A new method for detecting abrupt changes in the dependence among multivariate hydrological series based on moving cut total correlation

Abstract

Knowledge of how to define and estimate the dependence among multivariate hydrological series is essential for detecting abrupt changes in the dependence. Here, in this paper, a new method (BMCTC) is proposed to detect all possible abrupt change points in the dependence among multivariate hydrological series. The total correlation estimated by the matrix-based Renyi's alpha-order entropy functional is firstly introduced to define and measure the dependence strength among multivariate hydrological series. Then, the moving cut total correlation (MCTC) sequence is built by the moving window technique, which is used to measure changes in the dependence strength among multivariate hydrological series. Finally, the Bernaola-Galvan algorithm is used to detect all change points of the MCTC sequence. Simulations are performed to compare the effectiveness of BMCTC with Pearson correlation (BMCPC) and Spearman correlation (BMCSC), Cramer-von Mises (CvM) and copula-based likelihood-ratio (CLR). The results show that all change points are detected by BMCTC regardless of the samples size, but wrong change points or no change points are detected by other methods in most cases. BMCTC is applied to detect change points in the dependence among annual runoff, precipitation and sediment discharge series in the Xiliugou and the Kuyehe River, China. It is found that the dependence among runoff, precipitation and sediment discharge changed abruptly in 1980 and 1996 in the Kuyehe River and in 1999 in the Xiliugou River. These changes are mainly caused by human activities such as construction of water conservancy projects and coal mining.