Articles | Volume 18, issue 1
Hydrol. Earth Syst. Sci., 18, 243–255, 2014

Special issue: Statistical methods for hydrological applications

Hydrol. Earth Syst. Sci., 18, 243–255, 2014

Research article 17 Jan 2014

Research article | 17 Jan 2014

Just two moments! A cautionary note against use of high-order moments in multifractal models in hydrology

F. Lombardo1, E. Volpi1, D. Koutsoyiannis2, and S. M. Papalexiou2 F. Lombardo et al.
  • 1Dipartimento di Ingegneria, Università degli Studi Roma Tre, Via Vito Volterra, 62 – 00146 Rome, Italy
  • 2Department of Water Resources, Faculty of Civil Engineering, National Technical University of Athens, Heroon Polytechneiou 5, 15780 Zographou, Greece

Abstract. The need of understanding and modelling the space–time variability of natural processes in hydrological sciences produced a large body of literature over the last thirty years. In this context, a multifractal framework provides parsimonious models which can be applied to a wide-scale range of hydrological processes, and are based on the empirical detection of some patterns in observational data, i.e. a scale invariant mechanism repeating scale after scale. Hence, multifractal analyses heavily rely on available data series and their statistical processing. In such analyses, high order moments are often estimated and used in model identification and fitting as if they were reliable. This paper warns practitioners against the blind use in geophysical time series analyses of classical statistics, which is based upon independent samples typically following distributions of exponential type. Indeed, the study of natural processes reveals scaling behaviours in state (departure from exponential distribution tails) and in time (departure from independence), thus implying dramatic increase of bias and uncertainty in statistical estimation. Surprisingly, all these differences are commonly unaccounted for in most multifractal analyses of hydrological processes, which may result in inappropriate modelling, wrong inferences and false claims about the properties of the processes studied. Using theoretical reasoning and Monte Carlo simulations, we find that the reliability of multifractal methods that use high order moments (>3) is questionable. In particular, we suggest that, because of estimation problems, the use of moments of order higher than two should be avoided, either in justifying or fitting models. Nonetheless, in most problems the first two moments provide enough information for the most important characteristics of the distribution.