Building a puzzle to solve a riddle: A multi-scale disaggregation approach for multivariate stochastic processes with any marginal distribution and correlation structure

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, 575, 354–380, doi:10.1016/j.jhydrol.2019.05.017, 2019.



The generation of hydrometeorological time series that exhibit a given probabilistic and stochastic behavior across multiple temporal levels, traditionally expressed in terms of specific statistical characteristics of the observed data, is a crucial task for risk-based water resources studies, and simultaneously a puzzle for the community of stochastics. The main challenge stems from the fact that the reproduction of a specific behavior at a certain temporal level does not imply the reproduction of the desirable behavior at any other level of aggregation. In this respect, we first introduce a pairwise coupling of Nataf-based stochastic models within a disaggregation scheme, and next we propose their puzzle-type configuration to provide a generic stochastic simulation framework for multivariate processes exhibiting any distribution and any correlation structure. Within case studies we demonstrate two characteristic configurations, i.e., a three-level one, operating at daily, monthly and annual basis, and a two-level one to disaggregate daily to hourly data. The first configuration is applied to generate correlated daily rainfall and runoff data at the river basin of Achelous, Western Greece, which preserves the stochastic behavior of the two processes at the three temporal levels. The second configuration disaggregates daily rainfall, obtained from a meteorological station at Germany, to hourly. The two studies reveal the ability of the proposed framework to represent the peculiar behavior of hydrometeorological processes at multiple temporal resolutions, as well as its flexibility on formulating generic simulation schemes.

Full text is only available to the NTUA network due to copyright restrictions

Our works referenced by this work:

1. D. Koutsoyiannis, and A. Manetas, Simple disaggregation by accurate adjusting procedures, Water Resources Research, 32 (7), 2105–2117, doi:10.1029/96WR00488, 1996.
2. D. Koutsoyiannis, Optimal decomposition of covariance matrices for multivariate stochastic models in hydrology, Water Resources Research, 35 (4), 1219–1229, doi:10.1029/1998WR900093, 1999.
3. D. Koutsoyiannis, A generalized mathematical framework for stochastic simulation and forecast of hydrologic time series, Water Resources Research, 36 (6), 1519–1533, doi:10.1029/2000WR900044, 2000.
4. D. Koutsoyiannis, Coupling stochastic models of different time scales, Water Resources Research, 37 (2), 379–391, doi:10.1029/2000WR900200, 2001.
5. D. Koutsoyiannis, and C. Onof, Rainfall disaggregation using adjusting procedures on a Poisson cluster model, Journal of Hydrology, 246, 109–122, 2001.
6. D. Koutsoyiannis, The Hurst phenomenon and fractional Gaussian noise made easy, Hydrological Sciences Journal, 47 (4), 573–595, doi:10.1080/02626660209492961, 2002.
7. D. Koutsoyiannis, C. Onof, and H. S. Wheater, Multivariate rainfall disaggregation at a fine timescale, Water Resources Research, 39 (7), 1173, doi:10.1029/2002WR001600, 2003.
8. D. Koutsoyiannis, and A. Economou, Evaluation of the parameterization-simulation-optimization approach for the control of reservoir systems, Water Resources Research, 39 (6), 1170, doi:10.1029/2003WR002148, 2003.
9. D. Koutsoyiannis, Stochastic simulation of hydrosystems, Water Encyclopedia, Vol. 4, Surface and Agricultural Water, edited by J. H. Lehr and J. Keeley, 421–430, doi:10.1002/047147844X.sw913, Wiley, New York, 2005.
10. A. Langousis, and D. Koutsoyiannis, A stochastic methodology for generation of seasonal time series reproducing overyear scaling behaviour, Journal of Hydrology, 322, 138–154, 2006.
11. D. Koutsoyiannis, and A. Montanari, Statistical analysis of hydroclimatic time series: Uncertainty and insights, Water Resources Research, 43 (5), W05429, doi:10.1029/2006WR005592, 2007.
12. D. Koutsoyiannis, Hurst-Kolmogorov dynamics and uncertainty, Journal of the American Water Resources Association, 47 (3), 481–495, doi:10.1111/j.1752-1688.2011.00543.x, 2011.
13. F. Lombardo, E. Volpi, and D. Koutsoyiannis, Rainfall downscaling in time: Theoretical and empirical comparison between multifractal and Hurst-Kolmogorov discrete random cascades, Hydrological Sciences Journal, 57 (6), 1052–1066, 2012.
14. F. Lombardo, E. Volpi, D. Koutsoyiannis, and S.M. Papalexiou, Just two moments! A cautionary note against use of high-order moments in multifractal models in hydrology, Hydrology and Earth System Sciences, 18, 243–255, doi:10.5194/hess-18-243-2014, 2014.
15. A. Efstratiadis, Y. Dialynas, S. Kozanis, and D. Koutsoyiannis, A multivariate stochastic model for the generation of synthetic time series at multiple time scales reproducing long-term persistence, Environmental Modelling and Software, 62, 139–152, doi:10.1016/j.envsoft.2014.08.017, 2014.
16. P. Dimitriadis, and D. Koutsoyiannis, Climacogram versus autocovariance and power spectrum in stochastic modelling for Markovian and Hurst–Kolmogorov processes, Stochastic Environmental Research & Risk Assessment, 29 (6), 1649–1669, doi:10.1007/s00477-015-1023-7, 2015.
17. I. Tsoukalas, and C. Makropoulos, Multiobjective optimisation on a budget: Exploring surrogate modelling for robust multi-reservoir rules generation under hydrological uncertainty, Environmental Modelling and Software, 69, 396–413, doi:10.1016/j.envsoft.2014.09.023, 2015.
18. P. Kossieris, A. Efstratiadis, I. Tsoukalas, and D. Koutsoyiannis, Assessing the performance of Bartlett-Lewis model on the simulation of Athens rainfall, European Geosciences Union General Assembly 2015, Geophysical Research Abstracts, Vol. 17, Vienna, EGU2015-8983, doi:10.13140/RG.2.2.14371.25120, European Geosciences Union, 2015.
19. I. Tsoukalas, and C. Makropoulos, A surrogate based optimization approach for the development of uncertainty-aware reservoir operational rules: the case of Nestos hydrosystem, Water Resources Management, 29 (13), 4719–4734, doi:10.1007/s11269-015-1086-8, 2015.
20. D. Koutsoyiannis, Generic and parsimonious stochastic modelling for hydrology and beyond, Hydrological Sciences Journal, 61 (2), 225–244, doi:10.1080/02626667.2015.1016950, 2016.
21. I. Tsoukalas, P. Kossieris, A. Efstratiadis, and C. Makropoulos, Surrogate-enhanced evolutionary annealing simplex algorithm for effective and efficient optimization of water resources problems on a budget, Environmental Modelling and Software, 77, 122–142, doi:10.1016/j.envsoft.2015.12.008, 2016.
22. P.E. O’Connell, D. Koutsoyiannis, H. F. Lins, Y. Markonis, A. Montanari, and T.A. Cohn, The scientific legacy of Harold Edwin Hurst (1880 – 1978), Hydrological Sciences Journal, 61 (9), 1571–1590, doi:10.1080/02626667.2015.1125998, 2016.
23. 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.
24. P. Kossieris, C. Makropoulos, C. Onof, and D. Koutsoyiannis, A rainfall disaggregation scheme for sub-hourly time scales: Coupling a Bartlett-Lewis based model with adjusting procedures, Journal of Hydrology, 556, 980–992, doi:10.1016/j.jhydrol.2016.07.015, 2018.
25. I. Tsoukalas, A. Efstratiadis, and C. Makropoulos, Stochastic periodic autoregressive to anything (SPARTA): Modelling and simulation of cyclostationary processes with arbitrary marginal distributions, Water Resources Research, 54 (1), 161–185, WRCR23047, doi:10.1002/2017WR021394, 2018.
26. I. Tsoukalas, P. Kossieris, A. Efstratiadis, C. Makropoulos, and D. Koutsoyiannis, CastaliaR: An R package for multivariate stochastic simulation at multiple temporal scales, European Geosciences Union General Assembly 2018, Geophysical Research Abstracts, Vol. 20, Vienna, EGU2018-18433, doi:10.13140/RG.2.2.20978.81605, European Geosciences Union, 2018.
27. 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.
28. 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.
29. I. Tsoukalas, Modelling and simulation of non-Gaussian stochastic processes for optimization of water-systems under uncertainty, PhD thesis, 339 pages, Department of Water Resources and Environmental Engineering – National Technical University of Athens, December 2018.

Our works that reference this work:

1. 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: Stochastic disaggregation, Stochastics