Stochastic simulation of periodic processes with arbitrary marginal distributions

I. Tsoukalas, C. Makropoulos, and A. Efstratiadis, Stochastic simulation of periodic processes with arbitrary marginal distributions, 15th International Conference on Environmental Science and Technology (CEST2017), Rhodes, Global Network on Environmental Science and Technology, 2017.

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[English]

Stochastic simulation of hydrological processes has a key role in water resources planning and management due to its ability to incorporate hydrological uncertainty within decision-making. Due to seasonality, the statistical characteristics of such processes are considered periodic functions, thus implying the use of cyclostationary stochastic models, typically using a common statistical distribution. Yet, this may not be representative of the statistical structure of such processes across all seasons. In this context, we introduce a novel model suitable for the simulation of periodic processes with arbitrary marginal distributions, called Stochastic Periodic AutoRegressive To Anything (SPARTA). Apart from capturing the periodic correlation structure of the underlying processes, its major advantages are a) the accurate preservation of seasonally-varying marginal distributions; b) the explicit generation of non-negative values; and c) the parsimonious model structure. Finally, the performance of the model is demonstrated through a theoretical (artificial) case study.

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See also: http://cest.gnest.org/sites/default/files/presentation_file_list/cest2017_00797_oral_paper.pdf

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Our works that reference this work:

1. I. Tsoukalas, S.M. Papalexiou, A. Efstratiadis, and C. Makropoulos, A cautionary note on the reproduction of dependencies through linear stochastic models with non-Gaussian white noise, Water, 10 (6), 771, doi:10.3390/w10060771, 2018.
2. I. Tsoukalas, C. Makropoulos, and D. Koutsoyiannis, Simulation of stochastic processes exhibiting any-range dependence and arbitrary marginal distributions, Water Resources Research, 54 (11), 9484–9513, doi:10.1029/2017WR022462, 2018.
3. C. Rebolho, V. Andréassian, I. Tsoukalas, et A. Efstratiadis, La crue du Loing de Juin 2016 était-elle exceptionnelle?, De la prévision des crues à la gestion de crise, Avignon, Société Hydrotechnique de France, 2018.
4. I. Tsoukalas, A. Efstratiadis, and C. Makropoulos, Building a puzzle to solve a riddle: A multi-scale disaggregation approach for multivariate stochastic processes with any marginal distribution and correlation structure, Journal of Hydrology, doi:10.1016/j.jhydrol.2019.05.017, 2019.
5. P. Kossieris, I. Tsoukalas, C. Makropoulos, and D. Savic, Simulating marginal and dependence behaviour of water demand processes at any fine time scale, Water, 11 (5), 885, doi:10.3390/w11050885, 2019.

Tagged under: Stochastics