ALBERT

Description: Entropy, Vol. 20, Pages 601: A Maximum-Entropy Method to Estimate Discrete Distributions from Samples Ensuring Nonzero Probabilities Entropy doi: 10.3390/e20080601 Authors: Paul Darscheid Anneli Guthke Uwe Ehret When constructing discrete (binned) distributions from samples of a data set, applications exist where it is desirable to assure that all bins of the sample distribution have nonzero probability. For example, if the sample distribution is part of a predictive model for which we require returning a response for the entire codomain, or if we use Kullback–Leibler divergence to measure the (dis-)agreement of the sample distribution and the original distribution of the variable, which, in the described case, is inconveniently infinite. Several sample-based distribution estimators exist which assure nonzero bin probability, such as adding one counter to each zero-probability bin of the sample histogram, adding a small probability to the sample pdf, smoothing methods such as Kernel-density smoothing, or Bayesian approaches based on the Dirichlet and Multinomial distribution. Here, we suggest and test an approach based on the Clopper–Pearson method, which makes use of the binominal distribution. Based on the sample distribution, confidence intervals for bin-occupation probability are calculated. The mean of each confidence interval is a strictly positive estimator of the true bin-occupation probability and is convergent with increasing sample size. For small samples, it converges towards a uniform distribution, i.e., the method effectively applies a maximum entropy approach. We apply this nonzero method and four alternative sample-based distribution estimators to a range of typical distributions (uniform, Dirac, normal, multimodal, and irregular) and measure the effect with Kullback–Leibler divergence. While the performance of each method strongly depends on the distribution type it is applied to, on average, and especially for small sample sizes, the nonzero, the simple “add one counter”, and the Bayesian Dirichlet-multinomial model show very similar behavior and perform best. We conclude that, when estimating distributions without an a priori idea of their shape, applying one of these methods is favorable.

Description: When constructing discrete (binned) distributions from samples of a data set, applications exist where it is desirable to assure that all bins of the sample distribution have nonzero probability. For example, if the sample distribution is part of a predictive model for which we require returning a response for the entire codomain, or if we use Kullback–Leibler divergence to measure the (dis-)agreement of the sample distribution and the original distribution of the variable, which, in the described case, is inconveniently infinite. Several sample-based distribution estimators exist which assure nonzero bin probability, such as adding one counter to each zero-probability bin of the sample histogram, adding a small probability to the sample pdf, smoothing methods such as Kernel-density smoothing, or Bayesian approaches based on the Dirichlet and Multinomial distribution. Here, we suggest and test an approach based on the Clopper–Pearson method, which makes use of the binominal distribution. Based on the sample distribution, confidence intervals for bin-occupation probability are calculated. The mean of each confidence interval is a strictly positive estimator of the true bin-occupation probability and is convergent with increasing sample size. For small samples, it converges towards a uniform distribution, i.e., the method effectively applies a maximum entropy approach. We apply this nonzero method and four alternative sample-based distribution estimators to a range of typical distributions (uniform, Dirac, normal, multimodal, and irregular) and measure the effect with Kullback–Leibler divergence. While the performance of each method strongly depends on the distribution type it is applied to, on average, and especially for small sample sizes, the nonzero, the simple “add one counter”, and the Bayesian Dirichlet-multinomial model show very similar behavior and perform best. We conclude that, when estimating distributions without an a priori idea of their shape, applying one of these methods is favorable.

Description: In this study, we propose a data-driven approach to automatically identify rainfall-runoff events in discharge time series. The core of the concept is to construct and apply discrete multivariate probability distributions to obtain probabilistic predictions of each time step being part of an event. The approach permits any data to serve as predictors, and it is non-parametric in the sense that it can handle any kind of relation between the predictor(s) and the target. Each choice of a particular predictor data set is equivalent to formulating a model hypothesis. Among competing models, the best is found by comparing their predictive power in a training data set with user-classified events. For evaluation, we use measures from Information Theory such as Shannon Entropy and Conditional Entropy to select the best predictors and models and, additionally, measure the risk of overfitting via Cross Entropy and Kullback–Leibler Divergence. As all these measures are expressed in bit, we can combine them to identify models with the best tradeoff between predictive power and robustness given the available data. We applied the method to data from the Dornbirnerach catchment in Austria distinguishing three different model types: Models relying on discharge data, models using both discharge and precipitation data, and recursive models, i.e., models using their own predictions of a previous time step as an additional predictor. In the case study, the additional use of precipitation reduced predictive uncertainty only by a small amount, likely because the information provided by precipitation is already contained in the discharge data. More generally, we found that the robustness of a model quickly dropped with the increase in the number of predictors used (an effect well known as the Curse of Dimensionality), such that in the end, the best model was a recursive one applying four predictors (three standard and one recursive): discharge from two distinct time steps, the relative magnitude of discharge in a 65-hour time window and event predictions from the previous time step. Applying the model reduced the uncertainty about event classification by 77.8%, decreasing Conditional Entropy from 0.516 to 0.114 bits. Given enough data to build data-driven models, their potential lies in the way they learn and exploit relations between data unconstrained by functional or parametric assumptions and choices. And, beyond that, the use of these models to reproduce a hydrologist's way to identify rainfall-runoff events is just one of many potential applications.

Description: In this study, we propose a data-driven approach for automatically identifying rainfall-runoff events in discharge time series. The core of the concept is to construct and apply discrete multivariate probability distributions to obtain probabilistic predictions of each time step that is part of an event. The approach permits any data to serve as predictors, and it is non-parametric in the sense that it can handle any kind of relation between the predictor(s) and the target. Each choice of a particular predictor data set is equivalent to formulating a model hypothesis. Among competing models, the best is found by comparing their predictive power in a training data set with user-classified events. For evaluation, we use measures from information theory such as Shannon entropy and conditional entropy to select the best predictors and models and, additionally, measure the risk of overfitting via cross entropy and Kullback–Leibler divergence. As all these measures are expressed in “bit”, we can combine them to identify models with the best tradeoff between predictive power and robustness given the available data. We applied the method to data from the Dornbirner Ach catchment in Austria, distinguishing three different model types: models relying on discharge data, models using both discharge and precipitation data, and recursive models, i.e., models using their own predictions of a previous time step as an additional predictor. In the case study, the additional use of precipitation reduced predictive uncertainty only by a small amount, likely because the information provided by precipitation is already contained in the discharge data. More generally, we found that the robustness of a model quickly dropped with the increase in the number of predictors used (an effect well known as the curse of dimensionality) such that, in the end, the best model was a recursive one applying four predictors (three standard and one recursive): discharge from two distinct time steps, the relative magnitude of discharge compared with all discharge values in a surrounding 65 h time window and event predictions from the previous time step. Applying the model reduced the uncertainty in event classification by 77.8 %, decreasing conditional entropy from 0.516 to 0.114 bits. To assess the quality of the proposed method, its results were binarized and validated through a holdout method and then compared to a physically based approach. The comparison showed similar behavior of both models (both with accuracy near 90 %), and the cross-validation reinforced the quality of the proposed model. Given enough data to build data-driven models, their potential lies in the way they learn and exploit relations between data unconstrained by functional or parametric assumptions and choices. And, beyond that, the use of these models to reproduce a hydrologist's way of identifying rainfall-runoff events is just one of many potential applications.