Abstract
The method of Relative Entropy with Fractile constraints (REF method) is explained and applied to model extreme compound hydrological phenomena, such as extreme sea levels under storm conditions. Also presented is a simple method of Tail Entropy Approximation (TEA), which amounts to a correction of traditional statistical estimates for extreme observations.
Distribution assumptions are necessary but downplayed in the REF method, relegating the prior distribution to the role of an extrapolation function. The estimates are objective in an information-theoretical sense. They also satisfy a strict requirement of self-consistency that is generally not satisfied by standard statistical methods: invariance under monotonic transformations of the random variable.
Historical records of storm surge levels in the Netherlands and annual maximum tidal heights for Sheerness, UK, are used as examples. Comparison is made with distributions obtained using other methods.
It is concluded that the tail entropy approximation provides simple, objective estimates of extremes in the tail beyond the range of observations.
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Lind, N.C., Hong, H.P. Entropy estimation of hydrological extremes. Stochastic Hydrol Hydraul 5, 77–87 (1991). https://doi.org/10.1007/BF01544180
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DOI: https://doi.org/10.1007/BF01544180