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https://hdl.handle.net/2440/82086
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Type: | Journal article |
Title: | Quantifying parameter uncertainty in stochastic models using the Box-Cox transformation |
Author: | Thyer, M. Kuczera, G. Wang, Q. |
Citation: | Journal of Hydrology, 2002; 265(1-4):246-257 |
Publisher: | Elsevier |
Issue Date: | 2002 |
ISSN: | 0022-1694 1879-2707 |
Statement of Responsibility: | Mark Thyer, George Kuczera, Q.J. Wang |
Abstract: | The Box-Cox transformation is widely used to transform hydrological data to make it approximately Gaussian. Bayesian evaluation of parameter uncertainty in stochastic models using the Box-Cox transformation is hindered by the fact that there is no analytical solution for the posterior distribution. However, the Markov chain Monte Carlo method known as the Metropolis algorithm can be used to simulate the posterior distribution. This method properly accounts for the nonnegativity constraint implicit in the Box-Cox transformation. Nonetheless, a case study using the AR(1) model uncovered a practical problem with the implementation of the Metropolis algorithm. The use of a multivariate Gaussian jump distribution resulted in unacceptable convergence behaviour. This was rectified by developing suitable parameter transformations for the mean and variance of the AR(1) process to remove the strong nonlinear dependencies with the Box-Cox transformation parameter. Applying this methodology to the Sydney annual rainfall data and the Burdekin River annual runoff data illustrates the efficacy of these parameter transformations and demonstrate the value of quantifying parameter uncertainty. © 2002 Elsevier Science B.V. All rights reserved. |
Keywords: | Lag-one autoregressive models Markov chain Monte Carlo methods Metropolis algorithm Parameter uncertainty Box–Cox transformation |
Rights: | © 2002 Elsevier Science B.V. All rights reserved |
DOI: | 10.1016/S0022-1694(02)00113-0 |
Published version: | http://dx.doi.org/10.1016/s0022-1694(02)00113-0 |
Appears in Collections: | Aurora harvest Civil and Environmental Engineering publications |
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