it is essential to identify a set
of potential covariates. Recently, Agilan and Umamahesh
Int. J. Climatol. (2017)
 COVARIATE AND PARAMETER UNCERTAINTY IN NON-STATIONARY RAINFALL IDF CURVE
(2015) detected and attributed the non-stationarity present
in the intensity and frequency of Hyderabad city extreme
rainfall. For attributing non-stationarity in the Hyder-
abad city extreme rainfall characteristics, they have used
four physical processes which are having a significant
influence on Hyderabad city extreme rainfall, namely El
Niño-Southern Oscillation (ENSO) cycle, urbanization,
global warming and local temperature changes. There-
fore, they are selected as possible covariates for developing
non-stationary rainfall IDF curves of Hyderabad city. In
addition to these four physical processes, Indian Ocean
Dipole (IOD) has a significant influence on extreme rain-
fall of India (Ajayamohan and Rao, 2008) and the green-
house warming is also increasing the frequency of extreme
IOD events (Cai et al., 2014). Therefore, it is also added
to the potential covariates list. Besides these five physi-
cal processes, the weather variables, namely geopotential
height (hgt), sea level pressure (slp), relative humidity
(rhum), specific humidity (shum), zonal wind velocity
(uwnd), meridional wind velocity (vwnd) and total per-
ceptible water (pr_wtr) are the general choices in many
studies of downscaling precipitation from global climate
models (Raje and Mujumdar, 2009; Najafi et al., 2011;
Mujumdar and Kumar, 2012), because they are linked
with precipitation occurrence. Hence, these weather vari-
ables are also considered as potential covariates. Further,
total rainfall (t-rain), total monsoon (June–September)
rainfall (m-rain) and time are also considered as poten-
tial covariates for developing non-stationary rainfall IDF
curves. In the case of Wilmington city, due to unavailabil-
ity of data, the covariates urbanization, local temperature
changes, t-rain and m-rain are not considered. In addi-
tion, IOD is not considered for modelling non-stationarity
in the Wilmington city extreme rainfall because there
was no evidence in the literature showing the relationship
between IOD and rainfall of North America. However,
based on the available literature, other teleconnections
that are having a significant influence on rainfall occur-
rence over North America are considered for Wilming-
ton city. In particular, recently Mallakpour and Villarini
(2016) showed the possible relationship between the fre-
quency of flooding over the United States and telecon-
nections, namely the North Atlantic Oscillation (NAO),
the Pacific Decadal Oscillation, the Atlantic Multi-decadal
Oscillation (AMO) and the Pacific-North American pat-
tern (PNA). In addition, there are many previous studies
which show the relationship between these large-scale cli-
mate variabilities and rainfall over the United States (Hen-
derson and Robinson, 1994; McCabe and Dettinger, 1999;
Enfield et al., 2001; Sheridan, 2003; Durkee et al., 2008).
Hence, these four physical processes are also considered
for modelling non-stationarity in Wilmington city extreme
rainfall.
Then, the data sets that represent the aforementioned
physical processes/weather variables need to be identified.
The HadCRUT4 yearly global temperature anomaly with
respect to 1961–1990 mean is used to represent global
warming and this data set is based on average surface
air temperature observations [http://www.metoffice.gov
© 2017 Royal Meteorological Society
.uk/hadobs/hadcrut4/ (accessed on 15 July 2015)]. The
ENSO cycle is normally represented using three indices,
namely Multivariate ENSO Index (MEI), Southern Oscil-
lation Index (SOI) and sea surface temperature (SST).
As one of the objectives of this study is to evaluate the
uncertainties in return level estimation due to the choice
of the covariate, we have considered all three indices to
represent the ENSO cycle. The monthly SST anomaly
over NINO 3.4 (17∘ E–120∘ W, 5∘ S–5∘ N) region with
respect to 1981–2010 mean is used as SST index and it
is available at http://www.esrl.noaa.gov/psd/gcos_wgsp/
Timeseries/Data/nino34.long.anom.data (accessed on 01
March 2016). The SOI is a standardized index based on the
observed sea level pressure differences between Tahiti and
Darwin, Australia and it is available at http://www.bom
.gov.au/climate/current/soihtm1.shtml (accessed on 01
March 2016). The MEI is based on six main observed vari-
ables over the tropical Pacific, i.e. sea level pressure, zonal
and meridional components of the surface wind, SST, sur-
face air temperature and total cloudiness fraction of the sky
and it is available at http://www.esrl.noaa.gov/psd/enso/
mei.ext/table.ext.html (accessed on 01 March 2016). The
monthly values of SST, MEI and SOI are converted into
yearly values [i.e. average of November–March (Mondal
and Mujumdar, 2015)] and used as covariates representing
the ENSO cycle in a yearly basis. The monthly Dipole
Mode Index (DMI) (Saji et al., 1999) based on HadISST
data set is downloaded from http://www.jamstec.go.jp/
frcgc/research/d1/iod/DATA/dmi.monthly.txt (accessed
on 15 March 2016) and yearly (i.e. averaged from June to
November) DMI is calculated and used as a covariate rep-
resenting IOD. For representing weather variables, namely
hgt, slp, rhum, shum, uwnd, vwnd and pr_wtr, the NCEP
reanalysis data sets are downloaded from http://www
.esrl.noaa.gov/psd/data/gridded/data.ncep.reanalysis.html
(accessed on 10 March 2016) and interpolated for both
the cities. Then, the standardized yearly average value of
each variable is used as a covariate. The yearly PNA index
is downloaded from http://research.jisao.washington.edu/
data_sets/pna/pnandjfm.ascii (accessed on 05 March
2016) and the yearly NAO index is downloaded from
http://research.jisao.washington.edu/data_sets/nao/nao
.ascii (accessed on 05 March 2016). Monthly POD and
AMO indices are downloaded from http://www.ncdc.noaa
.gov/teleconnections/pdo/ (accessed on 05 March 2016)
and http://www.esrl.noaa.gov/psd/data/correlation/amon
.us.long.data (accessed on 05 March 2016), respectively,
and the yearly average values are used as covariates. To
represent local temperature changes of the Hyderabad
city, the hourly temperature observed at the centre of the
Hyderabad city by the India Meteorological Department is
procured for the period of 01 January 1972 to 31 Decem-
ber 2013. Then, three indices, namely local yearly mean
temperature anomaly (lta-mean), local yearly maximum
temperature anomaly (lta-max) and local yearly minimum
temperature anomaly (lta-min) are calculated and used
as covariates. Note that all three temperature anomalies
are based on 1972–2013 mean value. The urban growth
of Hyderabad city is represented by a data set which was
Int. J. Climatol. (2017)
 V. AGILAN AND N. V. UMAMAHESH

Table 1. List of covariates used to analyse the uncertainties in is the asymptotic distribution of annual maximum series
non-stationary rainfall IDF curves. and the cumulative distribution function (CDF), F, of
GEVD is given by Equation (1) (Coles, 2001; Katz et al.,
S. no. Covariate Hyderabad Wilmington
name 2002).

1 gta Yes Yes F (m; 𝛼, 𝛽, k)

2 urban Yes No { [ ]−1∕k }
3 lta-mean Yes No ⎧ k(m−𝛼)
4 lta-max Yes No ⎪exp − 1 + 𝛽 ,
5 lta-min Yes No ⎪
=⎨ 𝛽 > 0, 1 + k(m−𝛼) > 0, k ≠ 0
6 mei Yes Yes
⎪ { [ ]} 𝛽
7 sst Yes Yes ⎪exp − exp − 𝛽 (m−𝛼)
, 𝛽 > 0, k = 0
8 soi Yes Yes ⎩
9 dmi Yes No (1)
10 hgt Yes Yes
11 slp Yes Yes where, 𝛼 is the location parameter, 𝛽 is the scale param-
12 uwnd Yes Yes
eter and it characterizes the spread of the distribution
13 vwnd Yes Yes
14 rhum Yes Yes and k is the shape parameter and it characterizes the tail
15 shum Yes Yes behaviour of the distribution. This model is to fit the dis-
16 pr_wtr Yes Yes tribution of annual maximum series when the parameters
17 t-rain Yes No are constant. In another sense, the annual maximum rain-
18 m-rain Yes No fall series is a stationary series. Once the parameters of
19 time Yes Yes
the model are estimated using any parameter estimation
20 nao No Yes
21 pna No Yes method (such as method of maximum likelihood), the esti-
22 pdo No Yes mated parameters are used to calculate the return level
23 amo No Yes of the d-h duration rainfall for the given return period in
terms of the probability value. Estimation of return level
for a Q year return period is given by Equation (2) (Coles,
developed by Agilan and Umamahesh (2015). In details, 2001). In other words, the intensity of d-h duration rain-
they created urbanization data set using remote sensing fall with a 1/Q probability of exceedance is described by
data and supervised image classification algorithm. For Equation (2).
more information on preparing urbanization data set, the
interested reader is referred to Agilan and Umamahesh ⎧ [( ( ))−̂k ]
𝛽̂
(2015). As used in previous studies (Cheng and AghaK- ⎪𝛼̂ + ̂ − log 1 − Q 1
−1 , ̂ k ≠ 0,
⎪ k
ouchak, 2014; Yilmaz and Perera, 2014; Agilan and ZQ = ⎨
Umamahesh, 2016), the standardized year values are ⎪ [ ( ( ))]
used as covariate which represents time. From the hourly ⎪𝛼̂ + 𝛽̂ − log − log 1 − Q1 , ̂
k = 0,
⎩
rainfall observations of Hyderabad city, the yearly total (2)
rainfall and monsoon season total rainfall are calculated. where, 𝛼 ̂, ̂
k and 𝛽̂ are estimated values of 𝛼, k and 𝛽,
Then, these values are standardized and used as covariates respectively. The current practice assumes that the extreme
for modelling non-stationarity in the Hyderabad city rainfall series is a stationary series and the parameters
extreme rainfall. In summary, the list of covariates used of the GEVD will not vary with respect to time. In
to analyse the uncertainties in non-stationary rainfall IDF other words, the (probability density function) PDF/CDF
curves are given in Table 1. The number of covariates shape of the GEVD is constant over time. However,
used to model the non-stationarity in the Hyderabad city as mentioned in Section 1, the global climate change
and the Wilmington city extreme rainfall are 19 and 16, is creating a non-stationary component in the extreme
respectively. rainfall time series. Therefore, it violates the assump-
tion that the PDF/CDF shape of the GEVD is constant
over time. For example, if the location parameter of
3. Non-stationary IDF curve GEVD increases with time, the PDF shape will shift
As stated before, the rainfall IDF curve describes the forward and it will significantly change the estimated
intensity of extreme rainfall events for a given dura- return level. In specific, the return period of the same
tion and return period and it is developed by fitting an intensity (Z) extreme rainfall will reduce and the situa-
appropriate theoretical probability distribution to differ- tions similar to this are already reported in the literature
ent duration extreme rainfall time series. In this study, (Cheng and AghaKouchak, 2014; Agilan and Umamahesh,
the annual maximum approach is used to derive the 2016).
extreme rainfall time series. Let M = m1 , m2 , … , mn be Towards modelling the non-stationarity in the
the annual maximum rainfall series of d-h duration rain- extreme rainfall time series, researchers allowed
fall and the values in the series are n independent and the parameters of the GEVD to vary with time and
identically distributed (iid) random variables. The GEVD the CDF of a non-stationary GEVD is given by

© 2017 Royal Meteorological Society Int. J. Climatol. (2017)

 COVARIATE AND PARAMETER UNCERTAINTY IN NON-STATIONARY RAINFALL IDF CURVE

Equation (3). where, c is a covariate; 𝛼 0 and 𝛽 0 are intercepts; 𝛼 1 and 𝛽 1

{ [ ] } are slope parameters. The exponential function in
⎧ kt (mt −𝛼t ) −1∕kt
⎪exp − 1 + 𝛽t
, Equation (6) ensures the positive values of the scale
⎪ parameter. To develop non-stationary GEVD for each
( ) ⎪ kt (mt −𝛼t )
F mt ; 𝛼t , 𝛽t , kt = ⎨ 𝛽{t > 0, 1 +
[ m −𝛼 𝛽t ]}
> 0, kt ≠ 0 duration extreme rainfall series, we have formulated
⎪exp − exp − ( t t ) , two types of non-stationarity setting (1) type-1: the
⎪ 𝛽t time-varying component is introduced only in the loca-
⎪ 𝛽t > 0, kt = 0 tion parameter while the scale and shape parameters are
⎩
(3) kept constant over time and (2) type-2: both location
where, the parameters 𝛼 t , 𝛽 t and kt are linked with some and scale parameters are allowed to vary with time by
covariate(s) which vary with time. The covariate can keeping shape parameter as time invariant. With each
be simply the year values (time) or any physical pro- covariate (listed in Section 2), two non-stationary GEVDs
cess (e.g. global warming) or any weather variable (e.g. are defined according to two types of non-stationarity
local temperature). Once the time-varying parameters setting. Then the parameters of these non-stationary
are defined and they are linked with any covariate(s), GEVDs are estimated using the method of maximum
then the non-stationary GEVD parameters can be esti- likelihood. If M = m1 , m2 , … , mn is an annual maxi-
mated and substituted in Equation (4) for estimating mum rainfall series extracted from n years of data, the
non-stationary return levels. Unlike the stationary model, log-likelihood derived from Equation (3) is given by
the non-stationary GEVD parameters will vary with time. Equations (7)–(10).
Consequently, the return level for the given design proba- For k ≠ 0 and type-1,
bility also varies with time; therefore, the return level for
the given design probability is a set of values. ( )
log L 𝛼0 , 𝛼1 , 𝛽, k = −n log 𝛽 − (1 + 1∕k)
{ } [ ( ( ) )]
ZQ = zQ ,
1 2
zQ
, … , zQ
n ∑n
mi − 𝛼0 + 𝛼1 × ci
× log 1 + k
⎧ [( ( ))−k̂t ] i=1
𝛽
⎪𝛼̂t + 𝛽̂t − log 1 − 1 −1 , [ ( ( ) )]−1∕k
⎪ k̂t Q ∑ n
mi − 𝛼0 + 𝛼1 × ci
⎪ k̂t(≠ 0, t ))]
= 1,2, … , n − 1+k ,
=⎨ [ ( (4) i=1
𝛽
⎪𝛼̂t + 𝛽̂t − log − log 1 − 1
, ( ( ))
⎪ Q mi − 𝛼0 + 𝛼1 × ci
⎪ k̂t = 0, t = 1,2, … , n 1+k >0 (7)
⎩ 𝛽
As stated earlier, the goal of this study is to evalu-
ate the uncertainties in estimating rainfall return levels For k ≠ 0 and type-2,
(Equation (4)) due to the choice of covariate and due to
estimating non-stationary GEVD parameters and they are ( ) ∑n
( )
carried out in the subsequent sections. log L 𝛼0 , 𝛼1 , 𝛽0 , 𝛽1 , k = − 𝛽0 + 𝛽1 × ci − (1 + 1∕k)
i=1
[ ( ( ) )]
∑n
mi − 𝛼0 + 𝛼1 × ci
4. Covariate uncertainty × log 1 + k ( )
i=1 exp 𝛽0 + 𝛽1 × ci
4.1. Significant covariates [ ( ( ) )]−1∕k
In a non-stationary GEVD, the time-varying component ∑ n
mi − 𝛼0 + 𝛼1 × ci
− 1+k ( ) ,
is introduced in the parameters by linking covariates with i=1 exp 𝛽0 + 𝛽1 × ci
them. Though all three parameters of GEVD can be ( ( ))
allowed to vary with time, since the shape parameter k can- mi − 𝛼0 + 𝛼1 × ci
1+k ( ) >0 (8)
not be estimated precisely and assuming it as a smooth exp 𝛽0 + 𝛽1 × ci
function of time is unrealistic (Coles, 2001), the shape
parameter is not allowed to vary with time and only the For k = 0 and type-1,
location and scale parameters are permitted to vary with
time. The general form of incorporating time-varying com- ( )
ponent in the location parameter of the GEVD using a log L 𝛼0 , 𝛼1 , 𝛽 = −n log 𝛽
( ( ))
covariate is given by Equations (5) and (6) gives the same ∑n
mi − 𝛼0 + 𝛼1 × ci
for the scale parameter. −
[ ] i=1
𝛽
[ ] 𝛼0 [ ( ( ) )]
𝛼 t = 1 ct (5) ∑n
mi − 𝛼0 + 𝛼1 × ci
𝛼1
− exp −
{ [ ]} 𝛽
[ ] 𝛽0 i=1
𝛽t = exp 1 ct (6) (9)
𝛽1

© 2017 Royal Meteorological Society Int. J. Climatol. (2017)

 V. AGILAN AND N. V. UMAMAHESH
For k = 0 and type-2,
( ) ∑n
( )
log L 𝛼0 , 𝛼1 , 𝛽0 , 𝛽1 = − 𝛽0 + 𝛽1 × ci
i=1
( ( ))
∑
n
mi − 𝛼0 + 𝛼1 × ci
− ( ) of the stationary model, −log Lns is the minimized neg-
i=1 exp 𝛽0 + 𝛽1 × ci
[ ( ( ) )]
∑n
mi − 𝛼0 + 𝛼1 × ci
− exp − ( ) (10)
i=1 exp 𝛽0 + 𝛽1 × ci
The most likely set of parameters is estimated by max-
imizing any of the above log-likelihood, according to the
type of non-stationarity setting. Note that the method of
maximum likelihood may not be the correct choice when
the sample size is less than 25 because it estimates physi-
cally infeasible shape parameter with a small sample (Katz
et al., 2002; Sugahara et al., 2009; Cannon, 2010). As
stated earlier, 19 and 16 are the number of covariates which
are used to model the non-stationarity in the Hyderabad
city and the Wilmington extreme rainfall, respectively.
Since two types of non-stationarity settings are applied
with each covariate, the total number of non-stationary
GEVD for each duration extreme rainfall series of Hyder-
abad city and Wilmington city are 38 and 32, respectively.
In order to avoid selecting two models which are from
the same covariate, first, the best model for each covari-
ate is selected (among two models) based on the corrected
Akaike Information Criterion value. The Akaike Informa-
tion Criterion with small sample size correction (AICc) is
generally used to select the best model among different
candidate models (Strupczewski et al., 2001; Agilan and
Umamahesh, 2016) and it is given by Equation (11).
2p (p + 1)
AICc = −2 log L + 2p + (11)
n−p−1
where, −log L is the minimized negative log-likelihood
of GEVD, n is the sample size and p is the number of
parameters in the model. Once the best model for each
covariate is identified, the uncertainties in rainfall return
levels due to the choice of covariate are analysed. Though
the covariates are carefully chosen, they may not necessar-
ily produce a non-stationary model which is significantly
superior to the stationary model. Therefore, it is unreal-
istic to analyse the uncertainties in return levels with all
non-stationary models (19 or 16) and it is essential to
identify the non-stationary models (the covariates), which
are significantly superior to the stationary model of the
corresponding duration extreme rainfall series. The sta-
tistical significance of the non-stationary model is esti-
mated by testing the statistical significance of the trend
parameter in the non-stationary model using the likelihood
ratio (LR) test. In the LR test, the negative log-likelihood
of the non-stationary and stationary model is compared
to test the null hypothesis of no trend in a parameter.
Under the null hypothesis of no trend in a parameter,
based on twice the difference between minimized negative
log-likelihood of the stationary and non-stationary model,
the LR test statistic approximately follows chi-square
© 2017 Royal Meteorological Society
distribution with dp degree of freedom (Katz, 2013) and
it is given by Equation (12).
[( ) ( )]
2 − log Ls − − log Lns ∼ 𝜒 2 (dp) (12)
where, −log Ls is the minimized negative log-likelihood
ative log-likelihood of non-stationary model and dp is
the difference between a number of parameters in the
non-stationary model and the stationary model. In this
study, the non-stationary models that have LR test p-value
less than 0.05 are considered for analysing the uncertain-
ties in return levels due to the choice of the covariate.
4.2. Non-stationary return levels
As aforementioned, two non-stationary GEVDs are con-
structed using two types of non-stationarity setting and
the best model for each covariate is selected for further
analysis. The best model (type) for each covariate with 1-h
duration annual maximum rainfall series of Hyderabad
city and Wilmington city are listed in Table 2. Once the
best model for each covariate is identified, the list of
covariates that produced non-stationary GEVDs which
are significantly superior to the stationary GEVD are
identified using the LR test p-value. The list of covariates
which produced a significantly superior non-stationary
model for 1-h duration annual maximum rainfall series
of Hyderabad city and Wilmington city are highlighted
(bold) in Table 2. Upon identifying these covariates for
all selected durations of Hyderabad and Wilmington city,
parameters of non-stationary GEVDs which are based on
the identified covariates are substituted into Equation (4)
for estimating rainfall return levels of different design
probability values. Since the parameters of non-stationary
GEVD vary with covariate value, the return level for a
given return period (design probability) is a set of values,
instead of a single value. Therefore, the changes in rainfall
return level due to the choice of covariate are presented
in the form of return levels’ CDF. First, the return levels’
PDF is obtained using kernel density estimation method
and the return levels’ CDFs obtained from different
non-stationary GEVDs are analysed.
The 10-year return levels’ CDFs obtained from differ-
ent non-stationary GEVDs which are significantly supe-
rior to the stationary GEVD of the corresponding duration
extreme rainfall are plotted in Figures 1 and 2 for Hyder-
abad city and Wilmington city extreme rainfall series,
respectively. From Figures 1 and 2, it is observed that
the number of non-stationary GEVDs which are signifi-
cantly superior to the stationary GEVD is not same for
all selected durations of Hyderabad city and Wilmington
city rainfall. In the case of Hyderabad city, the number of
non-stationary models which are superior to the stationary
model is relatively more for long-duration rainfall series
when compared to the short-duration rainfall series. On
the other hand, the Wilmington city results show totally
different behaviour, i.e. the number of non-stationary mod-
els which are superior to the stationary model is relatively
more for short-duration rainfall series when compared with
Int. J. Climatol. (2017)
 COVARIATE AND PARAMETER UNCERTAINTY IN NON-STATIONARY RAINFALL IDF CURVE

Table 2. The best model (type) for each covariate with 1-h duration annual maximum rainfall series.

Hyderabad Wilmington
Covariate Type LR test p-value ΔAICc Covariate Type LR test p-value ΔAICc
urban 1 0.668 −2.266 gta 1 0.004 5.772
dmi 1 0.418 −1.793 sst 1 0.066 1.031
lta_mean 1 0.036 1.945 mei 1 0.067 1.005
lta_max 1 0.278 −1.272 soi 1 0.139 −0.152
lta_min 1 0.213 −0.898 nao 2 0.056 0.978
gta 1 0.722 −2.323 pna 1 0.037 1.990
sst 1 0.226 −0.985 pdo 2 0.043 1.528
mei 1 0.294 −1.349 amo 1 0.768 −2.256
soi 1 0.320 −1.460 time 1 0.001 8.694
time 1 0.668 −2.266 hgt 1 0.236 −0.938
t_rain 1 0.045 1.569 pr_wtr 1 0.494 −1.875
m_rain 1 0.069 0.862 rhum 1 0.110 0.212
hgt 1 0.543 −2.079 shum 1 0.917 −2.333
pr_wtr 1 0.084 0.527 slp 1 0.406 −1.653
rhum 1 0.388 −1.705 uwnd 1 0.002 6.979
shum 1 0.333 −1.512 vwnd 1 0.910 −2.331
slp 1 0.787 −2.377
uwnd 1 0.839 −2.408
vwnd 1 0.791 −2.379
ΔAICc is the difference between AICc of non-stationary and the stationary GEVD.

the long-duration rainfall series. Further, the number of
significantly superior non-stationary models for the Wilm-
ington city extreme rainfall series are less when compared
with the Hyderabad city and it may be due to the fewer
number covariates used to model the non-stationarity in the
Wilmington city extreme rainfall (i.e. Hyderabad city = 19
covariates; Wilmington city = 16 covariates). In addition,
whenever a number of non-stationary models qualified for
the particular extreme rainfall series, the uncertainty in
return levels also appears to be more (refer 12-h duration
plot in Figure 1 and 1-h duration plot in Figure 2). Fur-
ther, in order to obtain the overall picture, the percentage
change between the minimum and maximum return lev-
els of each percentile is calculated for all return periods.
Then, the boxplots of these differences are plotted for all
selected durations in Figure 3. Similar to return levels’
CDFs (Figures 1 and 2), Figure 3 reveals that the covari-
ate uncertainty is more in Hyderabad city long-duration
rainfall series and Wilmington city short-duration rainfall
series. Since only one covariate produced a significantly
superior non-stationary model for Wilmington city 12-, 24-
and 48-h duration extreme rainfall time series, there is no
covariate uncertainty for those time series.
It is worth to note that the covariate uncertainty results
of Hyderabad city and Wilmington city showed totally
opposite trend, i.e. the covariate uncertainty is more in
Hyderabad city long-duration rainfall series while Wilm-
ington city has more uncertainty in the short-duration rain-
fall series. Therefore, it is clear that the covariate uncer-
tainty is not controlled by the duration of the extreme
rainfall series. Further, in the direction of understand-
ing reasons for more covariate uncertainties in Hyder-
abad city long-duration rainfall series and Wilmington city
short-duration extreme rainfall series, the magnitude of
trend present in Hyderabad and Wilmington city extreme
rainfall series of all selected durations are investigated
using the Mann–Kendall (M–K) trend test (Mann, 1945;
Kendall, 1962). The M–K test is a non-parametric statis-
tical test which is normally used to detect trends in time
series and it has a long tradition of use in hydrology and
has been applied in the case of rainfall extremes (Villarini
et al., 2009; Cheng and AghaKouchak, 2014; Yilmaz and
Perera, 2014). The M–K test ‘Tau’ value of Hyderabad and
Wilmington city extreme rainfall series of selected dura-
tions are given in Table 3. The interpretation of M–K test
‘Tau’ value is similar to the correlation coefficient, i.e. the
‘Tau’ value varies from −1 to +1 and the positive ‘Tau’
value indicates an increasing trend in the time series, while
the negative ‘Tau’ value indicates the counterpart. From
Table 3, it is observed that the number of covariates which
produce a significantly superior non-stationary model is
more when the magnitude of trend in the extreme rainfall
series is relatively high. Consequently, the covariate uncer-
tainty is more when a number of models (covariates) are
qualified as a significantly superior model.
Further, the significance of covariate uncertainty is also
checked using low-risk approach (Cheng et al., 2014). In
a non-stationary context, Cheng et al. (2014) defined 95
percentile of return level values as effective return level
and called it as a low-risk (more conservative) approach.
In addition, this method is also used by Cheng and AghaK-
ouchak (2014) and Agilan and Umamahesh (2016) for
developing non-stationary rainfall IDF curves. Therefore,
the difference in 95th percentile return levels that are esti-
mated with different covariates is analysed. In the case of
Hyderabad city 12-h duration extreme rainfall series, the
95th percentile of 10-year return level estimated by time
covariate and t-rain covariate-based non-stationary mod-
els are 10.73 mm h−1 and 14.76 mm h−1 . There is around
4 mm h−1 difference in estimated values and, even for a
small catchment, this 48 mm (12 × 4) extra rainfall will
create a significant difference in peak flow. Furthermore,

© 2017 Royal Meteorological Society Int. J. Climatol. (2017)

 V. AGILAN AND N. V. UMAMAHESH

1-h
1 2-h
1
0.9 0.9
0.8 0.8
0.7 0.7
0.6 0.6
lta-mean
F(x)

F(x)
0.5 t-rain 0.5 lta-mean
t-rain
0.4 0.4 m-rain

0.3 0.3

0.2 0.2

0.1 0.1

0 0
40 45 50 55 60 65 70 75 20 25 30 35 40 45 50
Intensity mm h–1
Intensity mm h–1
3-h 6-h
1 1
0.9 0.9
0.8 0.8
0.7 urban 0.7
lta-mean
0.6 lta-max
0.6 lta-mean
F(x)

F(x)
gta lta-max
0.5 0.5 lta-min
time
t-rain gta
0.4 0.4
m-rain t-rain
0.3 0.3 m-rain

0.2 0.2
0.1 0.1

0 0
20 22 24 26 28 30 32 34 36 10 12 14 16 18 20 22
Intensity mm h–1 Intensity mm h–1

12-h 24-h
1 1
0.9 0.9
0.8 0.8

0.7 0.7
urban
0.6 lta-mean 0.6
lta-max
F(x)

F(x)

0.5 lta-min 0.5 lta-min

sst sst
0.4 mei 0.4 mei
time t-rain
0.3 t-rain
0.3 m-rain
m-rain
0.2 0.2
0.1 0.1

0 0
0 5 10 15 20 25 30 35 0 5 10 15 20 25
Intensity mm h–1 Intensity mm h–1

12-h
1
0.9

0.8
0.7
0.6
F(x)

0.5
lta-mean
0.4 sst
mei
0.3 t-rain
m-rain
0.2
0.1

0
1 2 3 4 5 6 7 8 9 10
Intensity mm h–1

Figure 1. The 10-year return levels’ CDFs of Hyderabad city extreme rainfall. [Colour figure can be viewed at wileyonlinelibrary.com].

it is worth to note that the 10-year return level calculated
with covariate t-rain is higher than 25-year return level cal-
culated with covariate time, i.e. 12.73 mm h−1 . Therefore,
it is evident that the choice of covariate will make a sig-
nificant difference in estimating rainfall return levels and
IDF relationship.
5. Parameter uncertainty
From the previous section, it is observed that the choice of
the covariate in modelling non-stationarity in the extreme
rainfall series will create a significant difference in the
return level estimation. At the same time, it should be

© 2017 Royal Meteorological Society Int. J. Climatol. (2017)

 COVARIATE AND PARAMETER UNCERTAINTY IN NON-STATIONARY RAINFALL IDF CURVE

1-h 2-h
1 1
gta
0.9 0.9 gta
pna pna
0.8 pdo 0.8 pdo
time
time
0.7 uwnd 0.7 rhum
uwnd
0.6 0.6
F(x)

F(x)
0.5 0.5

0.4 0.4

0.3 0.3

0.2 0.2

0.1 0.1

0 0
45 50 55 60 65 70 75 80 85 90 30 35 40 45 50 55 60
Intensity mm h–1 Intensity mm h–1
3-h 6-h
1 1
gta
0.9 0.9 pna

0.8 gta 0.8

pna
0.7 pdo 0.7
time
0.6 0.6
F(x)

0.5 F(x) 0.5

0.4 0.4

0.3 0.3

0.2 0.2

0.1 0.1

0 0
26 30 32 34 36 38 40 42 14 16 18 20 22 24 26
Intensity mm h–1 Intensity mm h–1
12-h 24-h
1 1

0.9 pna
0.9
vwnd
0.8 0.8

0.7 0.7

0.6 0.6
F(x)

F(x)

0.5 0.5

0.4 0.4

0.3 0.3

0.2 0.2

0.1 0.1

0 0
9 10 11 12 13 14 15 5.5 6 6.5 7 7.5 8 8.5
Intensity mm h–1 Intensity mm h–1
48-h
1

0.9
pr-wtr
0.8

0.7

0.6
F(x)

0.5

0.4

0.3

0.2

0.1

0
4 4.1 4.2 4.3 4.4 4.5 4.6 4.7
Intensity mm h–1

Figure 2. The 10-year return levels’ CDFs of Wilmington city extreme rainfall. [Colour figure can be viewed at wileyonlinelibrary.com].

© 2017 Royal Meteorological Society Int. J. Climatol. (2017)

 V. AGILAN AND N. V. UMAMAHESH

150 Hyderabad has been previously used to address the parameter uncer-
tainties in rainfall IDF curves which were developed under
Percentage change in return level

both stationary (Huard et al., 2010; Rupa et al., 2015) and

non-stationary (Cheng and AghaKouchak, 2014) condi-
100

tions. Hence, in this study, the parameter uncertainty is

addressed using the Bayesian method.
50

5.1. Bayesian method

The fundamental principle of the Bayesian method is to
0

1-h 2-h 3-h 6-h 12-h 24-h 48-h use Bayes’ theorem to update one’s uncertainty about
Duration
parameter expressed in terms of prior, before inclusion
Wilmington of additional information provided by data (Hao et al.,
2015). Unlike classical methods, in the Bayesian approach,
25
Percentage change in return level

parameters are treated as random variables and the pos-

20

terior distribution of parameters is obtained by multiply-

ing the prior distribution of parameters and the likelihood
15

function of GEVD obtained from the data. The poste-

rior density of parameters given data, 𝜋(𝜃|m), is given by
10

Equation (13).
5

𝜋 (𝜃|m) ∝ L (m|𝜃) × 𝜋 (𝜃) (13)

0

1-h 2-h 3-h 6-h 12-h 24-h 48-h

Duration
For type-1 non-stationary GEVD,
{ }
Figure 3. Uncertainties in non-stationary rainfall return levels due 𝜃 = 𝛼0 , 𝛼1 , 𝛽 and k (14)
to the choice of the covariate. [Colour figure can be viewed at
wileyonlinelibrary.com]. For type-2 non-stationary GEVD,
{ }
also noted that the analysis of extreme rainfall is often 𝜃 = 𝛼0 , 𝛼1 , 𝛽0 , 𝛽1 and k (15)
hampered by lack of sufficient data (Rupa et al., 2015) where, L(m|𝜃) is the likelihood function of GEVD and
and it has been already reported that the uncertainties in 𝜋(𝜃) is the prior distribution of parameters. Solving the
parameter estimates due to insufficient quantity and qual- Equation (13) and obtaining 𝜋(𝜃|m) gives the Bayesian
ity of data is the major source of uncertainty in the sta- inference about the non-stationary GEVD parameters.
tionary IDF curves (Rupa et al., 2015). Therefore, for the However, there are two common problems that come with
accurate estimate of return levels in a non-stationary con- the Bayesian method: (1) the choice of prior distribution of
text, it is essential to know the relative significance of parameters and (2) solving Equation (13), because it is not
the covariate uncertainty when compared to the parame- possible analytically. The parameters’ prior distributions
ter uncertainty. In this study, the covariate uncertainty is used in this study are discussed in Section 5.1.1.. Since the
addressed using the classical parameter estimation method method of Markov Chain Monte Carlo (MCMC) offers an
(i.e. the method of maximum likelihood). But, the method effective solution to the second problem, it is used and dis-
of maximum likelihood (or any classical parameter esti- cussed in Section 5.1.2..
mation method) provides only point estimates and does
not account the uncertainties in estimated parameters. On
5.1.1. Prior distribution
the other hand, the Bayesian method provides a coherent
framework for incorporating the uncertainties in parame- In the Bayesian method, the choice of prior distribu-
ter estimates (Coles et al., 2003; Rupa et al., 2015) and it tion of parameters is vital and it is normally obtained

Table 3. The M–K test ‘Tau’ value and covariate uncertainties for all selected duration extreme rainfall series.

Duration Hyderabad city Wilmington city

Tau No. of covariate Covariate uncertainty Tau No. of covariate Covariate uncertainty
Mean Max. Mean Max.
1-h 0.05 2 0.87 3.20 0.26 5 6.99 26.75
2-h 0.10 3 2.94 8.23 0.26 6 8.48 18.44
3-h 0.15 7 5.25 16.73 0.24 4 4.28 10.82
6-h 0.20 6 5.67 14.68 0.14 2 2.60 7.61
12-h 0.23 9 29.11 128.70 0.09 1 NA NA
24-h 0.12 5 31.63 155.30 0.06 1 NA NA
48-h 0.12 5 28.41 127.47 0.04 1 NA NA

© 2017 Royal Meteorological Society Int. J. Climatol. (2017)

 COVARIATE AND PARAMETER UNCERTAINTY IN NON-STATIONARY RAINFALL IDF CURVE
through a general understanding of the physical rain-
fall process, and a specific knowledge of the rainfall
characteristics within the vicinity of the study area
(Coles and Tawn, 1996). When such information is
not available for the study area, in order to avoid prior
ignorance, arbitrary distributions with large variance or
non-informative distributions are used as a prior distri-
bution of parameters (Coles et al., 2003; Renard et al.,
2013). As the specific prior is not available for the study
areas, non-informative/informative prior distributions are
chosen from the previous studies which were aiming at
developing non-stationary/stationary rainfall IDF curves
using the Bayesian method. In detail, for developing
stationary rainfall IDF curves, Huard et al. (2010) used
non-informative uniform and Jeffreys distributions as prior
for the location and scale parameters of GEVD, respec-
tively. For the shape parameter, authors used informative
beta distribution with hyperparameters a = 6 and b = 9
as a prior distribution. This choice is originally recom-
mended by Martins and Stedinger (2000) and Martins and
Stedinger (2001) based on their extensive study of rainfall
depths observed worldwide. Later, Rupa et al. (2015)
used the same priors (i.e. uniform, Jeffreys and beta) for
understanding parameter uncertainties in the stationary
rainfall IDF curves. In a non-stationary context, Cheng
et al. (2014) used non-informative normal distribution as
prior for the location and scale parameters’ components
(i.e. slope and intercept) and, as suggested by Renard et al.
(2013), they have used informative normal distribution
(mean = 0 and standard deviation = 0.3) as prior distri-
bution for the shape parameter. Further, Cannon (2010)
argued that the beta distribution with hyperparameters
a = 6 and b = 9 produce very narrow pdf with a mode at
−0.1 and nearly 90% of its probability mass concentrated
over k values between −0.3 and +0.1. Therefore, the
author suggested another set of hyperparameter values,
i.e. a = 2 and b = 3.3, which result a broader pdf with a
mode at −0.2 and approximately 90% of its probability
mass concentrated between −0.4 and +0.2. For more
information about shape parameter’s prior distribution,
the interested reader is referred to Cannon (2010). In this
study, non-informative normal distribution is used as a
prior distribution for the location and scale parameters’
components. For the shape parameter, as suggested by
Cannon (2010), the beta distribution with hyperparam-
eters a = 2 and b = 3.3 is used as a prior distribution
and it is given by Equation (16). The prior distribution
of parameter vector, 𝜋(𝜃), is given by Equations (17)
and (18).
𝜋 (k) = Beta (k + 0.5; 2, 3.3) (16)
For type-1 non-stationary GEVD,
∏
3
( )
𝜋 (𝜃) = 𝜋 (k) × f 𝜃j ; 𝜇, 𝜎 2 (17)
j=1
For type-2 non-stationary GEVD,
∏
4
( )
𝜋 (𝜃) = 𝜋 (k) × f 𝜃j ; 𝜇, 𝜎 2 (18)
j=1
© 2017 Royal Meteorological Society
where,
( ( )2 )
( ) 1 𝜃j − 𝜇
f 𝜃j ; 𝜇, 𝜎 = √
2
exp − (19)
2𝜎 2
2𝜋𝜎 2
5.1.2. MCMC method
MCMC is a simulation technique and it is used to draw
samples from a more complex approximate distribution,
which otherwise is impractical by conventional tech-
niques (Rupa et al., 2015). As the posterior distribution
(Equation (13)) is a complex high-dimensional joint
density, it is not possible to draw samples from this
distribution using conventional techniques. Therefore, the
MCMC method is used to solve Equation (13). The basic
aim of MCMC is to simulate values from the posterior dis-
tribution 𝜋(𝜃|m). If this achieved correctly, the Bayesian
inference about the GEVD parameters is obtained from the
MCMC simulated samples (samples of parameter sets). In
this study, one of the most promising MCMC algorithms,
i.e. the Metropolis–Hastings algorithm is used. In the
original Metropolis–Hastings algorithm, the choice of a
proposal distribution is critical for the mixing properties
of the resulting Markov chain and it is difficult to deter-
mine an optimal proposal distribution for the given target
posterior distribution 𝜋(𝜃|m). To alleviate this problem,
in this study, adaptive random-walk Metropolis–Hastings
algorithm is used and it is explained in the
following steps.
Step-1: The algorithm starts with an initial set of param-
eters’ values (𝜃 t − 1 ). In this study, parameters’ values esti-
mated using the method of maximum likelihood are used
as initial values.
Step-2: Next step is to generate proposal value (𝜃*) as
follows:
𝜃 ∗ = 𝜃t−1 + 𝜀 × Z (20)
where, 𝜀 is a positive scale parameter and Z is multivari-
ate normal with mean vector 0 and variance-covariance
matrix V.
Step-3: Then, calculate the acceptance probability of
proposed value (𝜃*) using Equation (21).
{ }
( ∗ ) 𝜋 (𝜃 ∗ |m)
𝛼 𝜃 |𝜃t−1 = min ( ), 1 (21)
𝜋 𝜃t−1 |m
The values 𝜋(𝜃*|m) and 𝜋(𝜃 t − 1 |m) are obtained by
multiplying priors and GEVD likelihoods of 𝜃*and 𝜃 t − 1 ,
respectively.
Step-4: Next, draw a random number (u) from the uni-
form distribution defined on [0,1]; and let
{ ( )
𝜃 ∗ , u ≤ 𝛼 𝜃 ∗ |𝜃t−1
𝜃t = ( ) (22)
𝜃t−1 , u > 𝛼 𝜃 ∗ |𝜃t−1
Upon repeating the steps 2–4 for N number times (iter-
ations), samples of parameter sets can be obtained.
There are two issues with the generated sample. (1) The
sample is influenced by the starting value and (2) the val-
ues of parameters are correlated because they are generated
Int. J. Climatol. (2017)
 V. AGILAN AND N. V. UMAMAHESH
Table 4. The best covariate, MCMC chain ar value and parameter uncertainties for all selected duration extreme rainfall series.
Duration Hyderabad city
Best covariate ar Parameter uncertainty
Mean
1-h lta_mean 0.31 22.43
2-h t_rain 0.23 19.94
3-h m_rain 0.26 24.57
6-h m_rain 0.27 26.76
12-h t_rain 0.39 32.10
24-h t_rain 0.29 40.10
48-h t_rain 0.27 38.21
by a Markov process. Though the method of maximum
likelihood is used to assign the starting value of param-
eters, in order to reduce the influence of starting value,
the first part of the sample is discarded and this part of
the sample is called burn-in period. In this study, sam-
ples of 100 000 parameter sets are generated and the first
10 000 samples are discarded. Since the values are gener-
ated by a Markov process, a low degree of autocorrelation
is allowed. However, the high degree of autocorrelation
creates a problem (i.e. mixing of Markov chain is slow).
To avoid excessive autocorrelation, the thinning interval
is used. The process thinning refers to drawing samples
from regular interval from the MCMC generated samples,
excluding burn-in period. In this study, the thinning inter-
val of 30 is used. Since the Bayesian inference is based
on the MCMC sample, it is essential to check the MCMC
chain and the inference is valid only if the MCMC chain
has converged. First, the MCMC generated samples are
visually checked using trace plot (the iteration number vs
the simulated values for the parameter) and autocorrela-
tion plot. In addition, the efficiency of MCMC chain is
checked with acceptance rate. The ratio between a number
of accepted proposal values (Step-2) and the total number
of iterations is called the acceptance rate (ar). Too small
(near to 0) ar indicates that the MCMC chain failed to
explore regions of appreciable posterior probability and
too high ar (near to 1) means that the MCMC chain stays
in a small region and fails to explore the whole posterior
domain (Gelman et al., 1997). The MCMC chain which
has neither too small nor too large ar and also has small
autocorrelation is considered as an efficient MCMC chain.
5.2. Bayesian inference
For the same duration extreme rainfall series, many
covariates may produce a non-stationary model which
is significantly superior to the stationary model of the
corresponding duration (e.g. five covariates produced a
significantly superior non-stationary model for Wilm-
ington city 1-h duration extreme rainfall series). But,
it is unrealistic to analyse the parameter uncertainty
with all covariates which produced significantly superior
non-stationary model. Therefore, the best covariate for
each duration extreme rainfall series of Hyderabad and
Wilmington city is first identified and the parameter
uncertainty is calculated only for the best covariate-based
© 2017 Royal Meteorological Society
Wilmington city
Best covariate ar Parameter uncertainty
Max. Mean Max.
55.00 time 0.26 23.20 38.29
49.49 time 0.23 26.70 44.41
47.54 time 0.27 27.04 45.25
50.40 pna 0.30 22.65 39.63
143.18 pna 0.25 25.74 40.81
164.94 vwnd 0.23 31.20 53.00
131.65 pr_wtr 0.23 29.68 46.01
non-stationary model. Among many non-stationary mod-
els which are significantly superior to the stationary
model, the model which has the lowest AICc value is
identified as the best model and the covariate which
produced that particular model is referred as the best
covariate for the corresponding duration extreme rainfall
series. The best covariate for all selected duration extreme
rainfall series of Hyderabad city and Wilmington city is
given in Table 4 and the Bayesian inferences are obtained
for the best covariates-based non-stationary GEVDs. As
aforementioned, the Bayesian inference is valid only if
the MCMC chain has converged. Therefore, it is essential
to inspect MCMC chain of all selected durations. The
trace plots and autocorrelation plots of Hyderabad city 6-h
duration rainfall series non-stationary GEVD parameters
are shown in Figure 4. The red portion in trace plot indi-
cates a burn-in period of the MCMC chain. Further, the ar
of MCMC chain for all selected duration extreme rainfall
series of Hyderabad and Wilmington city is given in
Table 4.
The trace plot of a parameter that comes from a
well-mixed MCMC chain should traverse the posterior
domain rapidly and should have a nearly constant mean
and variance. The autocorrelation of a parameter that
comes from a well-mixed MCMC chain should become
negligible fairly quickly. The trace plots in Figure 4
(top panel) show that the parameter values traverse the
posterior domain rapidly with nearly constant mean and
variance. The autocorrelation plots in Figure 4 (bottom
panel) show that the autocorrelation of MCMC simulated
values of every parameter decreases very quickly. Further,
Roberts et al. (1997) reported that 0.234 is the asymptoti-
cally optimal ar of a random-walk Metropolis–Hastings
algorithm. Recently, Hao et al. (2015) reported that the
ar of a well-mixed MCMC chain lies between 0.2 and
0.5. The ar value of 6-h duration Hyderabad city extreme
rainfall series MCMC chain is 0.27 and it indicates that
the MCMC chain of each parameter achieved a good
mixing. The trace plots, autocorrelation plots and ar value
indicate that the MCMC chain of 6-h duration Hyderabad
city extreme rainfall series has converged. Similarly,
from the trace plots, autocorrelation plots and ar values,
it is observed the MCMC chains of remaining duration
extreme rainfall series of Hyderabad and Wilmington city
have converged. In the interest of brevity, the trace plots
Int. J. Climatol. (2017)
 COVARIATE AND PARAMETER UNCERTAINTY IN NON-STATIONARY RAINFALL IDF CURVE

12 4

11.5 3.5

3
11
2.5
10.5
α0 2
10

α1
1.5
9.5
1
9
0.5
8.5 0

8 –0.5
0 1 2 3 4 5 6 7 8 9 10 0 1 2 3 4 5 6 7 8 9 10
Iterations × 104 Iterations × 104

5 0.5

4.5 0.4

0.3
4
0.2
3.5
0.1
3

k
β

0
2.5
–0.1
2
–0.2
1.5 –0.3

1 –0.4
0 1 2 3 4 5 6 7 8 9 10 0 1 2 3 4 5 6 7 8 9 10
Iterations × 104 Iterations × 104
α0 α1

0.8 0.8
Autocorrelation

0.6
Autocorrelation

0.6

0.4 0.4

0.2 0.2

0 0

–0.2 –0.2
0 10 20 30 40 50 60 70 80 90 100 0 10 20 30 40 50 60 70 80 90 100
Lag Lag
β k

0.8 0.8

0.6 0.6
Autocorrelation

Autocorrelation

0.4 0.4

0.2 0.2

0 0

–0.2 –0.2
0 10 20 30 40 50 60 70 80 90 100 0 10 20 30 40 50 60 70 80 90 100
Lag Lag

Figure 4. Trace plots and autocorrelation plots of Hyderabad city 6-h duration rainfall series non-stationary GEVD parameters. The red portion in
trace plot indicates a burn-in period of the MCMC chain. [Colour figure can be viewed at wileyonlinelibrary.com].

and autocorrelation plots of remaining durations are not
given in this article.
The sets of parameters [(𝛼 0 , 𝛼 1 , 𝛽 0 , 𝛽 1 and k) or (𝛼 0 ,
𝛼 1 , 𝛽 and k)] obtained from the posterior distribution
of parameters given data, (𝜋(𝜃|m)), are substituted into
Equation (4) to obtain return levels. The 10-year return lev-
els’ CDFs along with the parameter uncertainty bound is
plotted in Figures 5 and 6 for Hyderabad and Wilmington
city extreme rainfall series, respectively. In Figure 5, it is
to be noted that the uncertainty bound of Hyderabad city
12-, 24- and 48-h duration extreme rainfall series appears
to be small (visually) and it is because of the long range
of CDF. Similarly, the uncertainty bound of Wilmington
city 24- and 48-h duration extreme rainfall series appears
to be big (visually) and it is because of the short range
of CDF.

© 2017 Royal Meteorological Society Int. J. Climatol. (2017)

 V. AGILAN AND N. V. UMAMAHESH

1-h 2-h
1 1

0.9 0.9

0.8 0.8

0.7 0.7

0.6 0.6
F(x)

F(x)
0.5 0.5

0.4 0.4

0.3 0.3

0.2 0.2

0.1 0.1

0 0
40 45 50 55 60 65 70 75 25 30 35 40 45 50 55
Intensity mm h–1 Intensity mm h–1

3-h 6-h
1 1

0.9 0.9

0.8 0.8
0.7 0.7

0.6 0.6
F(x)

F(x)

0.5 0.5

0.4 0.4

0.3 0.3

0.2 0.2

0.1 0.1

0 0
20 25 30 35 40 10 12 14 16 18 20 22 24
Intensity mm h–1 Intensity mm h–1

12-h 24-h
1 1

0.9 0.9

0.8 0.8

0.7 0.7

0.6 0.6
F(x)
F(x)

0.5 0.5

0.4 0.4

0.3 0.3

0.2 0.2

0.1 0.1

0 0
5 10 15 20 25 30 35 40 45 5 10 15 20 25 30
Intensity mm h–1 Intensity mm h–1

48-h
1

0.9

0.8
0.7 Uncertainty
0.6 Mean
F(x)

0.5

0.4

0.3

0.2

0.1

0
2 4 6 8 10 12
Intensity mm h–1

Figure 5. The 10-year return levels’ CDFs of Hyderabad city extreme rainfall series along with parameter uncertainty.

© 2017 Royal Meteorological Society Int. J. Climatol. (2017)

 COVARIATE AND PARAMETER UNCERTAINTY IN NON-STATIONARY RAINFALL IDF CURVE

1-h 2-h
1 1

0.9 0.9

0.8 0.8

0.7 0.7

0.6 0.6
F(x)

F(x)
0.5 0.5

0.4 0.4

0.3 0.3

0.2 0.2

0.1 0.1

0 0
45 50 55 60 65 70 75 80 85 90 30 35 40 45 50 55 60
Intensity mm h–1 Intensity mm h–1
3-h 6-h
1 1

0.9 0.9

0.8 0.8

0.7 0.7

0.6 0.6
F(x)

0.5 F(x) 0.5

0.4 0.4

0.3 0.3

0.2 0.2

0.1 0.1

0 0
24 26 30 32 34 36 40 42 44 14 16 18 20 22 24 26 28
Intensity mm h–1 Intensity mm h–1
12-h 24-h
1 1

0.9 0.9

0.8 0.8

0.7 0.7

0.6 0.6
F(x)

F(x)

0.5 0.5

0.4 0.4

0.3 0.3

0.2 0.2

0.1 0.1

0 0
9 10 11 12 13 14 15 16 5 5.5 6 6.5 7 7.5 8 8.5 9 9.5
Intensity mm h–1 Intensity mm h–1

48-h
1

0.9

0.8
0.7

0.6 Uncertainty
F(x)

0.5 Mean
0.4

0.3

0.2

0.1

0
3.4 3.6 3.8 4 4.2 4.4 4.6 4.8 5
Intensity mm h–1

Figure 6. The 10-year return levels’ CDFs of Wilmington city extreme rainfall series along with parameter uncertainty.

© 2017 Royal Meteorological Society Int. J. Climatol. (2017)


Hyderabad
Percentage change in return level
150
100
50
1-h 2-h 3-h 6-h
Duration
Wilmington
50
Percentage change in return level
40
30
20
1-h 2-h 3-h 6-h
Duration
Figure 7. Parameter uncertainty in non-stationary rainfall return levels.
[Colour figure can be viewed at wileyonlinelibrary.com].
Similar to covariate uncertainty, the percentage change
between the minimum and maximum return levels of each
percentile is calculated for all return periods and they
are plotted as boxplots in Figure 7 for both Hyderabad
and Wilmington city. Unlike the covariate uncertainty,
the parameter uncertainty is nearly same (mean value in
Figure 7) for all selected duration extreme rainfall series.
Furthermore, the parameter uncertainty is higher than the
covariate uncertainty for most of the extreme rainfall series
(refer Figures 3 and 7), except for Hyderabad city 12-,
24- and 48-h duration extreme rainfall series. Remark-
ably, the covariate uncertainty is nearly equivalent to the
parameter uncertainty when a number of covariates pro-
duce significantly superior non-stationary GEVD for the
same duration extreme rainfall series (cases of Hyderabad
city 12-, 24- and 48-h duration extreme rainfall series). In
the case of stationary rainfall IDF curve, as mentioned ear-
lier, the uncertainties in parameter estimates due to insuf-
ficient quantity and quality of data are the major source
of uncertainty (Rupa et al., 2015). But, this study results
show that the covariate uncertainty can cause the similar
magnitude of uncertainty as the parameter uncertainty in a
non-stationary rainfall IDF curve.
6. Discussion
From the previous two sections, it is observed that the
choice of the covariate in developing non-stationary
GEVD can cause a significant difference in return
level estimation and this covariate uncertainty is nearly
equivalent to the parameter uncertainty when a number of
covariates produce significantly superior non-stationary
© 2017 Royal Meteorological Society
V. AGILAN AND N. V. UMAMAHESH
GEVD. It is obvious that the parameter uncertainty is
due to insufficient quantity and quality of data. But, the
reason for the covariate uncertainty is not clear. Note
that the covariate uncertainty is addressed using one
of the classical parameter estimation method (i.e. the
method of maximum likelihood). Though the covariate
uncertainty is estimated only with significantly superior
non-stationary models (covariates), the choice of covariate
created a significant difference in rainfall return levels. In
the direction of understanding the covariate uncertainty,
12-h 24-h 48-h
the following two questions are investigated. (1) Is the
covariate uncertainty due to the shortcomings of the clas-
sical parameter estimation method? or (2) Is it because
the difference in capturing extreme rainfall quantiles by
different covariates (i.e. quality of the model)? If the
covariate uncertainty is due to the shortcomings of the
method of maximum likelihood, the covariate uncertainty
should change significantly when the parameters are
estimated with the Bayesian method. With the classical
parameter estimation method, for Hyderabad city 12-h
duration extreme rainfall series, the return levels’ CDF
12-h 24-h 48-h obtained from ‘time’ covariate has a very narrow range
and the return levels’ CDF obtained from ‘t-rain’ covari-
ate has a broad range (refer Figure 1). Now, for the same
extreme rainfall series and with the same covariates, the
parameters of non-stationary models are estimated using
the Bayesian method and the 10-year return levels’ CDFs
along with parameter uncertainty is plotted in Figure 8(a).
From Figures 1 and 8(a), it is observed that the parameter
estimation method does not make any difference in return
levels’ CDFs range. Therefore, the reason for the covari-
ate uncertainty is further investigated through the quality
measures of the non-stationary GEVD. In particular,
the quality of non-stationary GEVD is checked using
probability–probability (P–P) and quantile–quantile
(Q–Q) plots.
The P–P and Q–Q plots of Hyderabad city 12-h dura-
tion extreme rainfall series non-stationary GEVDs con-
structed using covariates ‘time’ and ‘t-rain’ are plotted in
Figures 8(b) and (c), respectively. In the non-stationary
context, values in the extreme rainfall series are not identi-
cally distributed. Therefore, these values should be trans-
formed to residuals (standard Gumbel distribution) for
obtaining the P–P and Q–Q plots in a non-stationary con-
text. For more information on creating P–P and Q–Q
plots under non-stationary condition, the interested reader
is referred to Katz (2013) and Agilan and Umamahesh
(2016). As discussed earlier, the non-stationary return lev-
els’ CDF obtained from ‘time’ covariate has a very narrow
range when compared to those obtained from ‘t-rain’
covariate. Now, the quality of the ‘time’ covariate-based
non-stationary GEVD clearly shows that the covariate
‘time’ was unable to capture the extreme events properly,
especially the very extreme events have more deviations
(refer quantile plot in Figure 8(b)). But, the ‘t-rain’-based
non-stationary model shows a very good match between
model-derived and empirical quantiles (Figure 8(c)). Note
that, according to AICc value, the ‘t-rain’ covariate-based
non-stationary model is the best model for Hyderabad
Int. J. Climatol. (2017)
 COVARIATE AND PARAMETER UNCERTAINTY IN NON-STATIONARY RAINFALL IDF CURVE

(a) 1

0.9

0.8

0.7

0.6
t-rain-uncerttainty
F(x) 0.5
t-rain-mean
ainty
time-uncerta
0.4
time-mean
0.3

0.2

0.1

0
5 10 15 20 25 3
30 35 40
0 45
Intensity mm h–1

(b)

(c)

Figure 8. (a) Hyderabad city 12-h duration extreme rainfall 10-year return levels’ CDFs obtained using covariates ‘time’ and ‘t-rain’ along with
parameter uncertainty. P–P and Q–Q plots of Hyderabad city 12-h duration non-stationary GEVDs constructed with covariates (b) ‘time’ and (c)
‘t-rain’. [Colour figure can be viewed at wileyonlinelibrary.com].

city 12-h duration extreme rainfall series. Therefore, it is
fair enough to say that the difference in non-stationary
return levels are due to the incapability of the covari-
ate to capture all values, though the chosen covariate
can produce statistically significant non-stationary model.
Accordingly, the results of this study give an adequate
warning that the non-stationary GEVD should not be con-
structed with any covariate just because the extreme rain-
fall series has a non-stationary component. Further, while
developing non-stationary GEVD, both the significance

© 2017 Royal Meteorological Society Int. J. Climatol. (2017)

 V. AGILAN AND N. V. UMAMAHESH
and the quality of the constructed non-stationary GEVD
should be checked before estimating return levels.
Since the aim of this study is to analyse the covariate
and parameter uncertainty in non-stationary rainfall IDF
curves, the non-stationary GEVDs are constructed with
only one covariate at a time. However, as the extreme
rainfall is associated with many physical processes, it is
strongly recommended to use combinations of covariates
to develop the non-stationary model. For example, the 𝛼
can be linked with many covariates at the same time.
Like,
⎡𝛼0 ⎤
[ ] ⎢𝛼1 ⎥
𝛼t = 1 c1t c2t … cnt ⎢𝛼2 ⎥ (23)
⎢⋮⎥
⎢ ⎥
⎣𝛼n ⎦
Furthermore, with respect to study area, a list of potential
covariates is identified purely based on available literature.
Hence, for other study locations, the chosen covariates (i.e.
ENSO cycle, PNA, etc.) may not have any influence on
extreme rainfall occurrence. Therefore, it is suggested to
choose a list of potential covariates according to the study
location.
From the study results, it is suggested to use all possi-
ble covariates and find the best covariate for developing
non-stationary models. However, we are often forced to
use only time as a covariate because of unavailability of
data to represent other covariates. Even in such a situation,
we strongly recommend not to use the covariate ‘time’
directly. Instead, ‘time’ covariate-based non-linear trend
modelling would appear feasible as suggested by Agilan
and Umamahesh (2016) and Cannon (2010). Moreover,
due to unavailability of a long record of short-duration
rainfall over the entire city, we have used single station
rainfall observations of Hyderabad city and Wilmington
city. As a result, analysing the spatial distribution of the
best covariate and uncertainty would be a possible future
work. Finally, the results of this study are not limited only
to develop non-stationary rainfall IDF curves, but also use-
ful in other applications such as improving weather gener-
ator for a non-stationary extreme rainfall condition (Furrer
and Katz (2007) and Furrer and Katz (2008)).
Acknowledgements
We thank the Information Technology Research Academy,
Government of India for financially supporting this
work under ITRA-water grant ITRA/15(68)/water/
IUFM/01.
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