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Probability Analysis of Hydrological Loads for the Design of Flood Control

Systems Using Copulas

Article  in  Journal of Hydrologic Engineering · May 2010

DOI: 10.1061/(ASCE)HE.1943-5584.0000204

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Probability Analysis of Hydrological Loads for the Design of
Flood Control Systems Using Copulas
Bastian Klein, Ph.D.1; Markus Pahlow, Ph.D.2; Yeshewatesfa Hundecha, Ph.D.3; and Andreas Schumann4

Abstract: The natural variability of floods cannot be represented appropriately by single design floods. Different hydrological scenarios
are needed for sustainable design of flood protection structures such as flood control reservoirs and polders. In this paper a method to
estimate the probability of generated hydrological scenarios for the risk analysis of a flood control system is presented. Bivariate
probability analyses of different flood variables using copulas are applied to overcome the problem that univariate probability analysis
may lead to an over- or underestimation of the hydrological risk. The mesoscale Unstrut river basin in Germany, which consists of two
reservoirs located downstream of the main tributaries and flood polders, serves as test case. The spatial distribution of flood events within
the river basin is analyzed by the joint probability of the inflow peaks at the two reservoirs. Furthermore, in a second application copulas
are used for risk analysis of the individual flood detention structures. This study corroborated that consideration of the flood volume in
addition to the flood peak is important for risk-based planning and design.
DOI: 10.1061/共ASCE兲HE.1943-5584.0000204
CE Database subject headings: Flood frequency; Frequency analysis; Two-dimensional analysis; Probability distributions; Risk
management; Dam safety; Germany.
Author keywords: Frequency analysis; Two-dimensional analysis; Probability distributions; Risk management; Dam safety.

Introduction
Recent flood events and the related drastic consequences indicate
that it is important to consider a broad range of different hydro-
logical scenarios for the design of flood protection structures such
as flood control reservoirs and polders, instead of using the tradi-
tional approach of considering only a single design flood of a
predefined return period. In most cases, the return period is de-
fined by a univariate analysis of a random variable such as the
flood peak. However, this may lead to an over- or underestimation
of the risk associated with a given flood 关see, e.g., Salvadori and
De Michele 共2004兲兴. Therefore it is advantageous to define the
return period of an event by using joint probabilities of relevant
flood characteristics. In the past, much attention has been given to
univariate flood frequency analysis in terms of flood peaks 共Hosk-
ing and Wallis 1997; Stedinger et al. 1993兲. However, flooding is
a multivariate process that depends on several coinciding random
1
Institute of Hydrology, Water Resources Management and Environ-
mental Engineering, Ruhr-Univ. Bochum, Universitätsstraße 150, 44801
Bochum, Germany 共corresponding author兲. E-mail: bastian.klein@rub.de
2
Institute of Hydrology, Water Resources Management and Environ-
mental Engineering, Ruhr-Univ. Bochum, Universitätsstraße 150, 44801
Bochum, Germany.
3
Institute of Hydrology, Water Resources Management and Environ-
mental Engineering, Ruhr-Univ. Bochum, Universitätsstraße 150, 44801
Bochum, Germany.
4
Professor, Institute of Hydrology, Water Resources Management and
Environmental Engineering, Ruhr-Univ. Bochum, Universitätsstraße 150,
44801 Bochum, Germany.
Note. This manuscript was submitted on July 29, 2008; approved on
October 15, 2009; published online on October 22, 2009. Discussion
period open until October 1, 2010; separate discussions must be submit-
ted for individual papers. This paper is part of the Journal of Hydrologic
Engineering, Vol. 15, No. 5, May 1, 2010. ©ASCE, ISSN 1084-0699/
2010/5-360–369/$25.00.
variables such as flood peak, volume, shape, and duration of the
hydrograph. Hence, the probability of the event should be de-
scribed by a multivariate analysis of these random variables. One
reason for the fact that multivariate models are rarely used in
hydrological analysis is that they require considerably more data
than the univariate case. Owing to the data requirements, also the
application of multivariate analysis of correlated random numbers
in practice is mainly reduced to the bivariate case.
In earlier work, Hiemstra et al. 共1976兲 derived the bivariate
lognormal probability distribution for bivariate frequency analy-
sis. More recently bivariate distributions such as the bivariate
exponential distribution 共Singh and Singh 1991兲, the bivariate
normal distribution 共Bergmann and Sackl 1989; Goel et al. 1998;
Yue 1999兲, the bivariate gamma distribution 共Yue 2001; Yue et al.
2001兲, and the bivariate extreme value distribution 共Shiau 2003;
Yue et al. 1999兲 have been applied to bivariate frequency analysis
共e.g., for the correlated variables flood peak and flood volume or
flood volume and flood duration兲. It should be noted that using
multivariate distributions to model the dependence between the
correlated random variables has a number of drawbacks. First of
all, the marginal distributions should come from the same family
of distributions. This may not necessarily be fulfilled by the de-
pendent variables characterizing a given process. Furthermore,
most of the available distributions are limited to the bivariate case
and an extension to the multivariate case is not easily derived. In
addition, the dependence between the random variables of these
distributions is generally determined by the Pearson’s coefficient
of linear correlation. However, in reality the dependence structure
of the flood variables may differ from the Gaussian case.
These problems can be avoided by applying copulas to model
the dependence between correlated random variables. A joint dis-
tribution of correlated random variables can be expressed as a
function of the univariate marginal distributions using a copula.
Copulas enable one to model the dependence structure indepen-

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Table 1. Summary of the 2D Archimedean Copulas, Their Generator, Parameter Space, and Expression for the Population Value of Kendall’s ␶ Used for
the Analysis 共Nelsen 1999兲
Copula
Gumbel-Hougaard:
exp兵−关共−ln u兲␪ + 共−ln v兲␪兴1/␪其
Ali-Mikhail-Haq:
uv / 关1 − ␪共1 − u兲共1 − v兲兴
Frank:
−1 / ␪ ln关1 + 共e−␪u − 1兲共e−␪v − 1兲 / 共e−␪ − 1兲兴 −ln共共e−␪t − 1兲 / 共e−␪ − 1兲兲
Cook-Johnson:
关u−␪ + v−␪ − 1兴−1/␪
a
First Debyue function D1共␪兲 = 1 / ␪ 兰␪0t / 共et − 1兲dt.
dently from the marginal distributions. Several models are avail-
able to describe this dependence. Therefore it is possible to build
multidimensional distributions with different margins.
More recently, copulas have been implemented in hydrology
for bivariate frequency analysis of hydrological variables 共De
Michele and Salvadori 2003; De Michele et al. 2005; Favre et al.
2004; Zhang and Singh 2006兲. Salvadori and De Michele 共2004兲
provide a general theoretical framework for exploiting copulas to
study the return periods of hydrological events. Trivariate analysis
of the dependence of random variables using copulas has been
applied to model the properties of precipitation 共Grimaldi and
Serinaldi 2006a; Zhang and Singh 2007兲. In Grimaldi and Seri-
naldi 共2006b兲 and Serinaldi and Grimaldi 共2007兲 copulas are used
for the trivariate flood frequency analysis of flood peak, volume,
and event duration. In this paper, copulas are used for bivariate
frequency analysis of flood peak and the corresponding flood vol-
ume as well as for the analysis of corresponding annual maximum
peaks of tributaries within the river basin.
Theory
Only a short overview of the theory of copulas for bivariate
analysis is presented here. More detailed discussions can be found
in Joe 共1997兲; Nelsen 共1999兲; Salvadori and De Michele 共2004兲;
and Salvadori et al. 共2007兲. A bivariate distribution function for
two correlated random variables X and Y with univariate marginal
cumulative density functions FX共x兲 and FY 共y兲, respectively, can
be expressed using a copula function. The link between the
copula function and the joint distribution is provided by the theo-
rem of Sklar 共1959兲
FX,Y 共x,y兲 = C关FX共x兲,FY 共y兲兴
where FX,Y 共x , y兲 = joint cumulative distribution function of the
random variables. Because copulas are invariant under strictly
increasing transformations of X and Y we concentrate on the two
uniformly distributed random variables U and V on 关0,1兴, defined
as U = FX共x兲 and V = FY 共y兲. The copula function C is defined as
mapping C : 关0 , 1兴2 Û 关0 , 1兴 such that C = 0, if at least one argu-
ment is 0 and C共u , 1兲 = u as well as C共1 , v兲 = v if the other argu-
ment is 1. The copula is delimited by the Fréchet-Hoeffding
bounds
max共u + v − 1,0兲 ⱕ C关u, v兴 ⱕ min共u, v兲
A large variety of families of copulas described, e.g., in Joe
共1997兲 and Nelsen 共1999兲 are available to model multivariate de-
pendencies. There are generally three families of copulas that are
applied in hydrological practice: the elliptical copulas, the ex-
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␸共t兲 ␪苸 Kendall’s ␶
共−ln t兲␪ 关1 , ⬁兲 1 − ␪−1
ln兵关1 − ␪共1 − t兲兴 / t其 关−1 , 1兲 共3␪ − 2兲 / 共3␪兲 − 2共1 − ␪兲2ln 共1 − ␪兲 / 共3␪2兲
共−⬁ , ⬁兲 \ 兵0其 1 − 4 / ␪关1 − D1共␪兲兴a
t−␪ − 1 关0 , ⬁兲 ␪ / 共␪ + 2兲
treme value copulas, and the Archimedian copulas. The Archime-
dian copulas are widely used because they are easily constructed
and a large variety of copulas belongs to this family.
Archimedian Copulas
Let ␸ be the copula generator, which is a convex, continuous,
decreasing function with ␸共1兲 = 0, then the Archimedian copula is
expressed as
C␪共u, v兲 = ␸−1关␸共u兲 + ␸共v兲兴 共3兲
The four Archimedian one-parameter copulas presented in Table 1
are often used in hydrology where ␪ is the parameter of the gen-
erator function. All four copulas can be applied to positively cor-
related random variables, but only the Ali-Mikhail-Haq and the
Frank copula can model negatively correlated random variables.
The Ali-Mikhail-Haq copula is not appropriate for highly corre-
lated 共both positive and negative兲 variables.
In this application the two-parameter Copula BB1 introduced
by Joe 共1997兲 was used for the analysis besides the four one-
parameter Archimedian copulas. The BB1 copula has the form of
the Archimedian copula family shown in Eq. 共3兲 with the genera-
tor
␸共t兲 = 共t−␪1 − 1兲␪2 ; ␪1 ⬎ 0, ␪2 ⱖ 1 共4兲
The copula itself is defined as
C␪共u, v兲 = 兵1 + 关共u−␪1 − 1兲␪2 + 共v−␪1 − 1兲␪2兴1/␪2其−1/␪1 , 共5兲
␪1 ⬎ 0, ␪2 ⱖ 1
共1兲
The advantage of two-parameter copulas is that they may be used
to capture more than one type of dependence. Thereby one pa-
rameter models the upper tail dependence 共parameter ␪2 in the
case of the BB1 copula兲 and the other parameter models the lower
tail dependence.
Parameter Estimation
Several methods are commonly applied to estimate the parameter
␪ of the copula function. The two standard rank-based nonpara-
共2兲
metric measures of dependence, Spearman’s ␳, and Kendall’s ␶
can be expressed solely in terms of the copula function. For ex-
ample, for Archimedean copulas, Kendall’s ␶ can be expressed
using the generator function of the copulas as 共Genest and Favre
2007兲
JOURNAL OF HYDROLOGIC ENGINEERING © ASCE / MAY 2010 / 361
 冕
n n
␸共t兲 1 1
␶=1+4
␸⬘共t兲
dt 共6兲 Vin = 兺
n j=1
1共x j ⱕ xi,y j ⱕ y i兲 = 兺
n j=1
1共R j ⱕ Ri,S j ⱕ Si兲 共13兲

In Table 1 Kendalls ␶ is listed as a function of the copula param-
eter ␪ for the four Archimedian copulas considered here. There-
fore the parameter of the copula can be estimated from the
measure of dependence of the bivariate sample 共Genest and Favre
2007兲.
Another estimation method is the maximum pseudolikelihood
estimation 共Genest and Favre 2007兲. It can also be used if ␪ is
multidimensional. The method of maximum pseudolikelihood in-
volves maximizing a rank-based log-likelihood function of the
form
An additional possibility to identify the appropriate copula is vi-
sual inspection of the scatter plot of the pairs 关Ri / 共n + 1兲 , Si / 共n
+ 1兲兴 with random pairs 共ui , vi兲, generated from the copula or by
comparing the sample values 共xi , y i兲 with the random pairs trans-
formed back into the original units using the marginal distribu-
tions FX共x兲 and FY 共y兲. A simple simulation algorithm to generate
random pairs 共u , v兲 from the copula is given in Genest and Favre
共2007兲.

冋冉 冊册
n Bivariate Frequency Analysis
Ri Si
l共␪兲 = 兺
i=1
log c␪ ,
n+1 n+1
共7兲
The joint distribution of Eq. 共1兲 is the probability P共X ⱕ x , Y
ⱕ y兲 = FX,Y 共x , y兲 that X and Y are less than or equal to the specific
where Ri = rank of Xi 苸 兵X1 , . . . , Xn其 of the sample of size n and thresholds x and y, respectively. Given the assumption of total
Si = rank of Y i 苸 兵Y 1 , . . . , Y n其. The copula density function c␪共u , v兲 independence between the two random variables, the joint prob-
is defined as ability becomes the product of the two individual probabilities
FX共x兲 and FY 共y兲. If the two random variables are completely de-
⳵2C␪共u, v兲 pendent then the joint probability FX,Y 共x , y兲 is reduced to the
c␪共u, v兲 = 共8兲
⳵u ⳵ v univariate probability FX共x兲 or FY 共y兲, since in this case the ran-
In this paper only the commonly used maximum pseudolikeli- dom variables X and Y are a function of each other.
hood estimation method has been applied for parameter estima- If there are dependencies, then the probability with which X
tion. Other estimation methods include, e.g., the “inference from and Y both exceed x and y, respectively, is defined as
margins” method 关see, e.g., Joe 共1997兲 and Genest and Favre P共X ⬎ x ∧ Y ⬎ y兲 = 1 − FX共x兲 − FY 共y兲 + FX,Y 共x,y兲 = 1 − FX共x兲
共2007兲兴.
− FY 共y兲 + C关FX共x兲,FY 共y兲兴 共14兲
with the corresponding joint return period T∧X,Y = ␮⌻ / P共X ⬎ x ∧ Y
Identification of the Appropriate Copula ⬎ y兲 in which both x and y are exceeded by the variables X and Y
共labeled with the logical AND operator “∧”兲, respectively, where
The next step is to identify the appropriate copula to obtain the ␮T is the mean interarrival time between two successive events
joint distribution of the two variables, since various copula mod- 共␮T = 1 year considering annual values兲. This joint return period is
els can potentially be used to model the dependence between two always larger than the maximum of the univariate return periods
random variables. Genest and Rivest 共1993兲 described a proce- TX and TY of the individual random variables.
dure for identification by means of comparison of the parametric The probability with which either X or Y exceed their respec-
and the nonparametric estimate of KC共t兲, where KC共t兲 is the prob- tive thresholds x or y is defined as
ability that the copula function C共u , v兲 is smaller than or equal to
t 苸 关0 , 1兴. Let P共X ⬎ x ∨ Y ⬎ y兲 = 1 − FX,Y 共x,y兲 = 1 − C关FX共x兲,FY 共y兲兴 共15兲
with the joint return period T∨X,Y = ␮T / P共X ⬎ x ∨ Y ⬎ y兲, for which
BC共t兲 = 兵共u, v兲 苸 关0,1兴2:C共u, v兲 ⱕ t其, 0⬍tⱕ1 共9兲 either x or y are exceeded by the corresponding random variables
where BC共t兲 = region within 关0 , 1兴2 lying on or below and to the X and Y 共labeled with the logical OR operator “∨”兲.
left of the level curve Lt with This joint return period is always smaller than the minimum of
the two univariate return periods TX and TY of the individual
Lt = 兵共u, v兲 苸 关0,1兴2:C共u, v兲 = t其, 0 ⬍ t ⱕ 1 共10兲 random variables
of the joint distribution. The level curve is a function of the two T∨X,Y ⱕ min关TX,TY 兴 ⱕ max关TX,TY 兴 ⱕ T∧X,Y 共16兲
variables u and v that connects points where the copula has the
same value t. The probability distribution KC共t兲 provides a unique Conditional return periods can also be expressed easily with
probability measure of the set BC共t兲 关see Salvadori and De copulas 关see, e.g., Salvadori and De Michele 共2004兲, Salvadori et
Michele 共2004兲兴. For Archimedian copulas the probability distri- al. 共2007兲, and Zhang and Singh 共2006兲兴. However, in the appli-
bution can easily be calculated using cation shown here only the above mentioned return periods are of
interest.
␸共t兲 In Salvadori and De Michele 共2004兲 an additional, “second-
KC共t兲 = t − 共11兲 ary” return period 共to distinguish this return period from the “pri-
␸⬘共t兲
mary” return period T∨X,Y 兲 has been introduced. The secondary
The nonparametric estimate of KC共t兲 can be calculated with return period has been defined such that the events can be parti-
tioned into two groups whose boundary defines events corre-
n
1 sponding to a certain degree of severity. This may have more
KCn共t兲 =
n i=1
兺
1共Vin ⱕ t兲, t 苸 关0,1兴 共12兲 practical significance than the events defined by the primary re-
turn period. BC共t兲 in Eq. 共9兲 is the region where the return period
where Vin is expressed as T∨X,Y of all events is equal to or less than the threshold ␽共t兲

362 / JOURNAL OF HYDROLOGIC ENGINEERING © ASCE / MAY 2010

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Fig. 1. Topographical map of the watershed of the river Unstrut,
shown are important gages in the watershed, the polder system, and
the dams Kelbra and Straussfurt with their respective subcatchments
= ␮T / 共1 − t兲 and therefore KC共t兲 as a unique probability measure
of BC共t兲 is the probability that an event has a return period T∨X,Y
ⱕ ␽共t兲 = ␮T / 共1 − t兲 for any given realization of the random pro-
cess. This implies that the survival function, defined as
K̄C共t兲 = 1 − KC共t兲
is the probability that for any given realization of the random
process 共e.g., the corresponding annual flood peaks and volumes兲
an event with a return period T∨X,Y ⬎ ␽共t兲 = ␮T / 共1 − t兲 occurs. The
mean interarrival time of an event lying outside of the region
BC共t兲, the secondary return period
∨t , can be expressed as the
reciprocal value of the survival function
␮T ␮T

∨t = = 共18兲
K̄C共t兲 1 − KC共t兲
If a critical design threshold ␽共t兲 of the return period T∨X,Y for
flood protection structures is defined, then the secondary return
period is the mean interarrival time of a critical event for the
structure 共e.g., a dam兲 under consideration.
Application
The test catchment investigated here is the flood prone catchment
of the river Unstrut with a catchment area of 6 , 343 km2 which is
situated in mid-east Germany 共see Fig. 1兲. The catchment has a
variable topographic structure with the mean elevation ranging
between 104 and 982 m above sea level. Two mountainous re-
gions are located in the area: the Harz Mountains in the north and
the Thuringian Forest in the south of the catchment. Two large
flood control reservoirs, the reservoir Kelbra with a catchment
area of 664 km2 and a flood control storage of 35.6⫻ 106 m3 and
the flood detention reservoir Straussfurt with a catchment area of
2 , 044 km2 and a flood control storage of 18.6⫻ 106 m3 are situ-
ated downstream of the two main tributaries. A large polder sys-
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Fig. 2. Change of the flood statistics at 共a兲 gauge Bennungen down-
stream of reservoir Kelbra; 共b兲 gauge Oldisleben downstream of res-
ervoir Straussfurt before and after the reservoirs were built and the
river bed was altered downstream of the reservoir Straussfurt
tem with a total storage volume of approximately 50⫻ 106 m3 is
located downstream of these two flood control reservoirs. The
flood control system has been investigated, optimized, and ex-
tended through an integrated and interdisciplinary flood risk as-
sessment instrument as part of an interdisciplinary research
project 共Nijssen et al. 2009兲. To consider the complexity of the
system, different hydrological scenarios were selected to encom-
pass a large variety of possible flood events for analysis of the
flood control structures. One of the reasons for the analysis is to
categorize the events according to their probability for multicri-
teria risk analysis. Two different bivariate probabilities are used
for the risk analysis:
• The joint probability of coincident floods at the reservoir sites
of the two main tributaries to account for possible superposi-
tion of floods in the Helme and upper Unstrut river and to
consider the spatial heterogeneity of events in the analysis; and
共17兲 • The joint probability of the flood peak and corresponding flood
volume at the two reservoirs. For the analysis of flood deten-
tion systems the flood volume is very important and therefore
its probability should be considered in the risk-based analysis
in addition to the peak.
Using bivariate probabilities the selected flood scenarios were
classified in realizations with higher or lower probability.
Generation of the Flood Events
The database in the river basin is limited to an observation period
that ranges from 30 years to a maximum of 80 years at different
gages. In Fig. 2 the change of the flood statistics due to construc-
tion of the reservoirs at the two gages located downstream of the
reservoirs is shown. At the gauge Oldisleben, downstream of the
reservoir Straussfurt, the flood statistics were not only affected by
the operation of the reservoir but by significant changes of flood
hydraulics caused by straightening of the river bed.
A long-term discharge time series of 10,000 years was derived
from the existing data set which in turn allowed for an estimation
of copulas. This long-term time series was generated by coupling
a stochastic rainfall generator 共Hundecha et al. 2009兲 with a hy-
drological rainfall-runoff model following the concept of the
widely distributed Swedish model HBV 共Lindström et al. 1997兲.
It has been shown that the statistical properties of the rainfall and
the runoff were well reproduced 共Hundecha et al. 2009兲. The
comparison of the simulated and the observed annual maxima and
the corresponding flood volumes of daily discharge at gage Moe-
bisburg located upstream of the reservoir Straussfurt, shown in
Fig. 3, demonstrates that also the extreme values were well repro-
JOURNAL OF HYDROLOGIC ENGINEERING © ASCE / MAY 2010 / 363

Fig. 3. Comparison between the measured maximum annual daily
discharges and corresponding flood volumes, and the simulated val-
ues from the coupled daily stochastic rainfall generator and the water
balance model at the gauge Moebisburg
duced which allows for reliable estimates in the extrapolation
range.
A representative sample of the population of possible flood
events is required to evaluate a flood control system. Here six
different return periods are considered 共T = 25, 50, 100, 200, 500,
and 1,000 years兲. The risk is not only related to the flood peak,
since different hydrograph shapes 共e.g., multipeak floods or floods
with long duration and large volume兲 will result in different risk
levels. The selection of hydrological scenarios was therefore fur-
ther supported by cluster analysis of historical events to determine
typical hydrograph shapes and volumes. In total, five different
hydrological scenarios were selected for each return period at the
reference gage Straussfurt which encompass various spatial dis-
tributions of precipitation. Furthermore, one event that has a re-
turn period of more than 1,000 years is evaluated. In total 31
hydrological scenarios were selected from the entire 10,000 years
discharge time series
Since the observed time series was too short for multivariate
frequency analysis the generated synthetic 10,000 year time series
has been used for bivariate frequency analysis shown here. It
must be noted that a simulated database cannot replace observed
records over a long period. On the contrary observations are re-
quired for reliable parameter estimation of the simulation model
and for the verification of the results. The coupling of stochastic
and deterministic models which are based on various assump-
tions, results in biases, and uncertainties which have to be con-
sidered. Thus the results should be applied in flood control
planning as imprecise probabilities 共Klir 1999兲.
Bivariate Analysis of the Corresponding Annual
Flood Peaks
To account for the impact of different tributaries in the risk analy-
sis, it is crucial to characterize the spatial distribution of the flood
events due to the topographic structure of this particular catch-
ment, where flooding originates mainly in the mountainous re-
gions upstream of the two reservoirs. From the analysis of the
historical flood events, it was found that particularly three differ-
ent rainfall distributions have to be considered in the risk analy-
sis: 共1兲 heavy precipitation in the mountainous region in the
north/north-west; 共2兲 heavy precipitation in the mountainous re-
gion in the south; and 共3兲 concurrent heavy precipitation in both
mountainous regions.
The inflow gages of the two reservoirs 共see Fig. 1兲 are hence-
forth used as reference locations to quantify the probability of
occurrence of the 31 hydrological scenarios that were selected
from the generated 10,000-year time series for the risk analysis.
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Table 2. Measure of Dependence for the Three Different Data Sets
Sample size Pearson’s r Kendall’s ␶ Spearman’s ␳
Corresponding flood peaks at reservoirs Straussfurt and Kelbra
12,768 0.72 0.48 0.67
Corresponding flood peaks-volumes at reservoir Straussfurt
10,000 0.81 0.66 0.85
Corresponding flood peaks-volumes at reservoir Kelbra
10,000 0.74 0.57 0.76
These two reservoirs represent the upper boundary of the flood
control system of the Unstrut catchment. The remaining flood
protection structures are located downstream of these two reser-
voirs. The joint probability between the two flood peaks at the
inflow gauge of the two reservoirs was assessed by copulas to
describe the overall probability of occurrence of the events for the
entire region in terms of the probabilities of the coincidences of a
particular flood event at both tributaries. Hence the corresponding
annual flood peaks had to be selected for further analysis. The
annual flood peaks of the inflow time series to the reservoir
Straussfurt and the corresponding flood peaks of the inflow time
series to the reservoir Kelbra have been determined. In those
cases where the identified flood peak at the reservoir Kelbra did
not coincide with the annual flood peak at this reservoir, the an-
nual flood peak at dam Kelbra, and the corresponding flood peak
at dam Straussfurt were added to the sample. In 2,768 years of the
entire generated synthetic 10,000-year discharge time series the
annual flood peaks of the two inflow gages did not occur at the
same time, and therefore the total selected sample size was
12,768.
The statistical dependencies between the two random variables
have been estimated by the statistical measures listed in Table 2,
where particularly Pearson’s coefficient of linear correlation and
the rank-based measure of dependence 共Spearman’s ␳ as well as
Kendall’s ␶兲 have been considered. Pearson’s correlation coeffi-
cient only provides a measure of linear dependence and it de-
pends on the marginals in contrast to the rank-based measure of
dependence. The population value of the Pearson’s correlation
coefficient is always well defined. However, in some cases 共e.g.,
for heavy-tailed distributions such as the Cauchy distribution兲 a
theoretical value of Pearson’s correlation does not exist. Further-
more, Pearson’s correlation coefficient is not robust in that if the
two variables are not linearly related, the correlation is not well
defined and outliers can also strongly affect the correlation. On
the other hand the rank-based correlations such as Kendall’s ␶ and
Spearman’s ␳ are robust since they are not dependent on the dis-
tributional assumptions, they can describe a wider class of depen-
dencies and are resistant to outliers. The summary in Table 2
shows that there is a strong positive dependence between the two
random variables.
The first step for the bivariate frequency analysis is the esti-
mation of the marginal distributions. The Pearson Type 3, log-
Pearson Type 3, Gumbel, Weibull, Gamma, Exponential,
Generalized Pareto, and generalized extreme value 共GEV兲 distri-
butions were used for the univariate analysis of the random vari-
ables. The goodness of fit of the different distributions and the
different parameter estimation methods have been compared with
goodness-of-fit tests, namely, the Kolmogorov-Smirnov and the
Cramér-von-Mises n␻2 test.
Fig. 4. Comparison of the annual flood peaks from the simulated
inflows to the reservoirs 共a兲 Straussfurt; 共b兲 Kelbra using the
stochastic-deterministic approach and the fitted GEV distributions

These goodness-of-fit tests revealed that both variables can

best be described with the GEV distribution. The two-parameter
estimation methods L-Moments and product of moments pro-
vided nearly identical goodness of fit to the flood peaks at the two
reservoirs. However, using graphical diagnostics the parameter
estimation method of L-Moments 共Hosking and Wallis 1997兲 pro- Fig. 5. Comparison of nonparametric and parametric estimations of
vided a better fit to the sample data for the distribution of the KC共t兲 for the fitted Archimedian copulas 共the dashed 45° line repre-
flood peaks at Straussfurt, while the method of product of mo- sents perfect agreement兲
ments provided a better fit for flood peaks at Kelbra, particularly
in the region with small exceedance probabilities. The fitted GEV
distributions and the observed flood peaks are shown in Fig. 4.
The bivariate distribution model has been constructed using
the four Archimedian copulas Ali-Mikhail-Haq, Frank, Cook- appropriate model which best models the dependence between the
Johnson, and Gumbel-Hougaard 共for the equations, see Table 1兲, two random variables. For both criteria the best model has the
since those are the commonly used families of Archimedian copu- minimum value. AIC 共Akaike 1974兲 is defined as
las. The parameters have been estimated with the maximum
pseudolikelihood method. The fitted parameters are summarized
AIC = 共− 2兲log likelihood + 2k 共19兲
in Table 3. In Fig. 5 the parametric and nonparametric values of
KC共t兲 are plotted for the four different copulas. If the plot is in where k = number of parameters used in the model obtaining the
good agreement with the straight dashed line that passes through computed values. As log-likelihood function the l共␪兲 of the copula
the origin at 45°, then the copula is considered satisfactory. The 关Eq. 共7兲兴 was used here. The fit of the entire model including the
comparison revealed that among these four copulas the Gumbel- marginal distributions has been determined based on the RMSE
Hougaard represents the bivariate distribution of the correlated
annual flood peaks at the two gages best 共see Fig. 5兲.
As a further visual test, the margins of 1 million random pairs
共ui , vi兲, chosen from the copula and transformed back into the
original units using the marginal distributions FX共x兲 and FY 共y兲,
are compared with the sample values 共xi , y i兲. The scatter plots for
the four copulas are shown in Fig. 6. It can be seen that among
these four Archimedian copulas only the Gumbel-Hougaard
copula can model the dependence structure of the sample ad-
equately since only the random pairs generated from this particu-
lar copula 共gray dots兲 follow the dependence structure of the
sample data 共black dots兲. Therefore the analysis corroborates the
results shown in Fig. 5.
The Akaike’s information criterion 共AIC兲 共Akaike 1974兲 and
the root mean square error 共RMSE兲 were used to compare the
goodness of fit of the different copula models and to select the

Table 3. Parameters and Goodness-of-Fit Measures of the Fitted Copulas

for the Analysis of the Corresponding Flood Peaks at the Two Reservoirs
Copula Estimate 共s兲 RMSE AIC
Gumbel-Hougaard ␪ = 1.88 0.0101 ⫺8,254
Frank ␪ = 5.45 0.0072 ⫺7,496 Fig. 6. One million random pairs 共gray dots兲 of the corresponding
Ali-Mikhail-Haq ␪ = 0.962 0.0335 ⫺5,383 annual flood peaks at the two reservoirs chosen from the four Archi-
Cook-Johnson ␪ = 1.04 0.0310 ⫺4,996 median copulas and the events from the simulated time series 共black
BB1 ␪1 = 0.114; ␪2 = 1.79 0.00961 ⫺8,303 dots兲

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Fig. 7. Joint return periods T∨X,Y 共exceeding x or y兲 and T∧X,Y 共exceed-
ing x and y兲 of the annual flood peaks at the two reservoirs, the
annual events from the simulated time series 共black crosses兲 and the
selected hydrological scenarios 共gray triangles兲
冑
n
RMSE = 冑E共xc − x0兲2 =
1
兺
n − k i=1
关xc共i兲 − x0共i兲兴2
where xc共i兲 denotes the computed value, x0共i兲 denotes the ob-
served value, and n = number of observations. The computed
value xc共i兲 is the joint probability given in Eq. 共1兲 and the ob-
served value x0共i兲 is the empirical joint probability of the two
random variables.
Comparing the AIC values of the four Archimedian copulas in
Table 3 the Gumbel-Hougaard copula provides the best fit to the
data. It seems that the Frank copula provides the best fit using the
RMSE as the goodness-of-fit measure, but as explained before,
the Frank copula cannot model the dependence structure of the
data adequately. It should be noted that it is important to use
different methods for model selection to choose the model with
the best fit to the data. Using only one goodness-of-fit measure
may result in selecting a wrong model 共here in the case of
RMSE兲.
Furthermore, the two-parameter BB1 copula was analyzed be-
sides the four one-parameter Archimedian copulas. For brevity
the comparison of the parametric and nonparametric values of
KC共t兲 and the scatter plot of the BB1 copula are not shown here
since the results are comparable to the Gumbel-Hougaard copula.
Note that the RMSE and the AIC values in Table 3 are similar for
the Gumbel-Hougaard and the BB1 copula. Hence the Gumbel-
Hougaard copula, having less parameters than the BB1 copula,
was selected for further analysis.
Fig. 7 illustrates the joint return periods T∧X,Y 共see section “Bi-
variate Frequency Analysis”兲, in which x and y are exceeded as
well as the joint return periods T∨X,Y , in which either x or y are
exceeded by the respective random variables X and Y. The 31
chosen events clearly represent a large variety of different hydro-
logical scenarios. Interestingly, using, for example, the selected
events with a flood peak of about 100-year return period at the
reservoir Straussfurt for the design of flood protection structures,
the corresponding return periods of the flood peaks at the reser-
voir Kelbra range between 10 and 500 years. This additional in-
formation can be used for the planning and design of spatial
distributed flood control structures in general.
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Fig. 8. Comparison of the corresponding flood volumes from the
simulated inflows at the reservoirs 共a兲 Straussfurt; 共b兲 Kelbra and the
fitted GEV distributions
Bivariate Analysis of the Annual Flood Peaks and
the Corresponding Volumes
The flood peak plays a fundamental role in the design of flood
control structures. Therefore it is often used to assign a return
period for an event. However, for flood storages such as reser-
voirs and polders the flood volume is also very important and
should be considered for design and planning purposes. The hy-
共20兲 drologic risk may well be underestimated by using only the flood
peak as a probability measure. For example an event with a very
large peak and a small volume could be stored in the flood control
storage of a reservoir, whereas an event with a smaller peak but a
larger volume may well lead to flood spillage. Generally, flood
peak and flood volume are two statistically dependent variables.
Here the joint return period of the corresponding flood peak and
volume is used to assign a return period to the flood events at the
reservoirs Straussfurt and Kelbra. Corresponding values of annual
flood peaks and flood volumes were selected from the 10,000
years of data. To estimate the flood volume, the onset of the
surface runoff is marked by the abrupt rise of the hydrograph and
the end of the flood runoff can be identified by the flattening of
the recession limb of the hydrograph. The total volume between
these two points was used for the analysis. The estimated param-
eter of dependence between flood peak and volume is given in
Table 2. As before, there is a strong positive dependence between
the corresponding flood peaks and volumes at the two reservoirs.
As for the analysis of the corresponding flood peaks at the two
reservoirs, the GEV distribution was chosen as marginal distribu-
tion for the annual flood peaks at Straussfurt and Kelbra. The
parameters of the GEV distribution fitted to the corresponding
flood volumes at both reservoirs were estimated using the method
of product of moments. The fitted GEV distributions for the flood
volumes are shown in Fig. 8. For brevity, only the results of the
analysis at the reservoir Straussfurt are presented here, since the
dependence structures of the corresponding flood peaks and vol-
umes at the two reservoirs were found to be similar.
Only the Gumbel-Hougaard family was applicable for the de-
pendence structure of the data among the four commonly applied
Archimedian copulas mentioned in the Theory Section. This
copula was therefore chosen for the analysis, since the depen-
dence structure between the flood peaks and the volumes is akin
to the dependence structure between the two corresponding flood
peaks. However, in addition to the Gumbel-Hougaard copula, the
two-parameter copula BB1 was used for the construction of the
bivariate distribution function. The fitted parameters 共see Table 4兲
were estimated using the method of maximum pseudolikelihood.
Comparing the parametric and nonparametric values of KC共t兲
from the two copulas, it can be seen that the BB1 copula provides
a better fit to the data 共see Fig. 9兲. In Fig. 10 the margins of 1
Table 4. Parameters and Goodness-of-Fit Measures of the Fitted Copulas
for the Analysis of the Corresponding Flood Peaks and Flood Volumes at
the Two Reservoirs
Copula Estimate 共s兲 RMSE AIC
Corresponding flood peak-volumes at reservoir Straussfurt
Gumbel-Hougaard ␪ = 2.6 0.0188 ⫺11,787
BB1 ␪1 = 1.13; ␪2 = 1.79 0.0124 ⫺13,725
Corresponding flood peak-volumes at reservoir Kelbra
Gumbel-Hougaard ␪ = 2.12 0.0193 ⫺8,256
BB1 ␪1 = 0.986; ␪2 = 1.52 0.0104 ⫺9,818
million random pairs 共ui , vi兲, chosen from the copula and trans-
formed back into the original units using the marginal distribu-
tions FX共x兲 and FY 共y兲, are compared with the sample values
共xi , y i兲. For the Gumbel-Hougaard copula some of the data points
lie outside of the range of the 1 million randomly generated pairs
共xi , y i兲, whereas all values are within the simulated range of the
BB1 copula. Comparing the RMSE and the AIC in Table 4, the
BB1 is found to be a better model. Therefore the BB1 copula is
chosen for further bivariate frequency analysis since overall it
provides the best fit to the data. Fig. 11 illustrates the joint return
period T∧X,Y of the annual flood peak and the corresponding vol-
ume for which x and y are exceeded and their joint return period
T∨X,Y , for which either x or y are exceeded by the respective vari-
ables. Again using the events with a flood peak of about 100-year
return period for the flood design as an example, the correspond-
ing return periods of the flood volume range between 25 and
2,000 years. It is therefore recommended to use the joint prob-
abilities for a detailed description of flood events instead of using
the univariate probability of the flood peak only.
Fig. 9. Comparison of nonparametric and parametric estimations of
KC共t兲 for the fitted Gumbel-Hougaard and BB1 copulas 共the dashed
45° line represents perfect agreement兲
Fig. 10. One million random pairs 共gray dots兲 of annual flood peaks
and the corresponding flood volumes at the reservoir Straussfurt cho-
sen from the Gumbel-Hougaard and BB1 copulas and the events from
the simulated time series 共black dots兲
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Fig. 11. Joint return periods T∨X,Y 共exceeding x or y兲 and T∧X,Y 共ex-
ceeding x and y兲 of the corresponding flood peak and flood volume,
the annual events from the simulated time series 共black crosses兲 and
the selected hydrological scenarios 共gray triangles兲
A broad range of events has been selected from the time series
and categorized based on the analysis of joint return periods of
the flood volume at the reservoir Straussfurt as well as the joint
return periods of the flood peak at the reservoirs Straussfurt and
Kelbra. The selected events are displayed in Figs. 7 and 11
共shown as triangles兲. By using this approach, the spatial distribu-
tion between the two main tributaries is considered and the cru-
cial aspect of using different flood peak and volume combinations
is taken into consideration within the flood risk analysis. Those
data are in turn used for assessment of the flood control system
which hereby integrates the spatial component of probability.
In Fig. 12 the maximum resulting water levels at the reservoir
Straussfurt are shown to demonstrate the effects of the different
hydrological loads on the flood protection structures depending
on the combination of flood peak and flood volume. We define a
water level exceeding 150.3 m above sea level as critical hydro-
logic event, since it is known that the corresponding outflow of
more than 200 m3 s−1 causes severe damages downstream. With
a joint return period T∨X,Y 共exceeding x or y兲 greater than 50 years
共gray area in Fig. 12兲, all considered events are critical events
according to this definition. Hence the hydrological risk is very
high for this region. The mean interarrival time of an event lying
in the region with a very high hydrological risk has been calcu-
lated with the secondary return period given in Eq. 共18兲 to be 110
years. For joint return periods between 25 and 50 years 共black
shaded area in Fig. 12兲 five of the seven events considered are
Fig. 12. Maximum resulting water levels at the reservoir Straussfurt
from the different hydrological scenarios and the isolines of the joint
return periods T∨X,Y 共exceeding x or y兲
critical events. In this region the risk is high that an event with a
return period T∨X,Y 共exceeding x or y兲 between 25 and 50 years is
a critical event. The secondary return period and therefore the
mean interarrival time of an event with a return period T∨X,Y larger
than 25 years is 54 years.
In the region with a joint return period T∨X,Y smaller than 25
years only two out of 12 events will result in substantial damage.
The risk that events with these joint probabilities may cause dam-
age is therefore low.
Summary and Conclusions
A methodology to categorize flood events for risk-based analysis
and design of flood control systems using copulas is presented in
this work. The advantage of using copulas is the possibility to
apply a bivariate distribution function with different univariate
marginal distributions. As a test case, copulas were used to derive
probabilities for risk analysis in a flood prone mesoscale catch-
ment in Germany. Two different probabilities were computed for
a long-term daily discharge time series of 10,000 years. To reas-
sign an overall probability of a flood event, which has different
probabilities in the two main tributaries, the joint return period of
the corresponding flood peaks of two reference stations located
downstream of the two main tributaries has been obtained using
copula analysis. A bivariate distribution function has been con-
structed to describe the relationship between flood peak and flood
volume, rather than to consider solely the flood peak, which has
been common practice until recently. Those probabilities in turn
allow for evaluation of flood damage and cost for different hy-
drological scenarios in risk assessment.
Another advantage using copulas is the possibility to identify
critical events for flood protection structures such as reservoirs.
Here, in a practical application for the reservoir Straussfurt, three
return period intervals in which either x or y are exceeded were
defined 共less than 25 years, 25 to 50 years, and larger than 50
years兲 to evaluate the hydrological risk of events for this flood
protection structure. The Gumbel-Hougaard copula provided the
best fit for the relationship between the two corresponding flood
peaks of the different tributaries, while for the relationship be-
tween flood peak and flood volume the two-parameter BB1
copula has been selected. The maximum pseudolikelihood
method has been used for parameter estimation. The methodology
used here yielded plausible results which would have been diffi-
cult to achieve with traditional methods due to their limitations
regarding the distributional assumptions.
It should be noted that joint return periods can easily be de-
rived for hydrologic scenarios from these copulas. Using copula
analysis, decision makers can be provided with valuable addi-
tional information tailored to the hydrologic problem, compared
to information that can be gained from traditional return period
analysis. This may prove useful in risk-based decision making.
Acknowledgments
Funding for this work was provided in part by the German Min-
istry for Education and Research 共BMBF Grant No. 02 WH
0588兲. Access to data was granted by the Ministry of Agriculture,
Nature Conservation and the Environment of Thuringia
共TMLNU兲, and the Ministry of Agriculture and Environment of
Saxony-Anhalt 共MLU LSA兲. They are gratefully acknowledged.
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