Bayesian POT modeling for historical data

When designing hydraulic structures, civil engineers have to evaluate design floods, i.e. events generally much rarer that the ones that have already been systematically recorded. To extrapolate towards extreme value events, taking advantage of further information such as historical data, has been an early concern among hydrologists. Most methods described in the hydrological literature are designed from a frequentist interpretation of probabilities, although such probabilities are commonly interpreted as subjective decisional bets by the end user. This paper adopts a Bayesian setting to deal with the classical Poisson-Pareto peak over treshold (POT) model when a sample of historical data is available. Direct probalistic statements can be made about the unknown parameters, thus improving communication with decision makers. On the Garonne case study, we point out that twelve historical events, however imprecise they might be, greatly reduce uncertainty. The 90% credible interval for the 1000 year flood becomes 40% smaller when taking into account historical data. Any kind of uncertainty (model uncertainty, imprecise range for historical events, missing data) can be incorporated into the decision analysis. Tractable and versatile data augmentation algorithms are implemented by Monte Carlo Markov Chain tools. Advantage is taken from a semi-conjugate prior, flexible enough to elicit expert knowledge about extreme behavior of the river flows. The data augmentation algorithm allows to deal with imprecise historical data in the POT model. A direct hydrological meaning is given to the latent variables, which are the Bayesian keytool to model unobserved past floods in the historical series. (C) 2003 Elsevier Science B.V. All rights reserved.