Parametric/Nonparametric Mixture Density Estimation With Application to Flood‐frequency Analysis¹

Much attention has been invested in the model choice problem for peak annual flows, in the context of flood frequency analysis. The authors would sidestep this dilemma through non‐parametric density estimation methodology, but recognize that the standard nonparametric estimators preclude the use of prior information and related data, and furthermore have virtually no tail at all. Here we offer a remedy for these inadequacies by introducing an estimator which mixes parametric and nonparametric density estimates. We prove that our mixture rule is consistent. By this procedure, we do allow incorporation of prior information, experience, and regional data information, but nevertheless provide a safeguard against incorrect model choice.