Stochastic Hydrologyand Hydraulics 10:187-207 Springer-Verlag 1996

Estimation of Quantiles and Confidence Intervals

for the Log-Gumbel Distribution
J.-H. Heo
Department of Civil Engineering, Yonsei University, Seoul, Korea
J. 1). Salas
Hydrolic Science and Engineering Program, Department of Civil Engineering,
Colorado State University, Fort Collins, CO 80523, USA

Abstract: The log-Gumbel distribution is one of the extreme value distributions which has been
widely used in flood frequency analysis. This distribution has been examined in this paper regarding
quantile estimation and confidence intervals of quantiles. Specific estimation Mgorithms based on
the methods of moments (MOM), probability weighted moments (PWM) and maximum likelihood
(ML) are presented. The applicability of the estimation procedures and comparison among the
methods have been illustrated based on an application example considering the flood data of the St.
Mary's River.

Key words: log-Gumbel distribution, flood frequency analysis, quantile estimation, confidence intervals.
1 Introduction
The log-Gumbel distribution is one of the many distributions commonly used for
frequency analysis in hydrology. In the hydrologic literature, the log-Gumbel distribution is also known as the Frechet distribution (NERC,1975). The importance
of using the Gumbel and log-Gumbel distributions for flood frequency analysis was
examined by Shen et al. (1980) and Ochoa et at. (1980). They studied the effect
of the tail behavior assumptions of these distributions for fitting the annual floods of
more than 200 stations in Texas, New Mexico, and Colorado. They concluded that
the log-Gumbel distribution provided a better fit for more than two-thirds of all the
stations. They also noted that the log-Gumbel distribution generally gave greater
estimates of extreme flood magnitudes than the Gumbel distribution.
The log-Gumbel distribution is related to the type II General Extreme Value (GEV)
distribution or GEV-2. Prescott and Walden (1980) derived the expected values
of the second order partial derivatives of the log-likelihood function of the GEV
distribution with respect to the parameters. These expected values are elements
of the well known Fisher's information matrix which gives the asymptotic variancecovariance matrix of the maximum likelihood estimators (Kendall and Stuart, 1979).
Subsequently, Prescott and Walden (1983) gave an iterative procedure for obtaining

188

maximum likelihood estimates of the parameters of the GEV distribution and derived
the observed information matrix of the censored/ complete samples as a reasonable
approximation for the maximum likelihood estimates. They compared the observed
information matrix with Fisher's information matrix using simulation experiments
and concluded that the observed information matrix is preferable to estimate the
variances and covariances of the maximum likelihood estimators.
Hosking et al. (1985) showed how to estimate parameters of the GEV distribution based on the method of probability weighted moments (PWM) and gave the
asymptotic variances of the parameters and a table which can be used to obtain the
asymptotic variances of the PWM quantile estimators. They also compared the methods of PWM, maximum likelihood, and aenkinson's procedure by using simulation
experiments and concluded that PWM estimators are good for small sample size (N
< 100). Recently, Liu and Stedinger (1992) compared alternative variances of the
PWM quantile estimator for the two- and three-parameter GEV distributions.
This paper discusses three methods of quantile estimation for the log-Gumbet distribution, namely, the method of moments (MOM), the probability weighted moments
(PWM) method, and the maximum likelihood (ML) method. In addition, the confidence limits on population quantiles based on the MOM, PWM and ML methods are
derived by using the corresponding asymptotic variances. Finally, the applicability
of the proposed estimation procedures are illustrated by using observed flood data.
2 Model definition

Consider that random variables X and Y are related as Y=gn(X-xo), in which Xo is

a lower bound parameter. It may shown that Y is Gurnbel distributed with location
parameter yo and scale parameter ct, if X is log-Gumbel distributed with parameters Xo, yo and c~. Thus, the cumulative distribution flmction of the log-Gumbel
distribution is given by
F(x) = e x p ( - e x p [ - n ( X - X o ) - - y o ] )
for x > Xo and c~ > 0. Assuming that c~ = 1//3 andyo = g n ( O - x o ) , i t
shown that Eq. (1) takes the form

xp( r0 xol)
LX-XoJ

(1)
may be

(2)

in which X o < X < e C , 0 > X o and /3 > 0. Equation (2) is another form of thelogGumbel distribution.
The tog-Gumbet distribution is related to the GEV-2 distribution. For instance, by
assuming that xo = x'o + ce'/[3', c~ = -fl' and yo = gn(-a"//3'), it may be shown that
the CDF given by Eq. (1) can be written in the form of the CDF of the GEV-2 distri' a' and/3' are respectively the location, scale, and shape paramebution in which xo,
ters of such GEV-2 distribution and the shape parameter/3' is negative. In addition,
it may be also shown that by assuming/3 = -1//3', 0 = X'o and Xo = X'o+ a'//3', the
CDF of Eq. (2) takes the form of the CDF of the GEV-2 distribution in which Xo,
/ Cr!
and /3' are the GEV-2 parameters as above defined. In the remainder of this paper,
we will use the Iog-Gumbel model given by Eq. (2).
The derivative of F(x) of Eq. (2) gives the probability density function (PDF) as

189

f(x) -

(x-

, IO-xol, (_fxo1%
Xo) t x -

Xoj

exp

tx-

Xoj /

(3)

Figure 1 shows some typical shapes of the PDF of the log-Gumbel distribution. Likewise, the r-th moment of X around Xo can be shown to be
E[(X - Xo)r] = (O - Xo)r F(1 - r//3)

(4)

where 12(.) denotes the complete g a m m a function. Note that such r-th moment exists
only if/3 > r. The mean and variance can be obtained from Eq. (4) respectively as
# = xo + ( 0 - X o ) r ( 1 -

1//3)

(5)

f o r 3 > 1, and

au = (0 - xo) ~ IF(1 - 2/3) - F2(1 - 1//3)]

(6)

for/3 > 2. Likewise, the skewness coefficient is given by

r(X - 3/~) - 3r(1 - 2 / 3 ) r ( 1 - 1/3) + 2ra(1 - 1//3)
ht =

[F(x - 2/3)

- r~(1

1//3)]a/~

(7)

for /3 > 3. It may be shown that the skewness coefficient of the log-Gumbel distribution is greater than 1.1396 (recall that the skewness coefficient of the Gumbel
distribution is exactly equal to 1.1396). Also, the expression of the skewness coefficient of Eq. (7) is the same as that of the GEV-2 distribution if the parameter/3
in Eq. (7) is replaced by -1//3' in which /3' is the shape parameter of the GEV-2
distribution and has a negative value. Additionally, the mode is given by
mode(x) = X o + ( 0 - Xo)[1+~/3]
-1/0
- [ P J

(8)

3 E s t i m a t i o n of quantiles
The quantile estimator :KT of the log-Gumbel distribution can be obtained from Eq.
(2) by replacing F(x) by ( t - l / T ) as
~:T = ~o + (0 - % ) [ - & ( 1

- l / T ) ] -1/a

(9)

where xo, ~ and/~ are the estimators of the parameters. Also, the estimator )(T may
be generally written in terms of the sample mean fi, the sample standard deviation
3-, and the frequency factor I(T (Chow, 1951) as
)(w = /2 + KT3-

(10)

in which I~w may be obtained from gqs. (5), (6) and (9) as
14T =

[--gn(1 -- l/T)] -1/a - F(1 - 1//3)

[r(1 - 2 / ~ ) - r~(1 - 2/~)11n

(11)

Note that 9 o m Eqs.(7) and (11), the frequency factor I4T is a function of the skewness
coemcient and the return period. Numerical values for such a function are shown in
Tabte 1.

190
T a b l e 1. Frequency factors for the log-Gumbel distribution

Coeff.
of
Sknewness

0.2

0,5

1,01

1.25

-1~6192
-I.6107
-1.5859
-1.5450
--1.5152
-1.4919
-1.4660
-1A382
-1.4096
-1,3816
-1.3557
-1.3331
-1,3143
-i,2994
-1,2880
-1,2790
-1,2717
-1,2651
-1,2584
-1.2509
-1.2422
-1.2319
-1.2198
-1,2057
-1.1897
-1.1720
-1.1531
-1,1334
~4.I141
-1.0960
-1.0806
-1,0689
-1.0620
-1.0602
-1.0634
-1,0705
-1.0800
-1.0900
-1.0980
-1.1013

-.8175
-.8158
-.8112
-.8030
-,7967
-.7915
-.7855
-.7788
-.7715
-.7641
-.7570
-.7506
-.7451
-.7406
-.7371
-.7343
-.7320
-.7299
-.7278
-.7253
-.7225
-.7191
-.7151
-.7103
-.7047
-.6985
-.6916
-.6844
-.6770
-.6700
-.6640
-.6593
-.6565
-,6558
-.6571
-.6599
-.6637
-.6677
-.6708
-.6721

-.1692
-,1709
-,1761
-.1846
-,1905
-,1949
-.1998
-.2048
-,2097
-,2143
-,2183
-.2217
-,2244
-.2264
-.2280
-.2291
-,2301
-2309
-.2317
-,2326
-,2336
-.2348
~.2361
-,2376
-.2392
-.2408
-.2424
-,2439
-.2453
-,2464
-,2472
-,2478
-,2481
-,2481
-.2480
-,2477
-,2472
-.2467
-.2462
-,2461

"y

1.14
1.20
1.30
1.40
1.50
1.60
1.70
1.80
1.90
2.00
2.10
2.20
2.30
2~40
2.50
2.60
2.70
2.80
290
3.00
3.10
3.20
3.30
3.40
3.50
3.60
3.70
3.80
3.90
4.00
4.10
4.20
4.30
4.40
4.50
4.60
4.70
4.80
4.90
5.00

Nonexceedance Probability (q)

0.8
0,9
0.95
0,98

0,01

Corresponding Return Period (T)

5
10
20
50
.7115
.7083
.6988
.6826
,6705
.6608
,6497
.6376
.6248
.6121
.6001
.5894
.5804
.5732
.5676
.5632
.5596
,5564
.5530
.5493
,5450
.5398
.5337
.5265
.5183
.5092
.4994
A891
.4789
.4694
.4612
.4550
.4513
.4503
.4520
,4558
.4609
.4662
.4704
.4722

1,2999
1,2977
1.2913
1.2798
1.2705
1~2628
t,2536
1,2431
1,2316
1,2197
1.2080
1.1972
1.1880
1.1804
11745
1.1697
1.1658
1,1622
1,1585
1.1543
1.1494
1,1435
1.1365
1,1281
1.1183
1.1073
1.0951
1.0822
1.0691
1.0565
1,0456
1,0372
1.0321
1.0308
1,0332
1.0383
1.0452
1.0523
1.0579
1.0603

1.8684
1.8686
1.8698
1.8704
1.8697
1.8684
1.8661
1.8626
1,8580
1.8523
1.8461
1.8398
1.8340
1.8290
1.8249
1.8215
1.8187
1.8160
1.8133
1.8102
1.8064
1.8017
1.7960
1.7891
1.7808
1.7711
1.7601
1.7480
1.7354
1.7230
1.7119
1.7033
1.6980
1.6966
1.6991
t.7044
1.7115
1.7187
1.7244
1.7267

2.6101
2.6157
2.6336
2.6618
2.6810
2,6952
2.7100
2.7248
2.7386
2,7506
2.7603
2.7676
2.7729
2,7765
2.7789
2.7805
2.7817
2.7827
2.7836
2.7844
2,7852
2,7859
2,7864
2.7864
2.7857
2.7841
2.7813
2,7773
2,7721
2,7662
2.7602
2.7552
2.7519
2.7511
2~7526
2,7559
2.7600
2.7639
2,7669
2.7680

0.99

0.999

100

1000

3.1704
3.1817
3.2172
3.2753
3.3166
3.3483
3.3827
3.4186
3.4542
3.4876
3.5171
3.5418
3.5612
3.5761
3.5871
3.5954
3.6021
3.6080
3.6138
3.6202
3.6273
3.6355
3.6447
3.6548
3.6654
3.6760
3.6861
3.6950
3.7023
3.7076
3.7109
3.7127
3.7135
3.7136
3.7133
3.7125
3.7110
3.7090
3.7071
3.7062

5.0486
5.0894
5.2169
5.4344
5.5978
5,7284
5.8761
6.0379
6.2072
6.3754
6.5331
6.6725
6.7889
6.8816
6.9534
7.0093
7,0552
7.0967
7.1389
7.1858
7.2404
7.3052
7.3814
7.4698
7.5698
7.6800
7.7974
7,9179
8.0355
8.1435
8.2346
8.3024
8.3423
8.3524
8.3344
8.2933
8.2378
8,1793
8.1318
8.1119

191

1.5

/
l
l

1.0

",
,

LG( Xo, '0, # )

. LG(I.0,2.0,I .0)
LG(1.0,2.0,2.0)
. . . . . LG(1.0,2.0,3,0)

',,

f(x)
,

.-Z/]

0.5

0.0

",",

i
",2,'.,.,,

1
x

Figure 1. Some example of the probability density function of the log-Gumbel distribution of Eq.

(a)

Therefore, the estimation of quantiles requires estimating the parameters of the

log-Gumbel model. Three estimation procedures are presented for the log-Gumbel
distribution; the methods of moments, probability weighted moments, and maximum
likelihood.

3. I Method of moments (MOM)

By substituting #, ~ and "~ in Eqs. (5), (6) and (7) by their corresponding sample
estimators ,5, ff and "~ the moment estimators 0, fl and io can be obtained. The
skewness coefficient in Eq. (7) is only a function of the shape parameter ft. Thus, the
moment estimator of the shape parameter,/) can be obtained from the approximate
regression equations given by
~) = 222.5222 - 313.1802 ~/+ 179.5053 ~2 _ 50.6058 ;/a
+ 6.978542 ~4 _ 0.376228 ~5

(12a)

which is valid for 1.48 < ~ < 5,4 and

= 1731,6756 - 2342.8143 ~ + 802.1566 ~2

(12h)

valid for 1.1396 < ~ ~ 1.48, in which "~ is the sample skewness coefficient. For a
more precise solution of fl, Eq. (7) can be solved numerically by the Newton-Raphson
method. For this purpose, Eq. (7) is rewritten as

192
0(8)

r(1 - a//}) - at0

- 1//}) + 2I'3(1 - 1//})

- 2//})r(~

[P(1 - 2/;?) - r~(1

_ #

(13)

- t//})l,/~

and the first derivative of G(/)) with respect to ) is given by

1
G'(/}) = /)2IF( 1 _ 2//)) - P2(1 - 1//))] s/2 x
{jar'(1

- a//}) - 6r'(1

- 2//})r(1

+ 612'(t - 1//))I~2(1 - 1//))][r(1

-

ap(1

- 2//})r(1

- 1//))

ap'(1

- 1//))r(1

- 1//})]}

- 1//)) - at'0
-

+ 2r~(1

2//))

- t//))r(1

- 2//})

F2(1 - t//))] - [P(t - a//))

- 1//})][at'(1

- 2//))

where F'(.) is the first derivative of the g a m m a function.

equation to estimate/} in the iteration i + l is

(14)

Therefore, the recursive

/)i+, = /)~- G(/)i)/G'(/)i)

The iteration proceeds until the error criterion

/}i+1 -/)i

<

I
is satisfied, in which e is a specified relative error. In this iterative procedure one can
use fl0 from Eq. (12) as an initial estimate.
Once/~ is determined, ~o is obtained by combining gqs. (5) and (6) as

~ =

~ --

[i~(1 - 2//}) - r2(1 - 1//})11/2

(t5)

Finally, 0 is determined from Eq. (5) as

I'(1 - 1//))
For the two-parameter log-Gumbel distributionx Xo = 0. Hence,/~ can be obtained
numerically flom Eq. (15). Once fl is obtained, 0 is determined from Eq. (16).

S.2 Method of probability weighted moments (PWM)

The general form of the probability weighted moments (PWM) for the threeparameter log-Gumbel distribution is given by
B~ = E[X(F(x)) r] --

1
r+t

[Xo + (0 - Xo)(r + 1)t/OF(1 - 1//3)]

(17)

which is valid for fl > t and r is a nonnegative integer, Using the first, three PWMs,
the P W M estimators for the log-Gumbel distribution are given by

193
1 - 31/~

3t32 - 13o

1 - 211 *} -

21~1 -

t)o +

(18)

1)0

1 - r(1 - 1//))

(t3o -- 2t~1)

(19)

(1 -- 21/a)P(1 - 1//))

~ =

21//} 1~0 -- 21~1

(21/a--1)

(20)

in which t~r is the sample PWM given by (Hosking et al., 1985)

N

1
130 = ~ E x j

for r = 0

(21a)

> 1

(21b)

j=l

1
]~r = ~

(j -- 1)(j -- 2 ) . . . (j-- r)

~.= Xj ( i ~ Z l ~ = ~ ) . . . ~ - l ~ - - r )

forr

where xj is the order statistic such that x 1 <__X2 < ,.. __<XN. The PWM estimator
of the shape parameter,/), can be obtained by solving Eq. (18) numerically by the
Newton-Raphson method in which the value of/) from Eq. (12) can be used as the
initial value.
For the two-parameter log-Gumbel distribution, Xo = 0. Hence, the PWM estimators can be obtained from the first two PWMs as

/)

(22)

= gn(2)/en(2B1/1)o)

and
= 1)o/r(1 - 1/i))

(2a)

3.3 Method of maximum likelihood (ML)

The log-likelihood function of the three-parameter log-Gumbel distribution is given
by
N

LL(x_; xo, 3, 0) = N &(/3) + N/3 gn(0 - Xo) - (/3 + 1) E

&(xi - Xo)

i=l

- Z
i=1 [ x i - XoJ

(24)

Taking partial derivatives of the logqikelihood function with respect to Xo, /3 and 0,
respectively, and equating each to zero give

194

Nff
aLL/axo -

+ (/3 + 1) Z (xi - Xo) -I ~- ~(O - Xo) f~-1 E

(Xi - x)-/3
i=i
i=i

0 - Xo

N
-- ' 9 ( 0 -- Xo) fl ~

(X i -- Xo) -(f7+1)

(25)

i=1
N

OLL/O/3= N / f f + N f n ( 0 - X o )

gn(x~-xo)

i=1

--EN

[0-x]~

i=1

I_xi -- x o /

= 0

(26)

t xi -- x o J
N

Nff

aLL/aO -

gn[0-x]

ff(0 - X o ? - *

O - Xo

i=1

- Xo)

(27)

These equations must be solved simultaneously to find the estimators of the parameters, Xo, ff and 0.
Based on the Newton-Raphson method one can write

_a2LL/ax2o _ a 2 L L / a x o a 0 _a2LL/Oxoaff

AXo ]
!
AO [

-a2LL/aOaxo

Aff ]

-a2LL/aO 2

-O~LL/aOafl

-a2LL/affaXo -a2LL/affOO -a2LL/aff 2

-1

OLL/axo
aLL/aO

(28)

aLL~Off

where -1 represents the inverse, Axo, A0, and Aft are the increments of the parameters Xo, 0 and /3, respectively, and the second order partial derivatives of the loglikelihood Nnction of the log-Gumbel distribution are given in Appendix A. Thus,
for a given sample xl, ..., XN and set of parameters Xoi, 0i, and ffi, estimated for
iteration i, one can evaluate the matrices of the right hand side of Eq. (28), obtain
AXoi, A0i and Affi and then obtain the new parameter estimates for iteration i+l by
)~i+1

Ai + A)~i

until satisfying the error criterion

]AAi/Ai+I[

<

(~

in which A represents one of the parameters Xo, 0 and/3 and e is a specified relative
error. Alternatively, instead of determining the square matrix of Eq. (28), one can
proceed as aenkinson (1969) did with the GEV distribution. That is, the second order
partial derivatives of the matrix of Eq. (28) can be replaced by their expected values.
The inverse of such matrix is the information matrix, II -1, which can be written as

lI-1 -

1
ND

h -f

a-g

-f

-g

(29)

195

where the expected values of the second order partial derivatives of the log-likelihood
function are given in Appendix B and the elements of the right hand side of Eq. (29)
are given by
a = E111 + V"(2)] - E~

(30a)

b = 1 + V"(2) - [I"(2)12 = 7r2/6

(30b)

c = (1 + a//3)~[r(1 + 2//3) - r~(1 + 1//3)]

(3Oc)

f = [1 - r'(2)]r(2 + 1//3) - r(1 + 1//3) + r'(2 + 1//3)

(30d)

g = F'(2)E1 + E~E3

(30e)

h = E311 + r"(2)] + r'(2)E2

(30f)

D = zr2c/6 -

(30g)

f2

in which
E1 =

1 -}- (1 -~ 1//3)~r(1 + 2//3) -- 2(1 + 1//~)r(1 + 1//3)

E2 = F(2 + 1//3) + r ' ( 2 +

1//3) -

F(1 + 1//3) - V'(2)

E3 = 1 - r ( 2 + 1//3)

(31a)
(31b)
(31c)

and F" (2) is the second derivative of the g a m m a function with argument 2.
For the two-parameter log-Gumbel model, maximum likelihood estimators of the
parameters can be found from Eqs. (26) and (27) by letting xo = 0.
4 C o n f i d e n c e l i m i t s on quantiles

The 7 = (l-a) confidence limits X~ on the population quantiles may be determined

by
X~ = XT + ul-~/~ ST

(32)

where u1-~/2 is the 1-a/2 quantile of the standard normal distribution, )(T is the
quantile estimator corresponding to return period T which can be determined from
Eqs. (9) or (10), and ST is the standard deviation or standard error of )(T- Such
standard error may be determined by the methods of moments, probability weighted
moments and m a x i m u m likelihood.

4.1 Standard error by the method of moments

Following Kite (t988), the variance

of

)~T IIl&y be expressed as

196
S~r -- Var()(T) = (#2/N){1 + KT2/1 + K~:(~2 - t ) / 4
+ (0KT/071)[22/2 -- 32/~ -- 6 + KT(% -- 62/122/4
+ (OKT/O71)u[% -- 32/173 -- 6% + 92/272/4 +

--

102/1/4)]

3571~/4+

9]}

(aa)

where the c u m u l a n t s are given by

71 = # 3 / # 3/2

(34a)

72 = ~4/t*~

(34b)

2/3 = #s/Ps2/2

(34c)

v4 = ~ / ~

(34d)

and the r-th central m o m e n t s are

#2 = ( 0 - Xo)2[D2 - D~]
~3

(0 -- Xo)3[D3

(35a)

3D2Da + 2D~]

(35b)

p4 = (0 - xo)4[D4 - 4D3D1 + 6D2I)~ - 3I)~]

(35c)

p~ :

(35d)

(O - xo)S[Ds - .SD4D1 + 10D3D~ - 10D2D 3 + 4D~]

#6 = (0 - xo)6[DB -- 6DsD1 + 15D4D~ - 20DgD 3 + 15D2D~ - 5D~]

(35e)

in which Dr = F(1 - r/fl).

m a y b e d e t e r m i n e d by

to

0I%/02/t

In addition, the derivative of I~T with respect

71

(36)

= (0Iq'/0/3)(09/02/1)

in which the derivative of KT with respect t o / 3 is o b t a i n e d from Eq. (11) as

0KT
&3

( - D l ~ b l + gn(S)S-1/)(D2 - D12) - ( S - I / g ?
/32(D2 - D~) 3/2

D1)(D2~b2 - D2~bl)

(37)

and the derivative of/3 with respect to 71 can be o b t a i n e d from Eq. (7) as
071/0/3 = 3[(D2 - D~)(O3~b3 - 2D21)l~b2 - D2DI~bl + 2 D a 0
+ (D3 - 3D2D1 + 2Da)(D2'~b2 - D~*/J1)]/[(/32(D2 - O~) s/2]
wt]ere,

[',l. s

~,(1 -- r//3)

I~'(]-

r//3)/["(1

- r//3) and S = - & ( i - l / T ) .

(38)

197

For the two-parameter log-Gumbel distribution Xo = 0 and 0KT/071 = 0 in Eq.

(33). Thus, Eq. (33) reduces to
S~, = Var(~[T) = (#2/N){1 + KT71 + K~(72 - 1)/4}
~.2 Standard

(39)

e r r o r by p r o b a b i l i t y w e i g h t e d m o m e n t s

The asymptotic distribution of the sample PWMs can be written as (Chernoff et at.,
1967; Hosking et al., 1985)
8o

81

TVN

8~

go

Doo/N

DolN

Do2/N ] )

B1 ;

Dm/N

DlIN

D12/N

B2

Do2/N

D12N

D=/N

(40)

where ~ - , reads "is asymptotically distributed as", TVN is an abbreviation for trivariate normal distribution and Dij are derived in Appendix C as
D00 = ( 0 - Xo)2[F(1 - 2 / f l ) - F~(1 - 1/fl)]
Do, = [(0 - Xo)2/2][22/0F(1 - 2 / f l )

(2 l+l/fl -

(41a)

1)F2(1 -

1/fl)]

(41b)

Do2 = [(0 - Xo)2/2]{[32/0 - 22/zIt(1/2)]P(1 - 2/fl)

-- 2(31/8 --

21/0)F2(1 -

1//5)}

(41c)

D,1 = (0 - xo)222/0[H(1/2)P(1 - 2 / f l ) -

rz(1 -

1/fl)]

(41d)

D12 = [(0 - xo)2/2][32/ZH(1/3)F(1 - 2 / f l ) - (2.61/z - 2'/~)F2(1 - 1/fl)]

(41e)

D22 = (0 - xo)232/'[H(2/3)r(1 -

(41f)

2/fl) -

F2(1 - 1/fl)]

where H(z) is a hypergeometric function (see Appendix c). Note that the asymptotic
variance-covariances of the sample PWMs of the GEV distribution can be obtained
from Eq. (41) by using the relationship of parameters between the log-Gumbel and
the GEV distributions.
The asymptotic variance of the quantile estimator, 52T can be found by using the
following transibrmations

8o

8o

Bo

~o

81~ 81-. 81--, ~

B5

B2

82

/9

~T

198
where --+ reads "is transformed into" (the interpretation is that a given set of estimators is transformed into another set of estimators), R = (3t32 - 13o)/(2t31 - 13o) in
the first transformation, and /) is given implicitly by (1-31/~)/(1 - 2 l/a) = R in the
second transformation. Finally, the asymptotic variance of 5IT is given by

s-2/e
N

S~T -

[ (81/0 -- 1)Var(:~o) + Var(3) + (0 -,34Xo) 2 Var(a)

(0 - Xo)
Cov(:~o, ))gnS
/32

+ 2(S 1/~ -- 1)COV(Xo, 0) ~- 2(81/~ -- 1) - -

+ 2 (0 - Xo)
]
/32 Cov(3,/))gnS

(42)

where
2
2
Var(:~o) = WoDoo + 2WoWIDol + W 1 D n + 2WoW~C1H + 2W1WoC2H + W ~ C H 2

(4aa)
Var(~}) = ToDoo
2
+ 2ToT~Do~ + T~Dal + 2ToTf~C~H + 2 ' I ' ~ T ~ Q H + T~CH 2

(43b)

Var(~) = CH 2

(43c)

CoV(~o, 0) = WoToDoo + WoT1Dm + WlToDm + W 1 T 1 D n + W o T 3 C I H

+ W1T3C2H + W ~ T o C l t t + W~T~C2tt + W ~ T o C H 2

(43d)

Cov(Xo,/~) = W o C I H -~ W i G 2 H -~ W f l C t t 2

(43e)

Cov(0,/)) = ToCIH + T1C2H + T o C H 2

(43f)

and
W 0 ~- 0Xo/OB 0 =

2 1 / f l / ( 2 1 / ~ - 1)

W~ = Oxo/OB~ = - 2 / ( 2 ~ / a - 1)
W,

= Oxo/Ofl

= - ( 0 - Xo)P(1 - 1/fl)gn2 21/~/[fl2(21/~ - t)]

To = 0 0 / 0 B o = [1 - 21/0F(1 - 1/[3)]/[(1 -. 21/~)F(1 - 1/,3)]

T, = O0/OBt

= -211 - r(1 - 1/[3)]/[(I - 2'/rJ)r(1 - 1/3)]

(44a)

(44b)
(44c)
(44d)
(44e)

T 9 = 00/0/3 = ( 0 - Xo){(1 - 2'/~)g,(1 - 1/[3)

+ {1 - F(1 - 1 I / 3 ) } a 2 2~/')]/[/3~(1 - 2~/'1]

(44f)

199

C = [Doo(31/~ - 21/0) - 2Dm(31/0 - 1) + 3Do2(21/0 - 1)]/M

(44g)

[Dm(31/z - 21/0) - 2Du(3 ~/0 - 1) + 3D12(21/fl - 1)]/M

(44h)

C2 = [Do~(31/~ - 21/0) - 2D12(31/0 - 1) + 3D=(21/0 - 1)]/M

(44i)

Ca = [C1(31/0 - 21/0) - 2C~(3 '/0 - 1) + 3C3(21/~ - 1)]/M

(44j)

M = ( 0 - Xo)F(1 - 1/fl)(2 ~/0- 1) 2

(44k)

C1

fl2(1 -- 21/0) 2

H = 3~/o(1 _ 21/0)gn3 _ 21/0(1 _ 31/0)gn2

(441)

For the two-parameter log-Gumbet distribution xo = 0, thus the asymptotic distribution of the sample PWMs in Eq. (40) becomes bivariate normal (by dropping
1)2 and the elements of the third roe and column of the variance-covariance matrix
which then becomes a 2 x 2 matrix). Following a similar procedure as that for the
three-parameter model, the asymptotic variance of XT is given by
X~
NF2( ~ Z

s~ -

{ [1 - (2 - 21+l/e)B + [1 - 21+1/0 + 4H(1/2)]B 2] r(1 - 2/fl)

1/fl)

[1 + (2 - 21+1/0)B q- (1 -{- 21+1/0)B 2] C2(1 - 1 / f l ) }

(45)

where B = {~5(1 - 1/fl) -gn[-gn(1-1/T)]}/gn(2).

4.3 Standard error by maximum likelihood

The asymptotic variance of the quantile estimator, XT, for the three-parameter logGumbel distribution can be written as
S~ = (0XT/0Xo)2Var(~o) + (0XT/00)2Var(0) + (OXT/Ofl)~Var(fl)

+ 2(OXT/Oxo)(OXT/OO)Cov(~o,~) + 2(OXT/OO)(OXT/O~)Cov(a,~)
+ 2(oxT/Oxo)(OX~/OZ)Cov(io, ~)

(46)

in which the derivatives of XT with respect to the parameters Xo, 0 and fl are given
by
0XT
OXo
cgXT
00
0XT

off

1 -

[-gn(1

l/T)]

-1/

[ - e n ( 1 - I / T ) ] -1/o
0 -- Xo

f12

gn[-en(1 - l / T ) ] . [-gn(1 - l/T)] -1/0

(47a)

(47b)

(47c)

200
Likewise,the variances and covariances in Eq. (46) are
Var((o) = (0 - xo)2rr2/6Nfl2D

(48a)

Var(0) = (0 - Xo)2{E~[1 + F'(2)] - E~}/Nfl2D

(48b)

va4~) = ~c/ND

(48c)

Cov(:~o,/}) = (0 - Xo)2{E311 + F"(2)] + E1F'(2)}/Nfl2D

(48d)

Cov({},fl) = -(O - Xo)[EaE2 + EIF'(2)]/ND

(48e)

Cov(2o,/3)

(48f)

= - ( 0 - Xo)[EBIP'(2) + E1]/ND

in which the terms c, E1 , E2, E3 and D have been previously defined in Eqs. (30)
and (31). Finally, the asymptotic variance of the quantile estimator can be obtained
by substituting Eqs. (47) and (48) into (46) as
2

N2

ST -- IDI (O- Xo)~ [b + 2 S - ~ / q - b + Es[1 + P"(2) - V'(2)aS 1 + E,[F'(2) - enS]}

+ S-~/qb + E~[~ + r"(2) - 2r'(2)enS]

- 2Ea[1 +

- E2[E2 + 2F'(2) - 2&S + 2enS E3] + c(enS)2}]

r"(2)r'(2)enS]
(49)

where S = - & ( I - I / T ) and b is given by Eq. (30b).

For the two-parameter log-Gumbel distribution Xo = 0, and the asymptotic variance
of Xrr in Eq. (46) reduces to
S~ :

(oqXT/00)2Var(0) + (0XT/0fl)2Var(/~)

+ 2(oxs/oo)(ox~/oa)cov(a, 8)

(50)

Thus, following the same steps as described tor the three-parameter log-Gumbel
model, the asymptotic variance of 5{T can be obtained as
S~ -

x~:Nfl
2 [1+ {F'(2)-gn[-gn(1-1/T)]}2-]~r2/6

(51)

Note that. the asymptotic variance is only a function of the shape parameter for a
given return period and sample size.
5 Application

The annual flood data of the St. Mary's River at Stillwater, Nova Scotia, Canada
(1916-1986) are used to compute the parameter estimates, quantiles and confidence

201
limits for the three-parameter log-Gumbel distribution. The moment estimates
(MOM) are obtained from Eqs. (7), (14) and (15). The probability weighted moments estimates (PWM) are found from Eqs. (17), (18) and (19). The maximum
likelihood estimates (ML) are obtained based on the Newton-Raphson and Jenkinson
procedures. The Newton-Raphson method usually converges faster than the Jenkinson procedure (Prescott and Walden, 1983). In this example, the Newton-Raphson
method converged at the 3rd iteration while the Jenkinson's procedure did at the
6th iteration when the relative error was set to 10-6. These parameter estimates are
given in Table 2.
The results show that the ML (Newton-Raphson) and PWM methods give similar
parameter estimates while significant different estimates are obtained based on the
MOM method. The chi-square and Kolmogorov-Smirnov tests were used to test the
goodness of fit of the flood data to the log-Gumbel distribution. Both test results
showed that the St. Mary's River flood data is well fitted by the log-Gumbel distribution. The empirical and fitted PDFs of the log-Gumbel model are shown in Fig.
2 based on the MOM, PWM and ML, parameter estimates. Likewise, the quantiles
and 95% confidence limits, corresponding to return periods T = 1.01, 1.05, 1.1, 1.5,
2, 5, 10, 20, 50, 100 and 500 of the log-Gumbel distribution are given in Table 3. The
results show that in relation to estimating quantiles the three estimation methods
give very similar results for all values of T considered (the maximum difference for T
= 500 is about I%). On the other hand, for values of T >_ 50 there is a significant
difference in the confidence limits obtained by the method of moments and those
obtained by the other two methods. For example, for T = 500, the difference is of
about 27% for the lower limit and 17% for the upper limit. These differences can be
observed graphically in Fig. 3.
As an alternative, the frequency factors can be used to estimate the quantiles. For
example, the mean, standard deviation and skewness coefficient of the St. Mary's
River flood data are 411.028, 143.623, and 1.2974, respectively. From Table 1, the
frequency factor for return period 100 years is 3.2163 and the corresponding quantile
becomes 411.028 + 3.2163 x 143.623 = 872.96:3 which compares closely with the value
shown in Table 3 for MOM estimates.

6 Summary and Conclusions

The log-Gumbel distribution has been examined regarding quantile estimation and
confidence intervals of quantites. The estimation techniques considered are the methods of moments, probability weighted moments and maximum likelihood. Algorithms
for parameter estimation based on these three methods are presented. The methods
were not statistically evaluated nor compared except by an application example. However, given the relationship of the log-Gumbel with the GEV distribution and based
on the results of Hosking et al. (1985) obtained for the GEV distribution, one may
infer that the PWM estimation method would compare favorably to the other methods specially for small sample sizes. Actual testing and comparison will be reported
separately.
The asymptotic variances of the MOM, PWM and ML quantile estimators for
the log-Gumbel distribution have been derived as a function of the sample size and
parameters. Generally, these formulae do not have simple forms but can be evaluated
numerically. Thus, the confidence limits of the MOM, PWM and ML quantiles can

202
Table 2. Parameter estimates of the log-Gumbet distribution

Method

Parameters

MOM
ML: Newton-Raphson
ML: Jenkinson
PWM

xo

fl

-3807.08
-2851.02
-2088.00
-2851.02

345.78
345.92
345.33
345.12

38.42
30.17
23.04
29.66

Table 3, The estimates of quantiles and 95% confidence limits based on the methods of moments,
probability weighted moments and maximum likelihood (Newton-Raphson) for the annual floods of
the St.Mary's River

Method

Return
Period
T

Nonexceedance
Probability
q

Lower
Limit

Quantile
X'I"

Upper
Limit

MOM

1.0i
1.05
1.10
1.50
2.00
5.00
10.00
20.00
50.00
100,00
500.00

.00990
,04762
,09091
,33333
.50000
.80000
.90000
,95000
.98000
.99000
.99800

134.85
187.00
216.67
308.09
355.50
458.02
522.74
584,79
665.89
727,48
872.97

183.71
227,16
252.31
335,63
385.59
511.13
596.31
679.59
789.74
874.04
1074.83

232,58
267,26
287~95
363.16
415.68
564.24
669.88
774.39
913.58
1020,61
1276.69

PWM

1.01
1.05
1.10
1.50
2.00
5.00
10.00
20.00
50,00
100.00
500.00

.00990
.04762
.09091
.33333
.50000
.80000
.90000
.95000
.98000
.99000
.99800

144.37
197.42
225.62
307.52
352.78
462.81
529.48
583.98
638.35
666.58
689.03

184A9
227,37
252.25
335.00
384.86
510.91
597.06
681.77
794,51
881,35
1090,01

224.62
257.31
278.87
362.48
416.94
559.01
664.63
779.55
950.67
1096,11
1490,99

ML

1.01
1.05
1.10
1.50
2.00
5.00
10.00
20,00
50.00
100.00
500.00

.00990
.04762
,09091
,33333
.50000
.80000
.90000
.95000
.98000
.99000
~99800

151.94
202.21
229.11
309.09
353.96
462,12
527.34
581.32
636,88
667.45
700.06

187.88
230.08
254,56
335.96
385.00
508.90
593.53
676.71
787.37
872.57
1077.15

223,82
257.95
280,01
362.84
416.03
555.67
659.72
772.10
937,87
1077.69
1454,25

203

0.004
A

EPDF
MOM
......... PWM
ML

0.003

f(x)o.oo2
0.001
0.000

I I II

I'

200

400

600

800

1000

ANNUAL FLOOD X (m3/s)

Figure 2, The empirical and fitted PDFs of the log-Gumbel distribution for the annual flood data
of the St. Mary's River.

2000
,,,,

DATA

......

MOM

PW'M

....

.L

,,.~,.'~"

,,--~..:--

" ~ 1000
v

0
_.1
h

_J

Z
z

100 -I
1.01

1.1

1.5 2

10

20

50

100 200

500 1000

RETURN PERIOD (YEAR)

Figure 3. Plot of the empirical frequency distribution of annual flood data of the St. Mary's River
and 95% confidence limits on quantiles based on MOM, PWM and ML estimates.

204
be obtained by using the corresponding asymptotic variances. The log-Gumbel model
was applied to the annum flood data of the St. Mary's River to estimate parameters,
quantites and confidence limits based on the MOM, ML and P W M procedures. The
results of this example showed that the ML(Newton-Raphson) and P W M methods
give similar parameter estimates while those of the MOM estimates depart significantly. However, these differences are not significantly reflected in estimating quantiles. On the other hand, the confidence limits based on the MOM estimates show
narrower limits than those obtained by the ML and PWM methods especially for
high return periods.
Acknowledgement
The research leading to this paper has been sponsored by the National Science Foundation Grant BCS-9101741 on Regional Flood Hazard Analysis.
A p p e n d i x A. S e c o n d p a r t i a l d e r i v a t i v e s of t h e l o g - l i k e l i h o o d f u n c t i o n of
the log-Gumbel distribution
-O2LL/Ox2o = N f l / ( O - xo) - (fl + 1) E ( x i
~(x~

- xo) -~ + f l ( f l - 1)/(0 - xo) r3-2

- Xo) -~ - 2/~2(0 - X o ? - ' ~ ( x i

-O2LL/O0Oxo = - N i l / ( 0 - Xo)~ -

fl(fl

Ar- f ~ 2 ( 0 - - Xo) fl-1 E ( X i

- Xo)

(A1)

- 1)(0 - Xo)p-2 E ( x ~ - Xo)-~

(A2)

- - Xo) - f l ' l

-02LL/0xo0fl = N/(0 - Xo) - ~ ( x i -

Xo)-1 -1~ E

[0-xo] ~
I_Xi-- XoJ (1

flgn [ 0 - X o ]
kXi -- XoJ )

(A3)

X
Xi - - Xo

-O2LI./OO

0 - - Xo

= Nil/(0 - xo) 2 +/3(/3 - 1)(0 - Xo);~-~ ~-~(xi - Xo)-p

_o, ,o0o __

r0-xo

r0_xo l) [

LXi - x o J

LXi -

[xi - Xoj
N

where ~

= ~.
i=l

(A4)

txi - Xol 1

XoJ

'

] (A5)
(A6)

205
A p p e n d i x B. E x p e c t e d values of t h e second partial derivatives of t h e
log-likelihood f u n c t i o n of t h e l o g - G u m b e l d i s t r i b u t i o n
02LL ] _
N/32
g - -~x2o j
(07Xo) ~ [1 + (1 + 1//3)2p(1 + 2//3) - 2(1 + 1//3)F(1 + 1//3]
02LL ] _
O0~J

E -

02LL]j
E--a-y

N~ 2
(0-Xo) 2

02LL ]
E - o-LNoOOj =

02LL ] E

(B2)

N [1+F"(2)]

(B3)

N/3~
[1 - r(2 + 1//3)]
(O--xo) ~

N2
[r(2 + 1//3) + r'(2 + 1//3)
(0 - Xo)
-

0x-Tg-gJ

02LL]_
E - ~ j

(t31)

(B4)

r(1 + 1//3)

N
F'(2)
(0 - Xo)

F'(2)]

(B5)
(B6)

where F(-) is the complete gamma function and F'(-) and F"(.) are the first and second
partial derivatives of the gamma function, respectively.
A p p e n d i x C. D e r i v a t i o n of e l e m e n t s Dii of t h e m a t r i x D for t h e p r o b a b i l i t y
weighted moments B
Let Br = E[X{F(x)}r], r = 0, 1, ..., m, denote the r-th population probability weighted
moments (PWM) and 13r be the corresponding sample PWM. As N goes to infinity,
N1/2(Br - t3r), r = 0, 1, ..., m-I, converges in distribution to the trivariate normal
distribution N(0,D) (Hosking, 1986). The elements of Dij of matrix D are given by
Dij

Jij + J5

(el)

and
Jij

--

fx<y {F(x)}i{F(Y)}JF(x)[1 - F(y)]dxdy

(c2)

Therefore, it may be shown

D0o = 2 / J ( x

Dm -- / ~

<y

F(x)[1 - F(y)]dxdy = (0 - Xo)2[r(1 - 2//3) - r2(1 - 1//3)1(C3)

[F(x)+ F(Y)lF(x)[l-F(y)]dxdy
<y

= [(0 - Xo)2/2][22/ZF(1 -

2//3)

(2 I+'/z - 1)F2(1 - 1/fl)]

(c4)

206

/x<y [{F(x)}2 -~

Do 2 z
=

[(0 - Xo)2/2][{/

{F(Y)}2]F(x)[1-

F(y)]dxdy

- 2~/H(1/2)}r(1

- 2/5)

- 2(3 '/0 - 2a/z)P2(1 - 1//3)]

(C5)

2 f .<y F ( x ) F ( y ) F ( x ) [ 1 - F(y)]dxdy

Dll
=

(0 - Xo)~2~/[H(1/2)r(i

Dl 2 z

- 2/5)

- r~(]

- 1/5)1

~<y [{F(x)}2F(y)+ F(x){F(y)}']F(x)[1 -

(c6)

F(y)ldxdy

[(0 - Xo)2/2][32/0H(1/3)P(1 - 2 / 5 ) - (2 61/0 - 2'/e)F2(1 - 1/5)]

(C7)

/- /.
J22 = 2 1 /
{F(x)}2{F(y)}2F(x)[1-F(y)]dxdy
d Jx <Y
=

(o - Xo)2a2/o[tt(2/a)r(1

- 2/5)

r2(1

(cs)

1/5)1

where H(z) is a hypergeometric function defined as

H(z) =

F(-2//3,-1/5;

1 - 1/5;-z)

1//3

r(2/5) ~=o

r ( n + 2//3)(-~) n

(n q- 1//3)n!

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