Dynamic Flood Modelling: Combining Hurst and Gumbel's Approach

22 Pages Posted: 25 Oct 2007  

David Sibaï

National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE)

Arthur Charpentier

Université de Rennes 1

Date Written: August 11, 2006

Abstract

When working on river floods - annual river levels maxima -, two approaches are usually considered: one inspired from Emil Gumbel where annual maxima are supposed to be i.i.d. and distributed according to Gumbel's distribution, and one inspired from Edwin Hurst where annual maxima are strongly dependent, and exhibit long range memory. This paper tries to solve this apparent paradox by deriving a dynamic model inspired from some a financial model, which does not consider only annual maxima but threshold exceedances. It studies the implications of such a paradox in terms of return period -a notion valid as long as the data are i.i.d - and of extremal events.

Keywords: frequency analysis, bivariate point process, ACD models, flood

Suggested Citation

Sibaï, David and Charpentier, Arthur, Dynamic Flood Modelling: Combining Hurst and Gumbel's Approach (August 11, 2006). Available at SSRN: https://ssrn.com/abstract=1024422 or http://dx.doi.org/10.2139/ssrn.1024422

David Sibaï (Contact Author)

National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE) ( email )

92245 Malakoff Cedex
France

Arthur Charpentier

Université de Rennes 1 ( email )

7, place Hoche
Rennes, Rennes 35700
France

HOME PAGE: http://perso.univ-rennes1.fr/arthur.charpentier/index.html

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