Journal of Hydrology 234 (2000) 71–81

www.elsevier.com/locate/jhydrol

A comparison of moment-based methods of estimation

for the log Pearson type 3 distribution
I.A. Koutrouvelis a,*, G.C. Canavos b,1
a
Department of Engineering Science, University of Patras, 26110 Patras, Greece
b
School of Business, Virginia Commonwealth University, 23284 Richmond, VA, USA
Received 28 May 1999; received in revised form 20 January 2000; accepted 29 March 2000

Abstract
The log Pearson type 3 distribution is a very important model in statistical hydrology, especially for modeling annual flood
series. In this paper we compare the various methods based on moments for estimating quantiles of this distribution. Besides the
methods of direct and mixed moments which were found most successful in previous studies and the well-known indirect
method of moments, we develop generalized direct moments and generalized mixed moments methods and a new method of
adaptive mixed moments. The last method chooses the orders of two moments for the original observations by utilizing
information contained in the sample itself. The results of Monte Carlo experiments demonstrated the superiority of this method
in estimating flood events of high return periods when a large sample is available and in estimating flood events of low return
periods regardless of the sample size. In addition, a comparison of simulation and asymptotic results shows that the adaptive
method may be used for the construction of meaningful confidence intervals for design events based on the asymptotic theory
even with small samples. The simulation results also point to the specific members of the class of generalized moments
estimates which maintain small values for bias and/or mean square error. 䉷 2000 Elsevier Science B.V. All rights reserved.
Keywords: Floods; Estimation; Log Pearson type 3 distribution; Monte Carlo simulation

1. Introduction
The log Pearson type 3 (LP3) distribution is a very
important model in statistical hydrology, especially
after the recommendations of the US Water Resources
Council (WRC) for fitting the Pearson type 3 (P3)
distribution to the logarithms of flood flow peaks
(Benson, 1968; WRC, 1967, 1981). It is a flexible
three-parameter family capable of taking many differ-
* Corresponding author. Tel: ⫹30-61-997542; fax: ⫹30-61-
996128.
E-mail addresses: koutrouv@upatras.gr (I.A. Koutrouvelis),
gcanavos@busnet.bus.vcu.edu (G.C. Canavos).
1
Tel: ⫹1-804-823-7139; fax: ⫹1-804-828-8884.
0022-1694/00/$ - see front matter 䉷 2000 Elsevier Science B.V. All rights reserved.
PII: S0022-169 4(00)00241-9
ent shapes and has been widely used in many coun-
tries for modeling original (untransformed) annual
flood series.
Several methods for fitting the LP3 distribution
have been proposed. For an extensive description of
at-site procedures based on systematic gage data, the
reader is referred to Bobee and Ashkar (1991). When
historical information is also available, it can be used
to improve the precision of estimation. Cohn et al.
(1997) proposed an expected moments algorithm for
this situation which produces highly efficient quantile
estimators without having the problems associated
with the other methods.
We will not consider here the historical information
but will concentrate on the most popular moment-based
72 I.A. Koutrouvelis, G.C. Canavos / Journal of Hydrology 234 (2000) 71–81
procedures utilizing stream gage records. Among
these, the simplest procedures are indirect moments
methods of fitting the P3 distribution to the log-trans-
formed data. One such procedure was recommended
by WRC (1967). Bobee (1975) proposed a direct
moments (DM) method which uses the first three
moments about the origin of the untransformed data.
Rao (1980, 1983), noticing the undesirable properties
of third sample moments, proposed a mixed moments
(MXM) method using the sample mean and variance
of the original data and the sample mean of the log-
transformed data. The reliance, however, on moments
of positive integer order does not necessarily lead to
the best results. Observing this, Bobee and Ashkar
(1988) introduced a method of generalized moments
(GM), which equates sample and population moments
of three arbitrary fixed orders. Obviously, this method
generalizes the DM method. In addition, as demon-
strated by Bobee and Ashkar (1988), it may be
thought to contain as special cases the MXM method
and any other procedures utilizing two moments of the
original data and the mean of the log-transformed
data.
Extensive comparisons of various fitting methods
for the LP3 distribution, with respect to both bias and
standard error of estimated quantiles, have been
undertaken in several Monte Carlo studies. For esti-
mating flood events of high return periods, the best
performance was observed with the MXM method in
the studies of Rao (1980) and Arora and Singh (1989)
and with the DM method in the study of Ashkar and
Bobee (1987).
In this paper, we modify the algorithms of Bobee
(1975) and of Arora and Singh (1989) and obtain
generalized direct moments (GDM) and generalized
mixed moments (GMXM) estimates. The GDM esti-
mates are based on three moments in real space of
fixed (not necessarily integer) orders while the
GMXM estimates are based on two moments in real
space of fixed orders and the mean in log space.
Through a series of Monte Carlo simulation experi-
ments, we find that the GDM (GMXM) estimates of
floods with large return periods corresponding to
specific orders of the moments in real space have
better performance than the corresponding DM
(MXM) estimates with respect to mean square error
and/or bias.
In addition, we introduce an adaptive mixed
moments (AMXM) procedure, which chooses the
orders of the two moments in real space by utilizing
information contained in the sample itself. This proce-
dure is a special case of the AMXM method for the P3
distribution of Koutrouvelis and Canavos (1999) as
applied to the log-transformed data. Although the
AMXM estimators of large quantiles exhibit
increased instability (variability), relative to the DM
and MXM estimators in small samples, they are less
biased in most cases and they have the best overall
performance in large samples. Also, the true standard
errors of the AMXM estimators are closely approxi-
mated from the standard errors obtained from the
asymptotic theory, a property not shared by the DM
and the MXM or their most successful generalized
versions. It is thus possible, using the AMXM proce-
dure, to find meaningful confidence intervals for
design events based on the asymptotic results.
2. Fitting the LP3 distribution
If the logarithm of a variable X, Y ˆ ln X; has the
P3(a,b,c) distribution, then X has the LP3(a,b,c) distri-
bution with density
    
1 ln x ⫺ c b⫺1 ln x ⫺ c 1
g…x† ˆ exp ⫺ :
兩a兩G…b† a a x
…1†
The constants a, b, c are scale, shape, and location
parameters in log space, respectively, and G…·† denotes
the gamma function. For a ⬎ 0; both X and Y have
positive skewness and x ⱖ exp…c†: For a ⬍ 0; Y has
negative skewness but X can have positive or negative
skewness and x ⱕ exp…c†:
The mean, variance, and coefficient of skewness of
Y are given by
m Y ˆ c ⫹ ba; s Y2 ˆ ba2 ; gY ˆ 2a=…兩a兩b1=2 †:
…2†
A more convenient representation of the P3 distribu-
tion is through its moment generating function (MGF)
c …Y† …t† ˆ E‰exp…tY†Š ˆ exp…ct†…1 ⫺ at†⫺b ; …3†
which is defined for any real number t such that at ⬍ 1:
Since X ˆ exp…Y†; it follows that, for any real t0 such
that at 0 ⬍ 1; the t0th moment about the origin of X
 I.A. Koutrouvelis, G.C. Canavos / Journal of Hydrology 234 (2000) 71–81
coincides with the value at t0 of the MGF of Y, that is
E…X t0 † ˆ c …Y† …t 0 † ˆ exp…ct0 †…1 ⫺ at0 †⫺b : …
The sample counterpart of the MGF of Y is the empiri-
cal moment generating function (EMGF) of Y defined
by
1X n
c n…Y† …t† ˆ exp…tyi †; …
n iˆ1
where yi ˆ ln xi and xi …i ˆ 1; 2; …; n† are the original
observations. For each real number t0, the value
c n…Y† …t0 † is just the t0th sample moment about the
origin of the xi and is an unbiased estimate of E…X t0 †
provided that t0 is such that at0 ⬍ 1:
2.1. Methods of indirect moments
In these, the original observations xi are first trans-
formed to yi ˆ ln xi and then, a method of moments is
applied to the yi values. One of these, recommended
by WRC (1967), estimates the parameters a, b, c by
equating the P3 population quantities given by (2) to
the sample mean y;  the unbiased sample variance s2Y ;
and a “corrected” for bias estimate of the skewness
coefficient of Y.
If xT ; yT denote the theoretical design events with
given return period T for the LP3, and the P3 distribu-
tion, respectively, then, since xT ˆ exp… yT †; it follows
that a first-order approximation to the variance of the
estimated design event, XT ; is
var…XT † ˆ x2T var…YT †: …
In (6), xT may be found from
xT ˆ exp…c ⫹ azT † …
or from
xT ˆ exp…ab kT ⫹ c ⫹ ab†;
1=2
…
where zT is the theoretical design event of the standard
gamma, i.e. the P3(1,b,0) distribution, and kT denotes
the (theoretical) frequency factor. The quantile zT is
half the corresponding quantile of a x2 distribution
with 2b degrees of freedom, which can be found, for
b ⱖ 0:25; by using the IMSL (1987) function
DCHIIN. The quantity kT can be approximated from
the polynomial fit of Bobee (1979). Also in (6), a large
sample approximation for var…YT † has been provided
by Bobee (1973). See, also, Bobee and Ashkar (1991,
73
p. 69). In practice, we do not know the values of the
parameters but we may obtain an estimate of var…XT †
4† ^
^ b;
by substituting a, b, zT …kT † by their estimates a;
ZT …KT †; respectively.
2.2. Direct moments method
5† This method estimates the parameters a, b, c by
solving the system of equations
ln c n…Y† …t† ˆ ct ⫺ b ln…1 ⫺ at†; …t ˆ 1; 2; 3†; …9†
where c n…Y† …t†; the EMGF of the transformed observa-
tions yi ; coincides with the tth sample moment about
the origin of the original data xi : Therefore, the DM
method may be viewed as an indirect MGF method.
Bobee (1975) proposed estimating first a scale para-
meter from an equation derived from the system (9)
after the elimination of b and c and involving the
sample quantity
ln c n…Y† …3† ⫺ 3 ln c n…Y† …1†
Bn ˆ ; …10†
ln c n…Y† …2† ⫺ 2 ln c n…Y† …1†
and then, estimating the parameters b and c from Eq.
(9) for t ˆ 1; 2: A table was also provided as an aid in
the solution of the equation involving his scale para-
meter and Bn : This table cannot be used directly here
since the parameter a is the inverse of the scale para-
meter taken by Bobee (1975). Instead, the procedure
of Arora and Singh (1989) is followed, in which a is
6† estimated from the equation
3 ln…1 ⫺ a† ⫺ ln…1 ⫺ 3a†
B…a† ⬅ ˆ Bn ; …11†
7† 2 ln…1 ⫺ a† ⫺ ln…1 ⫺ 2a†
by first interpolating inversely in a table of [a, B(a)]
points, entering the observed value Bn of B(a) to
8†
obtain an initial solution of (11) for a, and then, by
using the Newton–Raphson method to find the final
solution of (11). The estimate of a is then used in Eq.
(9) for t ˆ 1; 2 to find the estimates of b and c. A
limitation of this procedure is that it is valid only
for values of a less than 1/3.
First order approximations to the variances and
covariances of the DM estimators of the parameters
and to the variance of an estimated design event with
given return period have been found by Hoshi and
Burges (1981a) and Phien and Hsu (1985).
74 I.A. Koutrouvelis, G.C. Canavos / Journal of Hydrology 234 (2000) 71–81
2.3. Mixed moments method
This method, originally proposed by Rao (1980,
1983), uses Eq. (9) for t ˆ 1; 2 and the first moment
equation of the yi values,
y ˆ c ⫹ ba: …12†
The method is valid for values of a less than 1/2.
Simple procedures for obtaining the MXM estimates
of the parameters were proposed by Phien and Hira
(1983) and by Arora and Singh (1989). The basic idea
is to solve first for a the equation
2 ln…1 ⫺ a† ⫺ ln…1 ⫺ 2a†
P…a† ⬅ ˆ Pn ; …13†
a ⫹ ln…1 ⫺ a†
where
ln c n…Y† …2† ⫺ 2 ln c n…Y† …1†
Pn ˆ ; …14†
y ⫺ ln c n…Y† …1†
which is obtained from the system of three equations
after the elimination of b and c. Then, the parameters
b and c can be easily determined by solving a system
consisting of Eq. (9) with t ˆ 1; and Eq. (12). Arora
and Singh (1989) give a table of [a, P(a)] points, for
a ⬍ 1=2; which is used to obtain an initial solution of
Eq. (13) by employing inverse interpolation of the
value of a for a given value ofPn . This solution serves
as the starting value of a in a Newton–Raphson itera-
tive procedure for solving (13).
Phien and Hsu (1985) give first order approxima-
tions to the variances and covariances of the para-
meter estimators. These may be used as in Hoshi
and Burges (1981b) to find initially the first order
approximation of var…YT †. The variance of the esti-
mated design event is then approximated from Eqs.
(6) and (7) or Eqs. (6) and (8).
2.4. Generalized moments method
The DM method was generalized by Bobee and
Ashkar (1988) who considered the system of Eq. (9)
for an arbitrary choice of three distinct t values t1, t2, t3
and found approximations to the variances and covar-
iances of the resulting GM estimators and to the
variance of an estimated design event. The same
authors demonstrated that the MXM method and
any other method using two moments of the original
data and the mean of the log-transformed data can be
considered as special cases of the GM method. This
can be seen easily by observing that the left and right
sides of Eq. (12) are the limits, as t ! 0; of the func-
tions resulting by dividing the corresponding sides of
Eq. (9) by t. However, the variances and covariances
of the estimators based on two moments of the xi and
 found by Bobee and Ashkar (1988), cannot be
y,
obtained from the corresponding general formulae
of the GM estimators. Therefore, the former estima-
tors are not genuine GM estimators.
Two important classes of estimators belonging to
the extended class of GM estimators are considered
here. The estimators in the first class result by consid-
ering the system (9) with three equispaced t values, t,
2t, 3t and will be called GDM estimators. The solution
of the system, assuming at ⬍ 1=3; is obtained by a
procedure similar to that used by Arora and Singh
(1989) for finding the DM estimates. First, letting
ln c n…Y† …3t† ⫺ 3 ln c n…Y† …t†
Bn …t† ˆ ; …15†
ln c n…Y† …2t† ⫺ 2 ln c n…Y† …t†
we find an initial estimate, a^ 00 ; of the scale parameter
a 0 ˆ at from the equation
3 ln…1 ⫺ a 0 † ⫺ ln…1 ⫺ 3a 0 †
B…a 0 † ⬅ ˆ Bn …t†; …16†
2 ln …1 ⫺ a 0 † ⫺ ln…1 ⫺ 2a 0 †
by using inverse interpolation in the table of [a, B(a)]
points of Arora and Singh (1989), entering the
observed value Bn …t†: The final solution a^ 0 of Eq.
(16) is obtained by using the Newton–Raphson
method. Then, a is estimated by a^ ˆ a^ 0 =t and b, c by:
ln c n…Y† …2t† ⫺ 2 ln c n…Y† …t†
b^ ˆ ;
2 ln…1 ⫺ a^ 0 † ⫺ ln…1 ⫺ 2a^ 0 †
ln c n…Y† …2t†ln…1 ⫺ a^ 0 † ⫺ ln c n…Y† …t†ln…1 ⫺ 2a^ 0 †
c^ ˆ :
t‰2 ln…1 ⫺ a^ 0 † ⫺ ln…1 ⫺ 2a^ 0 †Š
…17†
In the second class, the estimators, called GMXM
estimators, result by considering the system of Eq.
(12) and Eq. (9) for two t values, t and 2t. This system
is solved, assuming at ⬍ 1=2; by following a proce-
dure similar to that of Arora and Singh (1989) for
finding the MXM estimates. Letting a 0 ˆ at and
ln c n…Y† …2t† ⫺ 2 ln c n…Y† …t†
Pn …t† ˆ ; …18†
ty ⫺ ln c n…Y† …t†
 I.A. Koutrouvelis, G.C. Canavos / Journal of Hydrology 234 (2000) 71–81 75

Table 1
Experimental cases from the LP3 distribution

Case CV g a b c gY

1 0.50 1.00 ⫺0.118320 19.82269 2.216713 ⫺0.45

2 0.50 3.00 0.127683 10.30311 ⫺1.407434 0.62
3 0.30 3.00 0.150978 2.681889 ⫺0.438946 1.22
4 0.70 3.00 0.059798 98.38009 ⫺6.066213 0.20
5 0.20 1.24 0.050002 13.67000 5.526204 0.54
6 0.30 ⫺0.34 ⫺0.249738 2.100000 8.887978 ⫺1.38

we first find an initial estimate, a^ 00 ; of a 0 from the
equation
2 ln…1 ⫺ a 0 † ⫺ ln…1 ⫺ 2a 0 †
P…a 0 † ⬅ ˆ Pn …t†; …
a 0 ⫹ ln…1 ⫺ a 0 †
by using inverse interpolation in the table of [a, P(a)]
points of Arora and Singh (1989), entering the
observed value Pn …t†: The final solution a^ 0 of Eq.
(19) is obtained by using the Newton–Raphson
method. Then, a is estimated by a^ ˆ a^ 0 =t and b, c by:
ty ⫺ ln c n…Y† …t†
b^ ˆ 0 ; c^ ˆ y ⫺ b^a:
^ …20†
a^ ⫹ ln…1 ⫺ a^ 0 †
2.5. An adaptive mixed moments method
This method, denoted here by AMXM, consists of
the application of the mixed moments method of
Koutrouvelis and Canavos (1999) to the logarithmi-
cally transformed data yi in the special case of using,
at each iteration, r ˆ 2 moments of the original data
and the mean of the log-transformed data. Specifi-
cally, at the … j ⫹ 1† iteration … j ⱖ 0†; the procedure
finds estimates a^j⫹1 , b^ j⫹1 ; c^j⫹1 of the parameters by
solving the system of equations
tm when bm⫺1 ⬍ b^0 ⱕ bm …m ˆ 1; 2; …; M†; where
the integer M and tm ; bm are prespecified numbers
such that ⫺∞ ⬍ t1 ⬍ … ⬍ tM ⬍ 0; 0 ⬅ b0 ⬍ b1 ⬍
… ⬍ bM⫺1 ⬍ bM ⬅ ∞:
19†
The values of tm are taken negative in order to
insure that all values of the MGF estimated by
c n …tk… j† †; are defined no matter what are the true values
of the parameters …a 苷 0†: It is interesting to observe
that if the standard spacing was taken to be a prespe-
cified constant, t , the system (21) would be identical
to the system satisfied by the GMXM estimates if t
was set equal to t=a: Thus, the AMXM estimates are
actually adaptive GMXM estimates.
The first-order approximations to the variances and
covariances of the final AMXM estimators of the
parameters are the same as the corresponding quanti-
ties of the adaptive mixed moment estimators for the
P3 distribution given by Koutrouvelis and Canavos
(1999). The first-order approximation of var…XT † is
obtained by first finding the approximation of
var…YT † as in Hoshi and Burges (1981b) and then
using Eqs. (6) and (7) or Eqs. (6) and (8).
3. Monte Carlo simulation results

ln c n…Y† …tk… j† † ⫺ ctk… j† ⫹ b ln…1 ⫺ a^ j tk… j† † ˆ 0; …k ˆ 1; 2†
y ⫺ c ⫺ ba ˆ 0; (21)
where the points tk… j† are taken to be the values
t1… j† ˆ t…b^ 0 †=a^ j ; t2… j† ˆ 2t…b^ 0 †=a^j …22†
with a^ j the estimate of a from the jth (the previous)
iteration and t…b^ 0 † a quantity, termed standard
spacing, which depends on an initial estimate of the
shape parameter. The standard spacing takes the value
A Monte Carlo simulation study was undertaken in
order to evaluate the performance of the fitting proce-
dures described earlier. Six experimental cases were
considered corresponding to LP3 populations with
parameters given in Table 1. The first four cases are
identical to four of the five cases considered by Arora
and Singh (1989) and correspond to LP3 populations
having mean (m ) equal to one, coefficient of variation
(CV) between 0.3 and 0.8 and skewness coefficient
(g ) of at least one. The restrictions on the ranges of
CV and g in these cases were imposed to make the
76 I.A. Koutrouvelis, G.C. Canavos / Journal of Hydrology 234 (2000) 71–81
simulated data representative of real annual flood
data, cf. Arora and Singh (1989) and the papers
cited there. The last two cases of Table 1 were
used in the simulation study of Ashkar and Bobee
(1987). Although the aforementioned restrictions
are not satisfied in these cases, they are included
here for the sake of more generality. Notice that
Ashkar and Bobee (1987) use logarithms with
base 10, instead of natural logarithms, and a
different scale parameter in their definition of the
LP3 distribution.
For each case of Table 1, 1000 samples with
various sizes n, were generated from the corre-
sponding LP3 population by using subroutine
DRNGAM of IMSL (1987) and appropriate trans-
formations. In each sample, estimates of design
events xT with various return periods T were
found by the different estimation methods. The
N ˆ 1000 estimates x^Ti of a specific quantile xT ;
derived by a given method, were then used in
each experimental case of theoretical population
and sample size to calculate the standardized
bias (BIAS) and the standardized and normalized
root mean squared error (NRMSE), of the
estimator XT given by:
1 XN
…x^ ⫺ xT †
N iˆ1 Ti
BIAS…XT † ˆ ; …23†
xT
" #1=2
n XN
…x^ ⫺ xT †2
N iˆ1 Ti
NRMSE…XT † ˆ : …24†
xT
Fig. 1 shows the standardized biases (%) of the
estimated flood events with return periods T ˆ 10;
100, 1000 which were found in samples of sizes n ˆ
25; 100. The coding symbols used are similar to the
ones employed by Ashkar and Quarda (1998). Fig. 2
shows the actual values found for the statistic (24) in
the cases (T, n) ˆ (10, 25), (100, 25), (1000, 25) and
(100, 100). The results in Figs. 1 and 2 for the proce-
dures GDM and GMXM correspond to the application
of these procedures with the values of t shown inside
parentheses. These values were found in initial Monte
Carlo experiments to yield relatively small NRMSE
for design events of large return periods over large
portions of the parameter space. Also, after initial
experimentation, method AMXM was applied as
follows:
For n ⱕ 70; M ˆ 1 and t1 ˆ ⫺0:05:
For 70 ⬍ n ⱕ 350; M ˆ 3; b1 ˆ 2:5; b2 ˆ 7; t1 ˆ
⫺1; t2 ˆ ⫺0:20; t3 ˆ ⫺0:05:
For n ⬎ 350; M ˆ 3; b1 ˆ 3:5; b2 ˆ 8:5; t1 ˆ ⫺1;
t2 ˆ ⫺0:20; t3 ˆ ⫺0:05:
The Monte Carlo study included a much larger
number of experiments than those presented in Figs.
1 and 2 and its main findings with respect to the perfor-
mance criteria (23) and (24) are summarized below.
3.1. Standardized bias
Fig. 1 shows that the method AMXM has the best
overall performance with respect to the BIAS statistic
followed by the methods WRC and MXM. This
conclusion can also be drawn when applying the
min–max and the minimum average robustness
criteria (see Arora and Singh, 1989) to the actual
BIAS values obtained in the full Monte Carlo study.
Specifically, the results of the study showed that the
AMXM, WRC and MXM procedures, in this order,
maintain the smallest absolute values of BIAS in esti-
mating flood events of high return periods …T ⱖ 50†
with small and medium size samples …n ⱕ 50†: Also,
these three procedures compete for the first place in
the less important tasks of (i) estimating flood events
of low return periods (e.g., T ˆ 10† with samples of
any size and (ii) estimating flood events of high return
periods with large samples …n ⱖ 100†:
The GMXM(2.0) and GDM(1.25) methods, in this
order, have the worst BIAS performance among all
eight methods. As can be verified from Fig. 1 these
methods underestimate considerably the high quan-
tiles. The DM method is more resistant than the last
two but is surpassed in performance by the methods
GMXM(1.25) and GDM(0.75) and, of course, by the
methods AMXM, WRC and MXM.
The performance of each method with respect to the
shape of the distribution can be judged by comparing
the BIAS results for the same methods across the six
population cases of Table 1. From Fig. 1 it follows
that the DM, GDM(0.75) and GDM(1.25) estimators
have their best performance in cases 6 and 5 and their
worst performance in cases 4, 2 and 3 (in that order).
 I.A. Koutrouvelis, G.C. Canavos / Journal of Hydrology 234 (2000) 71–81 77

Fig. 1. Observed standardized bias (%) from Monte Carlo simulation of 1000 samples of size n for the estimation of the T-year flood.

Thus, it appears that these estimators perform better as
the distribution becomes more symmetric and has a
smaller coefficient of variation. The MXM,
GMXM(1.25) and GMXM(2.0) estimators maintain
also the smallest values of BIAS in cases 6 and 5
corresponding to small values of g and CV. However,
the WRC and AMXM estimators have a relatively
poor BIAS performance in case 6, although they
maintain the smallest values in case 5.
3.2. Standardized and normalized root mean squared
error
Fig. 2 shows that for T ˆ 10 and n ˆ 25 the
AMXM estimator is the best and the GDM(1.25) esti-
mator is the worst with respect to the NRMSE criter-
ion. These results were verified by applying the min–
max and the minimum average robustness criteria.
Relatively small values of NRMSE were also
obtained for T ˆ 10 and n ˆ 25 with methods
WRC, MXM, GMXM(1.25) and GDM(0.75). Similar
results were obtained for the estimation of the 10-year
flood with medium size and large samples.
For the estimation of large quantiles …T ⱖ 50† and
small or medium size samples …n ⱕ 50†; our Monte
Carlo experiments showed that the best results with
respect to NRMSE are attained by one of the general-
ized mixed moment methods while the worst findings
78 I.A. Koutrouvelis, G.C. Canavos / Journal of Hydrology 234 (2000) 71–81

Fig. 2. Observed NRMSE from Monte Carlo simulation of 1000 samples of size n for the estimation of the T-year flood.
 I.A. Koutrouvelis, G.C. Canavos / Journal of Hydrology 234 (2000) 71–81
result from the WRC method. Specifically, method
GMXM(1.25) was found best for the estimation of
the 98th and 99th percentiles while method
GMXM(2.0) was found best for the estimation of
the 99.9th percentile. Also the previous two methods
compete in performance for the estimation of the
99.5th percentile. These conclusions may be verified
in the cases of the 99th …T ˆ 100† and 99.9th …T ˆ
100† percentiles, and n ˆ 25 from Fig. 2. Besides
methods GMXM(1.25) and GMXM(2.0), good results
were found with methods MXM, DM, GDM(0.75)
and GDM(1.25) in some cases. Especially, MXM
method has a very good performance in the estimation
of the 98th and 99th percentiles and the GDM(1.25)
and DM methods in the estimation of the 99.9th
percentile. These results show that the estimation of
higher quantiles requires utilization of higher orders
of moments in the generalized mixed moment and
generalized direct moment methods which is accom-
plished by choosing larger values of t. Moreover, the
need for higher moments gets stronger the smaller is
the available sample.
The AMXM method cannot compete in perfor-
mance with the direct and mixed moment methods
and their generalizations for the estimation of large
quantiles with small samples, but with appropriately
large samples it is one of the best methods in keeping
relatively small values for the NRMSE of large quan-
tile estimates. This was observed in the estimation
results for the 99th percentile with n ˆ 100; shown
in Fig. 2, but also in the estimation of the 98th and
the 99.5th with n ˆ 100 and the estimation of the
99.9th percentile with n ⱖ 200 not shown here. For
n ˆ 100; good performance in the estimation of the
98th, 99th, 99.5th percentiles was also observed with
methods GMXM(1.25) and MXM while the best
performances in the estimation of the 99.9th percen-
tile had methods GMXM(2.0) and GMXM (1.25) in
that order.
Finally, in all four estimation problems depicted in
Fig. 2 the best NRMSE results for each of the eight
estimation methods were observed in population cases
6 and 5 and the worst results in population cases 4 and
2 (in this order). This indicates that all moment-based
methods considered have an increased NRMSE
performance when the LP3 population is more
symmetric and has a smaller coefficient of variation.
The statistic NRMSE affords a comparison with the
79
standardized asymptotic normalized standard devia-
tion (ANSD), given by
ANSD…XT † ˆ ‰lim n·var…XT †Š1=2 =xT …25†
for the various estimators, population cases, design
events and sample sizes. This comparison is useful
since a close proximity of NRMSE to ANSD for an
estimator would indicate that this estimator and its
asymptotic standard deviation may be used for the
construction of confidence intervals (CI). Fig. 3
shows coded values of percentage relative differences
between the observed NRMSE and ANSD. Methods
GDM(1.25) and GMXM(2.0) are not included in Fig.
3 since the ANSD for these methods is often very far
off the value of NRMSE; it does not even exist for
method GMXM(2.0) in LP3 cases 2 and 3 and for
method GDM(1.25) in LP3 case 3. In the case of
method AMXM, the asymptotic variances are found
by using the value of the standard spacing correspond-
ing to the interval of bm values in which lies the true
value of the parameter b (Koutrouvelis and Canavos,
1999).
Fig. 3 shows that the closest overall agreement
between the NRMSE and the ANSD is attained by
the AMXM method for both n ˆ 25 and n ˆ 100:
Excluding case 6 which corresponds to a very small
skewness in real space, the relative difference
observed in the estimation of 10- and 100-year flood
events with method AMXM does not exceed 10% for
n ˆ 25 and 5% for n ˆ 100:
The WRC method has the second best performance
in this respect. The asymptotic quantities of the direct
and mixed moment estimators and their generalized
versions are not close to the corresponding finite
sample results across a wide range of LP3 population
cases even when large samples are used. Therefore,
these estimators cannot be used for the construction of
CI. On the other hand, the usual asymptotic method
for the construction of CI, which uses asymptotic
results for the WRC method, was found by Chowdh-
ury and Stedinger (1991) to have poor performance
when compared to their methods. However, the results
of Fig. 3 suggest that it is possible to find meaningful
CIs for the estimation of flood events of both small
and large return periods by using the corresponding
AMXM estimator and its asymptotic normal distribu-
tion. An approximate 100…1 ⫺ a†% CI for design
80 I.A. Koutrouvelis, G.C. Canavos / Journal of Hydrology 234 (2000) 71–81
Fig. 3. Relative difference between observed NRMSE in 1000 samples of size n and ANSD for the estimation of the T-year flood.
^ pn; where x^T is the
event xT is given by x^T ^ qa=2 d=
estimate of xT , qa=2 is the 1 ⫺ a=2 quantile of the
standard normal distribution and d^ is the estimate of
‰limn·var…XT †Š1=2 obtained by substituting the para-
meters by their estimated values.
4. Conclusions
The AMXM method has the best performance with
respect to bias and root mean squared error for the
estimation of flood events with low return periods. It
also has the best overall performance in estimating
high quantiles with large samples.
For the estimation of high quantiles with small and
medium size samples, the AMXM method maintains
the smallest BIAS among all methods considered but
is surpassed in performance with respect to the
NRMSE criterion by most methods belonging to the
classes of generalized mixed moments and general-
ized direct moments. For these estimation problems,
the GMXM(1.25), GMXM(2.0) methods were found
to be the most resistant and the WRC method the least
resistant in maintaining small values of NRMSE. For
the estimation of the 98th and 99th percentiles, the
MXM method has a very good performance with
respect to both performance criteria. The
GDM(1.25) and the DM methods also have very
good performance in estimating very large quantiles
with respect to the NRMSE criterion. However, the
GMXM(2.0) and GDM(1.25) methods underestimate
considerably design events of high return periods with
small samples. The choice of a method in each case
has to take into consideration both performance
criteria and their relative importance.
The AMXM method has the additional advantage
that it may be used for the construction of confidence
 I.A. Koutrouvelis, G.C. Canavos / Journal of Hydrology 234 (2000) 71–81
intervals for design events based on asymptotic results
even with small samples. Such intervals are much
more informative to the practitioner than point esti-
mates. On the other hand, the WRC, mixed and direct
moment methods and their generalizations cannot be
used successfully for this purpose.
Acknowledgements
The authors are grateful to the reviewers for their
helpful comments.
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