Please use this identifier to cite or link to this item: 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
Appears in Collections:Aurora harvest
Civil and Environmental Engineering publications

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