Stochastic Environmental Research and Risk Assessment 15 (2001) 284±309 Ó Springer-Verlag 2001

Estimation of confidence intervals of quantiles

for the Weibull distribution
J.-H. Heo, J. D. Salas, K.-D. Kim

284
Abstract. Estimation of con®dence limits and intervals for the two- and three-
parameter Weibull distributions are presented based on the methods of moment
(MOM), probability weighted moments (PWM), and maximum likelihood (ML).
The asymptotic variances of the MOM, PWM, and ML quantile estimators are
derived as a function of the sample size, return period, and parameters. Such
variances can be used for estimating the con®dence limits and con®dence
intervals of the population quantiles. Except for the two-parameter Weibull
model, the formulas obtained do not have simple forms but can be evaluated
numerically. Simulation experiments were performed to verify the applicability of
the derived con®dence intervals of quantiles. The results show that overall, the
ML method for estimating the con®dence limits performs better than the other
two methods in terms of bias and mean square error. This is specially so for
c  0:5 even for small sample sizes (e.g. N ˆ 10). However, the drawback of the
ML method for determining the con®dence limits is that it requires that the shape
parameter be bigger than 2. The Weibull model based on the MOM, ML, and
PWM estimation methods was applied to ®t the distribution of annual 7-day low
¯ows and 6-h maximum annual rainfall data. The results showed that the
differences in the estimated quantiles based on the three methods are not large,
generally are less than 10%. However, the differences between the con®dence
limits and con®dence intervals obtained by the three estimation methods may be
more signi®cant. For instance, for the 7-day low ¯ows the ratio between the
estimated con®dence interval to the estimated quantile based on ML is about 17%
for T  2 while it is about 30% for estimation based on MOM and PWM methods.

J.-H. Heo
Department of Civil Engineering, Yonsei University
Seoul, Korea

J. D. Salas
Department of Civil Engineering, Colorado State University
Fort Collins, CO 80523, USA

K.-D. Kim
Korea Infrastructure Safety and Technology Cooperation
Korea

The research leading to this paper has been sponsored by the US

National Science Foundation Grant CMS-9625685 on ``Uncertainty
and Risk Analysis under Extreme Hydrologic Events'' and Internal
Research Fund of Yonsei University. Acknowledgment is due to
two anonymous reviewers who provided important suggestions
that improved the paper.
In addition, the analysis of the rainfall data using the three-parameter Weibull
showed that while ML parameters can be estimated, the corresponding con®dence
limits and intervals could not be found because the shape parameter was smaller
than 2.

1
Introduction
The Weibull distribution has been quite popular in engineering since it was in-
troduced several decades ago (Weibull, 1939; 1951). In the 1960s and 1970s, many
papers were published in the literature concerning parameter estimation of the 285
Weibull distribution based on complete and censored samples. Cohen (1965) de-
scribed the maximum likelihood estimation method and derived the variance±
covariance matrix of the parameters for a two-parameter Weibull distribution
based on complete and censored samples. Likewise, Harter and Moore (1965)
developed an iterative procedure to ®nd maximum likelihood estimates for a three-
parameter Weibull distribution and illustrated numerical examples for the one-,
two- and three-parameter Weibull model. Later, Harter and Moore (1967) derived
the elements of the information matrix of the maximum likelihood estimates for a
three-parameter Weibull distribution. Also, Haan and Beer (1967) developed it-
erative procedures based on the method of false position and secant method to ®nd
the shape parameter for a three-parameter Weibull distribution. In addition,
Thoman and Bain (1969) derived the con®dence limits of the parameters for a two-
parameter Weibull distribution and Lemon (1975) developed the maximum like-
lihood estimators for the three-parameter Weibull model based on censored
samples and gave the elements of the asymptotic variance±covariance matrix of the
parameters based on the method of maximum likelihood. Greenwood et al. (1979)
introduced the method of probability weighted moments for the Weibull model.
In addition, the Weibull model has been widely used in hydrology for ®tting
the frequency distribution of ¯ood and low ¯ow events. For example, Matalas
(1963) found the Weibull distribution as an appropriate model for low ¯ow
analysis and Kite (1988) showed several estimation techniques for this model. Rao
(1981) compared the two- and three-parameter Weibull models for ®tting the
frequency distribution of hydrologic data and provided some guidelines for se-
lecting between the two- and the three-parameter Weibull models. Boes et al.
(1989) applied a two-parameter Weibull model for regional ¯ood quantile esti-
mation based on the index ¯ood assumption and compared the methods of
moments (MOM), probability weighted moments (PWM), and maximum likeli-
hood (ML) by simulation experiments. Also, Heo et al. (1990) derived the as-
ymptotic variances of the quantiles obtained from regional analysis for these
three estimation techniques for a two-parameter Weibull model. They also ap-
plied the regional Weibull model to ®t the frequency distribution of annual ¯ood
data. Likewise, Dodson (1994) gave the con®dence intervals for the shape, scale,
location parameters based on the method of maximum likelihood and linear
estimation. Other available estimation techniques include those based on the
distribution of log X (Johnson and Kotz, 1970), on order statistics (Johnson and
Kotz, 1970), and the modi®ed moment estimation (Cohen et al., 1984).
The Weibull distribution approximates the normal distribution as the shape
parameter is about 3.6 in which case the skewness becomes zero (Johnson and
Kotz, 1970). Also, it becomes the exponential and the Rayleigh distributions when
the shape parameter is equal to one and two, respectively (Dodson, 1994). Despite
its ¯exibility and popularity, not many papers have dealt with estimation of the
 con®dence intervals of quantiles. Most of the results available are limited to the
method of moments for the two- and three-parameter Weibull model (see for
instance, Kite, 1988).
This paper discusses parameter estimation procedures and derives and com-
pares con®dence intervals on population quantiles for the three-parameter
Weibull model based on the MOM, PWM, and ML. Simulation experiments are
performed to investigate the applicability of derived con®dence intervals for ®nite
samples. Examples based on annual 7-day low ¯ows of the Parana River, Ar-
gentina and 6-h maximum annual rainfall of Seoul, Korea are included to illus-
trate and compare the proposed estimation methods.
286
2
Model description
The cumulative distribution function (cdf) and the probability density function
(pdf) of the three-parameter Weibull model are de®ned respectively as (Johnson
and Kotz, 1970)
"   #
x f b
F…x† ˆ 1 exp ; xf …1†
a
  "   #
b x f b 1 x f b
f …x† ˆ exp ; xf …2†
a a a

in which a > 0 is the scale parameter, b > 0 is the shape parameter, and f is the
location parameter. The three-parameter Weibull distribution is related to the
GEV-3 distribution (NERC, 1975). If X is GEV-3 distributed with location pa-
rameter f0 , scale parameter a0 , and shape parameter b0 (b0 > 0 for the GEV-3
distribution), then X is Weibull distributed with parameters b ˆ 1=b0 ; a ˆ a0=b0
and f ˆ f0 a0=b0 . Also f ˆ 0 for the two-parameter Weibull distribution.
The mean and variance of a three-parameter Weibull distribution are given by

l ˆ f ‡ aC…1 ‡ 1=b† …3†

and
 
r2 ˆ a2 C…1 ‡ 2=b† C2 …1 ‡ 1=b† …4†

respectively. The skewness coef®cient is given by

C…1 ‡ 3=b† 3C…1 ‡ 2=b†C…1 ‡ 1=b† ‡ 2C3 …1 ‡ 2=b†

cˆ …5†
‰C…1 ‡ 2=b† C2 …1 ‡ 1=b†Š3=2

where C…
† is the gamma function. The skewness coef®cient c has a lower limit
equal to 1:1396 (Gumbel, 1958). Note that the mean, variance, and skewness
coef®cient exist for b > 0.
For b > 1, the mode can be obtained from Eq. (2). It gives
 
b 1 1=b
mod…X† ˆ f ‡ a …6†
b
 287

Fig. 1. Typical pdfs of the Weibull distribution as a function of b for f ˆ 0 and a ˆ 1

The mode is at zero for 0 < b  1. In addition, the median of the Weibull dis-
tribution is given by (Johnson and Kotz, 1970)

med…X† ˆ f ‡ a‰log…2†Š1=b …7†

Figure 1 shows some examples of the pdf of the Weibull distribution as a function
of b for a ˆ 1:0 and f ˆ 0. Note that the three-parameter Weibull distribution is
the exponential distribution if b ˆ 1.

3
Estimation of quantiles
The quantile estimator X^T of a Weibull distribution can be obtained from Eq. (1)
by replacing F…x† by 1 1=T and solving for x. It gives
^
X^T ˆ f^ ‡ a^‰ ln…1=T†Š1=b …8†
^ a^ and b^ are the parameter estimators, and T ˆ return period which is
where f,
de®ned here as 1=p (p = exceedance probability). Also, the estimator X^T may be
written in terms of the sample mean l^, sample standard deviation r^, and the
frequency factor K^T (Chow, 1951) as

X^T ˆ l^ ‡ K^T r^ …9†

in which K^T is obtained by combining Eqs. (3), (4), (8) and (9) as
^
‰ ln…1=T†Š1=b C…1 ‡ 1=b† ^
K^T ˆ …10†
^
‰C…1 ‡ 2=b† ^ 1=2
C2 …1 ‡ 1=b†Š

Note that the frequency factor K^T of Eq. (10) is a function of the shape parameter
b which in turn is a function of the skewness coef®cient. Table 1 gives values of
 Table 1. Frequency factor KT for the Weibull distribution

Coef®cient Nonexceedance probability (q)

of 0.01 0.2 0.5 0.8 0.9 0.95 0.98 0.99 0.999
skewness
c Corresponding return period (T)
1.01 1.25 2 5 10 20 50 100 1000

)1.14 Lower limit for coef®cient of skewness

)1.04 )3.0752 )0.7344 0.1550 0.8280 1.1172 1.3310 1.5488 1.6825 2.0164
)1.00 )3.0499 )0.7401 0.1511 0.8305 1.1237 1.3410 1.5627 1.6990 2.0403
)0.80 )2.9189 )0.7683 0.1306 0.8422 1.1566 1.3921 1.6352 1.7857 2.1669
288 )0.60 )2.7666 )0.7973 0.1056 0.8527 1.1916 1.4492 1.7181 1.8864 2.3178
)0.40 )2.5997 )0.8249 0.0766 0.8605 1.2270 1.5099 1.8093 1.9986 2.4911
)0.20 )2.4221 )0.8496 0.0438 0.8646 1.2614 1.5731 1.9078 2.1221 2.6886
0.00 )2.2394 )0.8699 0.0076 0.8640 1.2934 1.6372 2.0124 2.2559 2.9110
0.20 )2.0579 )0.8845 )0.0308 0.8581 1.3214 1.7002 2.1210 2.3979 3.1575
0.40 )1.8834 )0.8925 )0.0705 0.8463 1.3442 1.7602 2.2310 2.5456 3.4263
0.60 )1.7207 )0.8938 )0.1098 0.8287 1.3606 1.8152 2.3399 2.6959 3.7142
0.80 )1.5726 )0.8885 )0.1477 0.8059 1.3701 1.8637 2.4449 2.8457 4.0171
1.00 )1.4405 )0.8777 )0.1831 0.7785 1.3727 1.9048 2.5439 2.9919 4.3303
1.20 )1.3241 )0.8623 )0.2151 0.7477 1.3688 1.9379 2.6354 3.1321 4.6494
1.40 )1.2225 )0.8435 )0.2436 0.7145 1.3589 1.9630 2.7182 3.2645 4.9701
1.60 )1.1340 )0.8224 )0.2682 0.6799 1.3440 1.9806 2.7919 3.3879 5.2886
1.80 )1.0570 )0.7999 )0.2892 0.6446 1.3249 1.9913 2.8564 3.5015 5.6019
2.00 )0.9899 )0.7769 )0.3069 0.6094 1.3026 1.9957 2.9120 3.6052 5.9078
2.20 )0.9313 )0.7537 )0.3214 0.5749 1.2778 1.9948 2.9593 3.6990 6.2044
2.40 )0.8798 )0.7309 )0.3332 0.5413 1.2512 1.9893 2.9988 3.7834 6.4906
2.60 )0.8343 )0.7088 )0.3426 0.5090 1.2234 1.9799 3.0312 3.8587 6.7657
2.80 )0.7939 )0.6875 )0.3500 0.4782 1.1948 1.9673 3.0573 3.9257 7.0292
3.00 )0.7578 )0.6671 )0.3557 0.4488 1.1660 1.9521 3.0777 3.9850 7.2811
3.20 )0.7255 )0.6476 )0.3598 0.4210 1.1371 1.9348 3.0931 4.0371 7.5215
3.40 )0.6963 )0.6291 )0.3627 0.3947 1.1085 1.9159 3.1041 4.0828 7.7505
3.60 )0.6699 )0.6116 )0.3646 0.3699 1.0802 1.8956 3.1111 4.1225 7.9686
3.80 )0.6459 )0.5951 )0.3656 0.3466 1.0525 1.8743 3.1147 4.1569 8.1760
4.00 )0.6239 )0.5794 )0.3659 0.3246 1.0253 1.8523 3.1153 4.1865 8.3733
4.20 )0.6038 )0.5646 )0.3656 0.3039 0.9989 1.8298 3.1133 4.2117 8.5608
4.40 )0.5852 )0.5506 )0.3648 0.2845 0.9732 1.8070 3.1091 4.2330 8.7392
4.60 )0.5681 )0.5373 )0.3635 0.2662 0.9483 1.7840 3.1028 4.2508 8.9087
4.80 )0.5522 )0.5248 )0.3619 0.2490 0.9241 1.7609 3.0949 4.2653 9.0700
5.00 )0.5374 )0.5129 )0.3601 0.2329 0.9007 1.7378 3.0854 4.2770 9.2233
5.20 )0.5236 )0.5016 )0.3580 0.2177 0.8781 1.7149 3.0747 4.2860 9.3692
5.40 )0.5107 )0.4909 )0.3557 0.2033 0.8563 1.6921 3.0629 4.2927 9.5081
5.60 )0.4987 )0.4808 )0.3533 0.1898 0.8351 1.6696 3.0502 4.2974 9.6402
5.80 )0.4873 )0.4711 )0.3508 0.1771 0.8148 1.6473 3.0366 4.3001 9.7661
6.00 )0.4766 )0.4619 )0.3482 0.1651 0.7951 1.6253 3.0223 4.3011 9.8860
6.20 )0.4666 )0.4532 )0.3455 0.1538 0.7760 1.6037 3.0075 4.3005 10.0003
6.40 )0.4570 )0.4448 )0.3428 0.1430 0.7577 1.5824 2.9921 4.2985 10.1092
6.60 )0.4480 )0.4368 )0.3400 0.1329 0.7400 1.5615 2.9763 4.2953 10.2132
6.80 )0.4395 )0.4292 )0.3373 0.1233 0.7228 1.5409 2.9602 4.2909 10.3123
7.00 )0.4313 )0.4219 )0.3345 0.1142 0.7063 1.5207 2.9439 4.2856 10.4069

the frequency factor for given values of the skewness coef®cient and return pe-
riod. Such a frequency factor can also be used to estimate quantiles. Once the
parameter estimates are obtained the mean, standard deviation, and skewness
coef®cient of the Weibull model are obtained from Eqs. (3)±(5). Then the quantile
for a given return period can be computed by using Eq. (9) and the frequency
factor obtained from Table 1. For example, for a given sample data, the mean,
standard deviation, and skewness coef®cient based on the method of probability
weighted moments are given by 9133.47, 2698.71 and 0.522, respectively. Then,
the 100-year quantile is x^100 ˆ 9133:47 ‡ 2698:71  2:637 ˆ 16250, in which
K^100 ˆ 2:637 is taken from Table 1 for given T ˆ 100 and c ˆ 0:522.
The estimation of quantiles requires the estimation of parameters. Three
methods of parameter estimation for the Weibull distribution are considered
here. They are: the MOM, method of ML, and method of PWM. While these
estimation methods have been widely described in literature for many models,
several of the equations presented here are new.

3.1 289
Method of moments (MOM)
The moment estimators f, ^ a^ and b^ can be obtained by substituting l, r and c in
Eqs. (3)±(5) by their corresponding sample estimates l^, r^, and c^. Since the
skewness coef®cient in Eq. (5) is only a function of the shape parameter b, one
can estimate b by solving Eq. (5). A moment estimator of the shape parameter, b^
can be obtained from the approximate equation

b^ ˆ 0:729268 0:338679^
c ‡ 4:96077…^
c ‡ 1:14† 1:0422
…11†
c ‡ 1:14†Š2
‡ 0:683609‰ln…^

which is valid for 1:08  c^  6:0 …0:52  b^  100† with a determination coef-
®cient R2 ˆ 0:9999999 and standard error = 0.008.
A better solution of b^ can be obtained by solving Eq. (5) numerically. For
instance, to apply the Newton±Raphson method, Eq. (5) is rewritten as

^
C…1 ‡ 3=b† ^
3C…1 ‡ 2=b†C…1 ^ ‡ 2C3 …1 ‡ 3=b†
‡ 1=b† ^
^ ˆ
G…b† h i3=2 c^ …12†
^
C…1 ‡ 2=b† ^
C2 …1 ‡ 1=b†

The ®rst derivative of Eq. (12) with respect to b^ is

^ ˆ 1
G0 …b† h i5=2
^2 C…1 ‡ 2=b†
b ^ ^
C2 …1 ‡ 1=b†
h
 ^ ‡ 6C0 …1 ‡ 2=b†C…1
3C0 …1 ‡ 3=b† ^ ^
‡ 1=b†
i
^
‡ 3C0 …1 ‡ 1=b†C…1 ^
‡ 2=b† ^ 2 …1 ‡ 1=b†
6C0 …1 ‡ 1=b†C ^
h i
 C…1 ‡ 2=b† ^ ^
C2 …1 ‡ 1=b†
h i
‡ C…1 ‡ 3=b† ^ 3C…1 ‡ 2=b†C…1
^ ^ ‡ 2C3 …1 ‡ 1=b†
‡ 1=b† ^
h i
0 ^ 0 ^
 3C …1 ‡ 2=b† 3C …1 ‡ 1=b†C…1 ‡ 1=b† ^ …13†

where C0 …
† is the ®rst derivative of the gamma function. Therefore, starting with
an initial estimate obtained from Eq. (11) the recursive equation to estimate b^ in
the iteration i ‡ 1 is
 b^i‡1 ˆ b^i G…b^i †=G0 …b^i †

The calculations are repeated until satisfying the error criterion

 
b^ 
 i‡1 b^i 
 <e
 b^i 

in which e is a speci®ed relative error.

Once b^ is determined, a^ is obtained from Eq. (4) as
290
h i1=2
^
a^ ˆ r^ C…1 ‡ 2=b† ^
C2 …1 ‡ 1=b† …14†

Then, f^ is determined from Eq. (3)

f^ ˆ l^ ^
a^C…1 ‡ 1=b† …15†

For a two-parameter Weibull distribution, f ˆ 0, so that a^ and b^ can be obtained

by solving Eqs. (3) and (4).

3.2
Method of probability weighted moments (PWM)
The general form of the population PWM of a three-parameter Weibull distri-
bution is given by (Greenwood et al., 1979)

1 h i
Ar ˆ E‰X …1 F…x††r Š ˆ f ‡ a…r ‡ 1† 1=b
C…1 ‡ 1=b† …16†
r‡1
in which r is a nonnegative integer. Likewise, the sample PWMs are given by
(Landwehr et al., 1979)

1X N
A^0 ˆ xj …17a†
N jˆ1

1X N
…N j†…N j 1†


…N j r ‡ 1†
A^r ˆ xj ; for r > 0 …17b†
N jˆ1 …N 1†…N 2†


…N r†

where xj is the order statistic such that x1  x2 


 xN .

From Eq. (16) the ®rst three population PWMs are

A0 ˆ f ‡ aC…1 ‡ 1=b† …18†

h i
A1 ˆ f ‡ a2 1=b C…1 ‡ 1=b† 2 …19†

1=b
A2 ˆ ‰f ‡ a3 C…1 ‡ 1=b†Š=3 …20†

By substituting these three population PWMs by the corresponding sample PWMs,

A^0 , A^1 , and A^2 , the PWM estimator of the shape parameter b is a solution of
 1=b^
1 3 3A^2 A^0
ˆ …21†
1 2 1=b^ 2A^1 A^0
^ By using the Newton±Raphson
Equation (21) can be solved numerically for b.
method the following equations are de®ned
1=b^
^ ˆ 1 3 3A^2 A^0
G…b† ˆ …22†
1 2 1=b^ 2A^1 A^0
and
291
1 h     i
^ ˆ 1=b^ 1=b^ 1=b^ 1=b^
G0 …b†  2 3 1 2 ln…3† ‡ 2 1 3 ln…2†
^2
b 1 2 1=b^

…23†
Then, b^ can be determined following a similar procedure as that described in
Sect. 3.1 for MOM estimation. Also, in this case, the value of b^ from Eq. (11) can
^ Then, the PWM estimators of the
be used as an initial value to solve Eq. (21) for b.
parameters a and f may be obtained from Eqs. (18) and (19) as
.h i
1=b^ ^
a^ ˆ …A^0 2A^1 † …1 2 †C…1 ‡ 1=b† …24†

and

f^ ˆ A^0 ^
a^C…1 ‡ 1=b† …25†

In addition, note that using the relationship between the Weibull and the GEV
models as indicated before in Sect. 2, i.e. b ˆ 1=b0 , the shape parameter can be
obtained approximately from the formula suggested by Hosking et al. (1985).
Furthermore, the PWM estimators for a two-parameter Weibull distribution
(f ˆ 0) may be obtained from Eqs. (18) and (19) as
 
b^ ˆ ln…2† ln…A^0 =A^1 † ln…2† …26†
and

^
a^ ˆ A^0 C…1 ‡ 1=b† …27†

3.3
Method of maximum likelihood (ML)
The log-likelihood function of a three-parameter Weibull distribution is given by

X
N N 
X b
xi f
LL…x; f; a; b† ˆ N ln…b† Nb ln…a† ‡ …b 1† ln…xi f†
iˆ1 iˆ1
a
…28†

The partial derivatives of LL…
† with respect to f; a; and b are equated to zero
yielding
 X N  
oLL N
1 bX xi f b 1
ˆ …b 1† …xi f† ‡ ˆ0 …29a†
of iˆ1
a iˆ1 a

N  
oLL Nb b X xi f b
ˆ ‡ ˆ0 …29b†
oa a a iˆ1 a

X N 
X   
oLL N N
xi f b xi f
ˆ N ln…a† ‡ ln…xi f† ln ˆ0 …29c†
ob b iˆ1 iˆ1
a a
292
respectively. These three equations must be solved simultaneously to ®nd the
estimators of the parameters f, a, and b.
Based on the Newton±Raphson method, one can write
2 3 2 3 12 3
Df o2 LL=of2 o2 LL=ofoa o2 LL=ofob oLL=of
4 Da 5 ˆ 4 o2 LL=oaof o2 LL=oa2 o2 LL=oaob 5 4 oLL=oa 5 …30†
Db o2 LL=obof o2 LL=oboa o2 LL=ob2 oLL=ob
where ‰
Š 1 represents the inverse of the matrix and the second partial derivatives
of the log-likelihood function of the Weibull distribution are given in Appendix
A. One can evaluate the matrices of the right hand side of Eq. (30) for given values
of the sample x1 ; . . . ; xN and parameters fi ; ai ; and bi and then obtain the in-
crements Dfi ; Dai ; and Dbi in which the subscript i de®nes the iteration. Thus, the
new parameter estimates for iteration i ‡ 1 are then determined by
ki‡1 ˆ ki ‡ Dki
until satisfying the error criterion jDki =ki‡1 j < e in which k represents any of the
parameters f; a; b, and e is a speci®ed relative error.
The expected values of the second derivatives of the inverse matrix in Eq. (30)
are given in Appendix B. These expected values are also used to obtain the
asymptotic variance of the quantile estimator as shown in the next section. The
inverse of the square matrix II 1 in Eq. (30) is called the inverse of the infor-
mation matrix, which may be expressed as
2 3
a2 b a2 h abf
6 …b 1† 7
6 …b 1†2 b…b 1† 7
1 1 6
6 a2 h a2 a
7
7
II ˆ 6 ag 7 …31†
ND 6 b…b 1† b2 7
6 7
4 abf 2 5
ag bc
…b 1†
where

a ˆ C…1 2=b†‰1 ‡ C00 …2†Š C2 …1 1=b†‰1 ‡ w…1 1=b†Š2 …32a†

2 
b ˆ 1 ‡ C00 …2† ‰C0 …2†Š ˆ p2 6 …32b†

c ˆ C…1 2=b† C2 …1 1=b† …32c†

f ˆ C…1 1=b†‰1 C0 …2† ‡ w…1 1=b†Š …32d†

g ˆ C…1 2=b†C0 …2† C2 …1 1=b†‰1 ‡ w…1 1=b†Š …32e†

h ˆ C…1 1=b†f1 ‡ C00 …2† C0 …2†‰1 ‡ w…1 1=b†Šg …32f†

D ˆ bc ‡ f 2 …32g†
00
in which C …2† is the second derivative of the gamma function with argument 2.
Note that the coef®cients a, c, and g are de®ned only if b > 2.
For a two-parameter Weibull distribution, f ˆ 0 in Eqs. (29b) and (29c).
Combining these equations gives
P
N 293
X
N Nb xbi ln…xi †
iˆ1
N ‡b ln…xi † ˆ0 …33†
P
N
iˆ1 xbi
iˆ1

which is only a function of b. Solving Eq. (33) for b gives the maximum likelihood
^ and then a^ can be obtained from Eq. (29b).
estimator b,

4
Confidence intervals on quantiles
The 1 d con®dence interval X1 d on the population quantiles may be approx-
imated by (Kite, 1988)
X^1 d ˆ X^T  u1 ^
d=2 ST …34†
where u1 d=2 is the 1 d=2 quantile of the standard normal distribution, X^T is the
quantile estimator corresponding to return period T, and S^T is the standard
deviation or standard error of X^T .
The quantile estimator can be written as
X^T ˆ g…h^1 ; h^2 ; h^3 † …35†
where h^i denotes in general estimators of either moments or parameters. The
asymptotic variance of X^T may be expressed as
     
oXT 2 ^ oXT 2 ^ oXT 2
2 ^
ST ˆ Var…XT † ˆ Var…h1 † ‡ Var…h2 † ‡ Var…h^3 †
oh1 oh2 oh3
     
oXT oXT ^ ^ oXT oXT
‡2 Cov…h1 ; h2 † ‡ 2 Cov…h^2 ; h^3 †
oh1 oh2 oh2 oh3
  
oXT oXT
‡2 Cov…h^1 ; h^3 † …36†
oh1 oh3

The terms in the right hand side of Eq. (36) may be determined depending on the
estimation method. In this paper, such standard error can be estimated by the
methods of moments, probability weighted moments, and maximum likelihood
as described below.

4.1
Standard error by moments
By using the ®rst three sample moments for ^
hi in Eq. (36), the variance of X^T can
be written as (Kite, 1988)
 
S2T ˆ Var…X^T † ˆ …l2 =N† 1 ‡ KT c1 ‡ KT2 …c2 1†=4
‡…oKT =oc1 †‰2c2 3c21 6 ‡ KT …c3 6c1 c2 =4 10c1 =4†Š
2
‡…oKT =oc1 † ‰c4 3c1 c3 6c2 ‡ 9c1 c2 =4 ‡ 35c21 =4 ‡ 9Š
2

…37†

where the cj 's are the so called cumulants which are de®ned as
3=2
c1 ˆ l3 =l2 …38a†
294 c2 ˆ l4 =l22 …38b†
5=2
c3 ˆ l5 =l2 …38c†
c4 ˆ l6 =l32 …38d†
and c1 ˆ c is the skewness coef®cient. In turn, the rth central moments, lr are

l2 ˆ a2 ‰D2 D21 Š …39a†

l3 ˆ a3 ‰D3 3D2 D1 ‡ 2D31 Š …39b†
l4 ˆ a4 ‰D4 4D3 D1 ‡ 6D2 D21 3D41 Š …39c†
l5 ˆ a5 ‰D5 5D4 D1 ‡ 10D3 D21 10D2 D21 ‡ 4D51 Š …39d†
l6 ˆ a6 ‰D6 6D5 D1 ‡ 15D4 D21 20D3 D31 ‡ 15D2 D41 5D61 Š …39e†
in which Dr ˆ C…1 ‡ r=b†. In addition, the derivative of KT with respect to c1 can
be written as
oKT =oc1 ˆ …oKT =ob†…ob=oc1 † …40†
The two partial derivatives in the right hand side of Eq. (40) can be determined as
follows. From Eq. (10) the derivative of KT with respect to b is
 



oKT D1 w1 ln…B†B1=b D2 D21 B1=b D1 D2 w2 ‡ D21 w1
ˆ …41†
ob b2 …D2
3=2
D21 †

where wr ˆ w…1 ‡ r=b† ˆ C0 …1 ‡ r=b†=C…1 ‡ r=b† and B ˆ ln…1=T†. Likewise,

from Eq. (5) the derivative of c1 with respect to b becomes
oc1 


ˆ 3 D2 D21 D3 w3 ‡ 2D2 D1 w2 ‡ D2 D1 w1 2D31 w1
ob


.h 2 i
D3 3D2 D1 ‡ 2D31 D2 w2 ‡ D21 w1 b …D2 D21 †5=2 …42†

4.2
Standard error by probability weighted moments
The variance of the PWM quantile estimator X^T for the three-parameter Weibull
distribution is obtained by replacing the h^i 's in Eq. (36) by the parameter
estimators. It gives
      
oXT 2 ^ oXT 2 oXT 2 ^
S2T ˆ Var…f† ‡ Var…^a† ‡ Var…b†
of oa ob
     
oXT oXT ^ oXT oXT ^
‡2 Cov…f; a^† ‡ 2 Cov…^ a; b†
of oa oa ob
  
oXT oXT ^ b†
^
‡2 Cov…f; …43†
of ob
From Eq. (8) the derivatives of XT with respect to the parameters f; a; and b are
respectively
295
oXT
ˆ1 …44a†
of

oXT
ˆ ‰ ln…1=T†Š1=b …44b†
oa
oXT a
ˆ ln‰ ln…1=T†Š‰ ln…1=T†Š1=b …44c†
ob b2
^ Var(^
The terms Var(f), ^ Cov(f,
a), Var(b), ^ a^), Cov(^ ^ and Cov(f,
a, b), ^ b)
^ in Eq. (43)
are given by (see Appendix C for details)

^ ˆ W 2 A00 ‡ 2W0 W1 A01 ‡ W 2 A11 ‡ 2W0 Wb C1 H

Var…f† 0 1
‡ 2W1 Wb C2 H ‡ Wb2 CH 2 …45a†

a† ˆ T02 A00 ‡ 2T0 T1 A01 ‡ T12 A11 ‡ 2T0 Tb C1 H ‡ 2T1 Tb C2 H ‡ Tb2 CH 2

Var…^
…45b†

^ ˆ CH 2
Var…b† …45c†

Cov…^f; ^a† ˆ W0 T0 A00 ‡ W0 T1 A01 ‡ W1 T0 A01 ‡ W1 T1 A11 ‡ W0 Tb C1 H

‡ W1 Tb C2 H ‡ Wb T0 C1 H ‡ Wb T1 C2 H ‡ Wb Tb CH 2 …45d†

^ b†
Cov…f; ^ ˆ W0 C1 H ‡ W1 C2 H ‡ Wb CH 2 …45e†

Cov…^ ^ ˆ T0 C1 H ‡ T1 C2 H ‡ Tb CH 2
a; b† …45f†

and the terms in Eqs. (45a) through (45f) are also given in Appendix C. Finally,
using B ˆ ln…1=T† the asymptotic variance of X^T for the three-parameter
Weibull distribution becomes

1 ^ ‡ B2=b Var…^ a2 ^
S2T ˆ Var…f† a† ‡ 4 …ln B†2 B2=b Var…b†
N b
2a h i
1=b ^
‡2B Cov…f; a^† …ln B†B1=b ^ ^ 1=b
Cov…f; b† ‡ B Cov…^ ^
a; b† …46†
b2
 For a two-parameter Weibull distribution, the asymptotic distribution of the
sample PWMs becomes bivariate normal by dropping A^2 and the third line and
column of the square matrix in Eq. (C3). Following a similar procedure as de-
scribed for the three-parameter Weibull model, the asymptotic variance has a
simpler form as (Heo et al., 1990)

XT2 nh     i
S2T ˆ 2 1 ‡ 2 21 1=b S ‡ 1 21 1=b 4H…1=2† S2 C…1 ‡ 2=b†
NC …1 ‡ 1=b†
h     i o
1‡ 2 ‡ 21‡1=b S ‡ 1 ‡ 21‡1=b S2 C2 …1 ‡ 1=b†
296
…47†

where S ˆ fw…1 ‡ 1=b† ln‰ ln…1=T†Šg= ln…0:5†.

4.3
Standard error by maximum likelihood
The variance of the ML estimator of quantiles for the three-parameter Weibull
distribution can be obtained from Eq. (43) where the parameter estimators are
now ML estimators. The derivatives of XT with respect to the parameters f; a;
and b are the same as Eqs. (44a) through (44c). On the other hand, the vari-
ance and covariance terms for ML estimators are the elements of the inverse
of information matrix in Eq. (31) (Mood et al., 1974). Hence

^ ˆ a2 b
Var…f† …48a†
…b 1†2 ND
a2 a
Var…^
a† ˆ …48b†
b2 ND

^ ˆ b2 c
Var…b† …48c†
ND

^ a^† ˆ a2 h
Cov…f; …48d†
b…b 1†ND

^ ˆ abf
Cov…^
a; b† …48e†
…b 1†ND

Cov…f; ^ ˆ ag
^ b† …48f†
ND
where the various coef®cients such as a, b, etc. are given by Eq. (32). Thus,
substituting Eqs. (44) and (48) into (43) yields
( )
a2 b 2B1=b B1=b  2
S2T ˆ …h ‡ f ln B† ‡ 2 a 2g ln…B† ‡ …ln B†
ND …b 1†2 b…b 1† b
…49†

in which B ˆ ln…1=T†. Note that for the two-parameter Weibull distribution

f ˆ 0 and Eq. (43) reduces to
       
oXT 2 oXT 2 ^ oXT oXT ^
S2T ˆ Var…^a† ‡ Var…b† ‡ 2 Cov…^
a; b†
oa ob oa ob
( )
XT2 ‰C0 …2† ln… ln…1 q††Š2
ˆ 1‡ …50†
Nb2 p2 =6

5
Simulation experiments
Simulation experiments were performed to ®nd out the applicability of the
derived con®dence intervals of quantiles based on the methods of moments, 297
probability weighted moments, and maximum likelihood. For this purpose, the
location and scale parameters were set to f ˆ 0 and a ˆ 1, respectively, and the
shape parameter b varied as 7.49, 3.62, 2.23, 1.56, and 0.74 which correspond to
skewness coef®cients equal to 0:5, 0.0, 0.5, 1.0, and 3.0, respectively. Using a
known parameter set (f; a; b), 10,000 sets of data were generated for sample sizes
N = 10, 25, 50, and 100. For each generated data set and estimation method, the
parameters were estimated and then the con®dence limits X^1 d of Eq. (34) were
determined by using the estimates X^T and S^2T obtained from the generated data.
These estimates were obtained respectively from Eq. (8) and from either Eqs. (37),
(46), or (49) depending on the estimation method. In addition, the theoretical
con®dence limits X1 d were obtained also from Eq. (34) but XT and ST were
determined based on the assumed (known) parameter set. Then the relative
BIAS…X^1 d †=X1 d and the relative root mean square error
bias RBIASq=
RRMSE = MSE…X^1 d †=X1 d were determined. The computations were
performed for both the lower and upper con®dence limits. Only the results for the
upper con®dence limits for c ˆ 0:5, 0.5 and 1.0 are displayed in Figs. 2±5.
For N = 10, the RBIAS of the upper con®dence limit generally increases as c
increases as shown in Fig. 2. Also it generally increases as T increases except for

Fig. 2. RBIAS vs. return period for the upper con®dence limits for N ˆ 10
298

Fig. 3. RBIAS vs. sample size for the upper con®dence limits for T ˆ 100

Fig. 4. RRMSE vs. return period for the upper con®dence limits for N ˆ 10

ML and c ˆ 1. MOM gives the smallest RBIAS for skewness coef®cient

c ˆ 0:5; 0:5 while ML gives the smallest values for c ˆ 1. However, RBIAS of
PWM rapidly increases as c increases. Furthermore, for T ˆ 100 (q ˆ 0:99)
RBIAS of the upper con®dence limit decreases as the sample size N increases as
shown in Fig. 3. RBIAS are about the same for the three estimation methods for
c ˆ 0:5, MOM gives the smallest RBIAS for c ˆ 0:5, while ML gives the smallest
value for c ˆ 1. In addition, for the PWM method RBIAS becomes consistently
 299

Fig. 5. RRMSE vs. sample size for the upper con®dence limits for T ˆ 100

larger as c increases. Therefore, the results show that in terms of bias MOM is
preferable for negative c while ML is best for positive c.
Relative root mean square error (RRMSE) for the upper con®dence limit is
shown in Fig. 4 for N ˆ 10. RRMSE generally increases as c increases except for
the case of MOM for c ˆ 0:5. Also RRMSE generally increases as T increases.
ML always gives the smallest RRMSE for all ranges of c and PWM gives the largest
RRMSE for positive c. For T ˆ 100, RRMSE decreases as N increases as shown in
Fig. 5. Also RRMSE generally increases as the skewness c increases except for
MOM for c ˆ 0:5 and N ˆ 10. For c ˆ 0:5 and N ˆ 10, Figs. 2 and 3 show that
MOM gives the smallest bias. Yet Figs. 4 and 5 show a large value of RRMSE. This
occurred because of the large sample variance of the upper con®dence limit
obtained for that particular case.
Results for the bias and mean square error for the lower con®dence limits are
not shown but can be summarized as follows. For N ˆ 10 the bias generally
increases as T increases. Also the bias increases as c increases. Generally the
biases are small but they can be large for c ˆ 1 (e.g. RBIAS is about 25% for the
MOM and PWM methods). For T ˆ 100 the biases decrease as N increases as
expected. The PWM method gives the smallest bias for c ˆ 0:5 but as c in-
creases the ML gives the smallest bias. Regarding the mean square error, for
N ˆ 10 RRMSE generally increases as T increases; this is specially noticeable for
c ˆ 1. For T ˆ 100, RRMSE increases as c increases and it decreases as N
increases as expected. In all cases the ML gives the smallest RRMSE.
Overall, the ML method for estimating the con®dence limits performs better
than the other two methods in terms of bias and mean square error. This is
specially so for c  0:5 even for small sample sizes (e.g. N ˆ 10).

6
Applications
The annual 7-day low ¯ows (cms) of the Parana River at Corrientes, Argentina for
the period (1904±1982) and the annual 6-h maximum rainfall data (mm) of Seoul,
 Table 2. Parameter estimates of the Weibull distribution for (a) annual 7-day low ¯ows
of the Parana River at Corrientes, Argentine, and (b) 6-h maximum annual rainfall data
at Seoul, South Korea

Methods Parameters

Low ¯ows Rainfall data

f^ a^ b^ f^ a^ b^

MOM 3367.15 6509.15 2.292 33.25 74.70 1.711

ML 3545.67 6313.66 2.238 38.19 68.58 1.568
300 112.58 2.669
PWM 3562.17 6290.95 2.177 37.90 68.92 1.553

2-Parameter Weibull

South Korea for the period (1925±1987) are used here to illustrate and compare
the estimation of the parameters, quantiles, and con®dence intervals assuming
the Weibull distribution and the various estimation methods presented herein.
The parameters and quantiles for various return periods were estimated by the
methods of moments, probability weighted moments, and maximum likelihood
as outlined in the previous sections. Table 2 shows the estimated parameters
obtained for the referred data. Note that for the rainfall data, the parameters of
the 2-parameter Weibull model based on the ML method are also included be-
cause in estimating the con®dence intervals using the ML method, the estimated
shape parameter should be greater than 2 because the argument of C…1 2=b† in
Eq. (B1) of Appendix B should be greater than zero. Thus, while the parameter
estimates for the 3-parameter Weibull model can be obtained by the ML method,
the con®dence intervals cannot be determined because b^ ˆ 1:568 < 2. Thus, for
the rainfall data, the 2-parameter Weibull model was used for obtaining con®-
dence intervals of quantiles based on the ML method.
The empirical and ®tted cdfs based on the three-parameter Weibull for the two
sets of data analyzed are displayed in Figs. 6 and 7. The Weibull cdfs appear to ®t
the empirical cdfs quite well. Furthermore, goodness of ®t tests such as the chi-
square test and Kolmogorov±Smirnov test did not reject the Weibull model with
5% signi®cance level. The quantiles and 95% con®dence limits, corresponding to
return periods T ˆ 1:01, 1.05, 1.10, 1.5, 2, 5, 10, 20, 50, 100, and 500 were de-
termined. Table 3 shows the results for the annual 7-day low ¯ows. The estimated
quantiles by the three methods are not the same but the differences among them
are not too large. Generally they are less than 5% for T  2 (percentage relative to
the smaller estimate when comparing between the estimates of any two methods).
Somewhat larger differences are observed in the estimated con®dence limits. The
maximum differences for both the upper and lower limits are less than 8% for
T ˆ 500. More notable are the differences in the con®dence intervals as shown for
instance in Fig. 8. The ratios of the con®dence interval to the estimated quantile
(for a given T) obtained based on the ML method are the narrowest being about
17% for T  2, while the ratios obtained based on the MOM and PWM methods
are wider, they are about 30% for T  2.
For the rainfall data, the differences of quantiles based on the MOM and PWM
methods (for the three-parameter Weibull) are less than 10%. Similar differences
are obtained between the estimated con®dence limits by both estimation methods
except for the lower con®dence limits for T < 1:11 year. Furthermore, the
 301

Fig. 6. Empirical and ®tted cdfs of the 3-parameter Weibull distribution for the annual
7-day low ¯ows of the Parana River at Corrientes, Argentine

Fig. 7. Empirical and ®tted 3-parameter Weibull distribution cdfs for the annual 6-h
maximum rainfall data of Seoul, South Korea

con®dence intervals for the three-parameter Weibull model based on the ML

method could not be determined because the estimated shape parameter was less
than 2. Therefore, for comparison the two-parameter Weibull model was applied
based on the ML method (the estimated parameters are given in Table 2). Con-
®dence intervals of quantiles for the two- and three-parameter Weibull models
are shown in Fig. 9. As expected, large differences are observed for the upper
con®dence limits obtained for the two- and three-parameter Weibull models.

7
Summary and conclusions
Estimation techniques for determining the con®dence intervals for the two- and
three-parameter Weibull distributions are presented based on the MOM, PWM,
and ML. All three estimation methods require an iterative or numerical solution
to estimate the shape parameter. The asymptotic variances of the MOM, PWM,
and ML quantile estimators for the Weibull distribution are derived as a function
of the sample size, return period, and parameters. Such variances can be used for
 Table 3. The estimates of quantiles and 95% con®dence intervals based on the methods
of moments, probability weighted moments, and maximum likelihood (Newton±Raphson)
for the annual 7-day low ¯ows of the Parana River at Corrientes, Argentine

Method Return period Lower con®dence Quantile Upper con®dence

T limit ^T
X limit

MOM 1.01 3005.6 4241.6 5477.5

1.05 4340.9 5109.6 5878.2
1.10 5076.1 5700.9 6325.7
1.50 7113.4 7757.0 8400.6
2.00 8222.2 8914.4 9606.4
302 5.00 10595.7 11378.6 12161.4
10.00 11780.1 12733.8 13687.4
20.00 12667.3 13873.5 15079.8
50.00 13567.6 15171.1 16774.6
100.00 14117.0 16042.0 17966.9
500.00 15123.8 17813.0 20502.2
PWM 1.01 3358.3 4322.4 5286.6
1.05 4474.0 5133.2 5792.3
1.10 5117.2 5699.0 6280.7
1.50 7084.5 7717.7 8350.9
2.00 8199.8 8878.3 9556.8
5.00 10585.9 11390.3 12194.6
10.00 11799.4 12790.2 13780.9
20.00 12736.2 13975.9 15215.6
50.00 13717.4 15334.1 16950.8
100.00 14332.2 16250.1 18168.0
500.00 15492.1 18123.0 20753.9
ML 1.01 4056.0 4353.8 4651.6
1.05 4842.4 5182.9 5523.5
1.10 5382.3 5754.1 6125.9
1.50 7333.1 7763.4 8193.8
2.00 8457.8 8905.5 9353.2
5.00 10805.0 11355.5 11906.0
10.00 12033.1 12711.0 13389.0
20.00 13030.4 13854.8 14679.2
50.00 14132.7 15160.5 16188.4
100.00 14856.1 16038.9 17221.6
500.00 16293.8 17829.5 19365.2

estimating the con®dence limits and con®dence intervals of the population

quantiles. Except for the two-parameter Weibull model, the formulas obtained do
not have simple forms but can be evaluated numerically.
Simulation experiments were performed to ®nd out the applicability of the
derived con®dence intervals of quantiles based on the three estimation methods.
The interest was to see the applicability of the estimations methods for various
sample sizes, return periods, and skewness coef®cients. The results show that
overall, the ML method for estimating the con®dence limits performs better than
the other two methods in terms of bias and mean square error. This is specially so
for c  0:5 even for small sample sizes (e.g. N ˆ 10). However, the drawback of
the ML method for determining the con®dence limits is that it requires that the
shape parameter be bigger than 2.
Finally, the Weibull model was applied to ®t the distribution of annual 7-day
low ¯ows and 6-h maximum annual rainfall data. The purpose was to illustrate
 303

Fig. 8. Cumulative distribution of annual 7-day low ¯ows of the Parana River at Corrientes,
Argentine and 95% con®dence intervals based on the Weibull-3 model and the MOM,
PWM, and ML estimation methods

the applicability of the estimation methods to real data and to compare the values
of estimated parameters, quantiles, and con®dence intervals based on the MOM,
ML, and PWM methods. The results showed that the differences in the estimated
quantiles based on the three methods are not large, generally are less than 10%.
However, the differences between the con®dence limits and con®dence intervals
obtained by the three estimation methods may be more signi®cant. For instance,
for the 7-day low ¯ows the ratio between the estimated con®dence interval to the
estimated quantile based on ML is about 17% for T  2 while it is about 30% for
estimation based on MOM and PWM methods. The analysis of the rainfall data
also illustrated the need of having available alternative estimation methods. For
example, the analysis of the rainfall data using the three-parameter Weibull
showed that while ML parameters can be estimated, the corresponding con®dence
limits and intervals could not be found because the shape parameter was smaller
than 2.

Appendix A: Second partial derivatives of the log-likelihood function

for the Weibull distribution
 hX 2 X b 2i
o2 LL=of2 ˆ …b 1†=a2 yi ‡ b yi …A1†
X
o2 LL=oaof ˆ …b=a†2 yib 1
…A2†
X X X
o2 LL=ofob ˆ …xi f† 1
…b=a† yib 1
ln…yi † …1=a† yib 1
…A3†
304

Fig. 9. Cumulative distribution of the annual 6-h maximum rainfall data of Seoul, Korea
and 95% con®dence intervals based on the Weibull-2 and -3 models and the MOM, PWM,
and ML estimation method
h X i
o2 LL=oa2 ˆ …b=a2 † N …b ‡ 1† ybi …A4†
h X X i
o2 LL=oaob ˆ …1=a† N ybi b ybi ln…yi † …A5†
X
o2 LL=ob2 ˆ N=b2 ‡ ybi ‰ln…yi †Š2 …A6†
P
where yi ˆ …xi f†=a and represents summation from 1 to N.

Appendix B: Expected values of the second partial derivatives

of the log-likelihood function for the Weibull distribution
 
o2 LL N…b 1†2
E ˆ C…1 2=b† …B1†
of2 a2
 2 
o LL Nb2
E ˆ …B2†
oa2 a2
 2 
o LL N
E 2 ˆ 2 ‰1 ‡ C00 …2†Š …B3†
ob b
 2 
o LL Nb2
E ˆ C…2 1=b† …B4†
ofoa a2
  
o2 LL N
E ˆ …1 1=b†C…1 1=b†‰1 ‡ w…1 1=b†Š …B5†
ofob a
 2 
o LL N 0
E ˆ C …2† …B6†
oaob a

where C…
† and w…
† are gamma and digamma functions and C0 …2† and C00 …2† are
the ®rst and second partial derivatives of the gamma function with argument 2,
respectively.
305
Appendix C: Derivation of the variance of the quantile estimator ST2 based
on PWM method
The quantile estimator of X^T can be written as a function of the ®rst three sample
PWMs


X^T ˆ f A^0 ; A^1 ; A^2 …C1†

where the sample PWM A^r is de®ned in Eq. (17). The variance S2T can be obtained
by
     
oXT 2 oXT 2 oXT 2
S2T ˆ Var…A^0 † ‡ Var…A^1 † ‡ Var…A^2 †
oA0 oA1 oA2
     
oXT oXT ^ ^ oXT oXT
‡2 Cov…A0 ; A1 † ‡ 2 Cov…A^1 ; A^2 †
oA0 oA1 oA1 oA2
  
oXT oXT
‡2 Cov…A^0 ; A^2 † …C2†
oA0 oA2

However, …oXT =oA1 † in Eq. (C2) is not obtainable for some probability distri-
butions such as the Weibull model, because X^T cannot be written explicitly as
a function of the sample PWMs. In other words, the quantile estimator in Eq. (8)
cannot be explicitly written as a function of the sample PWMs because the shape
parameter estimator is implicitly expressed as a function of the sample PWMs
as shown in Eq. (21). Therefore, in this case, the variance±covariance matrix
of the sample PWMs should be obtained ®rstly. Then this matrix is transformed
to the variance±covariance matrix of the parameter estimators by using a
Jacobian transformation. Finally, the variance of the quantile estimator can be
obtained by using Eq. (43). Details of the procedure follows.
The asymptotic distribution of the sample PWMs can be written as (Chernoff
et al., 1967; Hosking et al., 1985)
2 3 0 2 31
A^0 A0 A00 =N A01 =N A02 =N
4 A^1 5  TVN@ A1 ; 4 A01 =N A11 =N A12 =N 5A …C3†
A^2 A2 A02 =N A12 =N A22 =N

where  reads ``is asymptotically distributed as'', TVN is an abbreviation for

trivariate normal distribution, and Aij are given by (Heo et al., 1990)

A00 ˆ a2 ‰C…1 ‡ 2=b† C2 …1 ‡ 1=b†Š …C4a†


h i
A01 ˆ a2 =2 2 2=b
C…1 ‡ 2=b† ‡ …1 21 1=b
†C2 …1 ‡ 1=b† …C4b†

nh i
A02 ˆ a2 =2 3 2=b
2 2=b
H…1=2†
o
1=b 1=b
 C…1 ‡ 2=b† 2…3 2 †C2 …1 ‡ 1=b† …C4c†

A11 ˆ a2 2 2=b
‰H…1=2†C…1 ‡ 2=b† C2 …1 ‡ 1=b†Š …C4d†
h i
306 A12 ˆ …a2 =2† 3 2=b H…1=3†C…1 ‡ 2=b† …2:6 1=b 2 1=b
†C2 …1 ‡ 1=b†
…C4e†

A22 ˆ a2 3 2=b
‰H…2=3†C…1 ‡ 2=b† C2 …1 ‡ 1=b†Š …C4f†

where H…z† is a hypergeometric function de®ned by

1=b X 1
C…n ‡ 2=b†… z†n
H…z† ˆ F… 2=b; 1=b; 1 1=b; z† ˆ …C5†
C…2=b† nˆ0 …n ‡ 1=b†n!

For the three-parameter Weibull distribution, the asymptotic variance of the

PWM estimator of quantile, X^T can be found by using successively the following
transformations

A^0 A^0 A^0 f^

A^1 ) A^1 ) A^1 ) a^ ) X^T …C6†
A^2 A^2 A^2 b^
R b^

where ) reads ``is transformed as''. As mentioned for Eq. (21), the shape pa-
rameter estimator is a function of the sample PWMs, but cannot be written
explicitly, thus we need a transformation. In the ®rst transformation, let
R ˆ …3A^2 A^0 †=…2A^1 A^0 † which is the right hand side of Eq. (21). Then b^ is
^ ^
given implicitly by …1 3 1=b †=…1 2 1b † ˆ R in the second transformation.
Additional details of the transformations follows.
(1) 1st Transformation. For the 1st transformation, the Jacobian matrix is
given by
2 3
oA^0 oA^0 oA^0 2 3
6 oA^^0 oA^1 oA^2 7 1 0 0
6 oA1 oA^1 oA^1 7 6 0 1 0 7
6 oA^0 oA^1 oA^2 7 6 7
J1 ˆ 6 oA^ 7ˆ4 0 0 1 5 …C7†
6 2 oA^2 oA^2 7
4 oA^0 oA^1 oA^2 5 3A2 2A1 2…3A2 A0 † 3…2A1 A0 †
oR oR oR …2A1 A0 †2 …2A1 A0 †2 …2A1 A0 †2
oA^0 oA^1 oA^2

Then the variance±covariance matrix in the 1st transformation, i.e. of the 2nd
column terms in (C6) can be obtained by R1 ˆ J1 R0 J10 where R0 is the variance±
covariance matrix in Eq. (C3). Thus
 2 3
A00 =N A01 =N A02 =N C1 =N
6 A00 =N A01 =N A02 =N C2 =N 7
R1 ˆ 6
4 A00 =N
7 …C8†
A01 =N A02 =N C3 =N 5
C1 =N C2 =N C3 =N C=N

where the elements are de®ned in Eqs. (C4a) through (C4f) and
h      i.
1=b 1=b 1=b 1=b
C ˆ A00 3 2 2A01 3 1 ‡ 3A02 2 1 M
…C9a† 307
h      i.
1=b 1=b 1=b 1=b
C1 ˆ A01 3 2 2A11 3 1 ‡ 3A12 2 1 M …C9b†

h      i.
1=b 1=b 1=b 1=b
C2 ˆ A02 3 2 2A12 3 1 ‡ 3A22 2 1 M
…C9c†
 2
1=b
M ˆ aC…1 ‡ 1=b† 1 2 …C9d†

(2) 2nd Transformation. In this case, the Jacobian matrix is

2 oA^ oA^0 oA^0 oA^0
3
0
^ oA^1 oA^2 oR 2 3
6 ooAA^0 oA^1 oA^1 oA^1
7 1 0 0 0
6 1 7 6
6 oA^0 oA^1 oA^2 oR 7 60 1 0 0 7 7
J2 ˆ 6 oA^2 7ˆ4 …C10†
6 ^ oA^2 oA^2 oA^2 7 0 0 1 0 5
4 oA0 oA^1 oA^2 oR 5 ^
ob^ ob^ ob^ ob^
0 0 0 ob=oR
oA^0 oA^1 oA^2 oR

1=b

1=b


where R ˆ 1 3 = 1 2 and

2
ob^ b2 1 2 1=b
ˆ …C11†
oR ln…2†2 1=b …1 3 1=b † ln…3†3 1=b …1 2 1=b †

Thus, the variance±covariance matrix in the 2nd transformation is given by

2 3
A00 =N A01 =N A02 =N C1 H=N
6 A00 =N A01 =N A02 =N C2 H=N 7
R2 ˆ J2 R1 J20 ˆ 6
4 A00 =N
7 …C12†
A01 =N A02 =N C3 H=N 5
C1 H=N C2 H=N C3 H=N CH 2 =N

(3) 3rd Transformation. The Jacobian matrix in the 3rd transformation is

2 3 2 3
^ A^0
of=o ^ A^1
of=o ^ A^2
of=o ^ b^
of=o W0 W1 0 Wb
4
J3 ˆ o^a=oA^0 a=oA^0
o^ a=oA^0
o^ a=ob^ 5 ˆ 4 T0
o^ T1 0 Tb 5
0 0 0 1 0 0 0 1
…C13†
 where the elements of above matrix are given by
. 
1=b 1=b
W0 ˆ of=oA0 ˆ 2 1 2 …C14a†
. 
1=b
W1 ˆ of=oA1 ˆ 2 1 2 …C14b†
.h  i
Wb ˆ of=ob ˆ aC…1 ‡ 1=b† ln…2†2 1=b
b2 1 2 1=b
…C14c†
.h  i
1=b
308 T0 ˆ oa=oA0 ˆ 1 1 2 C…1 ‡ 1=b† …C14d†
.h  i
1=b
T1 ˆ oa=oA1 ˆ 2 1 2 C…1 ‡ 1=b† …C14e†

Tb ˆ oa=ob
h  i  2 
ˆ 1 2 1=b
w…1 ‡ 1=b† ln…2†2 1=b
b2 1 2 1=b
C…1 ‡ 1=b†

…C14f†

Then the variance±covariance matrix can be obtained by

2 3
Z Zfa Zfb
1 4 ff
0
R3 ˆ J3 R2 J3 ˆ Zfa Zaa Zab 5 …C15†
N Z Zab Zbb
fb

where the diagonal and off-diagonal terms are the variances and covariances of
estimators, respectively, given by Eqs. (45a) through (45f).
(4) 4th Transformation. The quantile estimator of the 3-parameter Weibull
distribution for return period T is
^
X^T ˆ f^ ‡ a^‰ ln…1=T†Š1=b …C16†

and the Jacobian matrix is given by

" #
oX^T oX^T oX^T
J4 ˆ
of^ o^a ob^

where each element is given in Eqs. (44a) through (44c). Finally, the S2T of X^T can
be obtained by

S2T ˆ J4 R3 J40 …C17†

and the result is given in Eq. (49).

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