Forecasting Palmer Index Using Neural Networks

and Climatic Indexes

P. Cutore, Ph.D.1; G. Di Mauro, Ph.D.2; and A. Cancelliere3
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Abstract: In recent years, several drought monitoring indexes have found application to describe and compare droughts among different
time periods and regions as well as to forecast the evolution of ongoing droughts, in order to select appropriate mitigation measures and
policies for water resources management under shortage risk conditions. However, limited efforts have been made to investigate the
possibilities of using information conveyed by large-scale climatic indexes to improve the forecasting ability of drought indexes, provided
they exert some influence on the climatic variability in a region. The aim of the paper is to develop models for forecasting Palmer
Hydrological Drought Index series in Sicily 共Italy兲 based on artificial neural networks, and to extend such models in order to include
information from large-scale climatic indexes. First, the influence of North Atlantic Oscillation 共NAO兲 and European Blocking 共EB兲
indexes on Palmer index series, computed on areal monthly precipitation from 1955 until 1999 in Sicily, has been investigated by means
of a correlation analysis. Results indicate that NAO and EB series are significantly correlated with Palmer index series for winter and
autumn months, with special reference to the last decades. Then, forecasting models based on neural networks have been developed, using
different approaches. The comparison between the prediction for winter and autumn months obtained by either including or not including
the NAO and EB indexes within the forecasting model indicates some improvements in terms of R2 when NAO and especially EB are
considered. A different model behavior has been observed for the spring and summer predictions for which no significant improvements
in terms of model predictive capability, due to the introduction of the climatic indexes as input variables, have been observed.
DOI: 10.1061/共ASCE兲HE.1943-5584.0000028
CE Database subject headings: Forecasting; Climatology; Water resources; Droughts; Water supply; Neural networks.

Introduction Several drought indexes have been proposed for drought

Drought appears as a severe deficiency of water available in the
hydrologic cycle over an extended period of time and character-
ized by a large spatial extent. Like other climatic extreme events,
such as earthquakes, tornadoes, hurricanes, and floods, droughts
can cause significant damage both in natural environments and in
human lives.
However, drought is a gradual phenomenon, slowly affecting
an area and tightening its grip with time. In severe cases, drought
can last for many years and can have devastating effects on agri-
culture and water supplies. Nonetheless, the slow evolution of
drought makes possible an effective mitigation of its impacts,
provided a timely monitoring and forecast of the phenomenon is
available 共Wilhite 2000; Rossi 2000; Cancelliere et al. 2007兲. To
this end, the selection of adequate indexes for drought monitor-
ing, which provide a synthetic and objective description of
drought conditions, can represent a key point for the implemen-
tation of an efficient drought watch system.
1
Dept. of Civil and Environmental Engineering, Univ. of Catania,
Viale Andrea Doria 6, 95125 Catania, Italy. E-mail: pcutore@dica.unict.it
2
Dept. of Civil and Environmental Engineering, Univ. of Catania,
Viale Andrea Doria 6, 95125 Catania, Italy. E-mail: gdimau@dica.unict.it
3
Associate Professor, Dept. of Civil and Environmental Engineering,
Univ. of Catania, Viale Andrea Doria 6, 95125 Catania, Italy. E-mail:
acance@dica.unict.it
Note. This manuscript was submitted on April 18, 2008; approved on
September 18, 2008; published online on February 16, 2009. Discussion
period open until November 1, 2009; separate discussions must be sub-
mitted for individual papers. This paper is part of the Journal of Hydro-
logic Engineering, Vol. 14, No. 6, June 1, 2009. ©ASCE, ISSN 1084-
0699/2009/6-588–595/$25.00.
monitoring 共Heim 2000兲, among which the Standardized Precipi-
tation Index 共SPI兲 共McKee et al. 1993兲 and the Palmer Drought
Severity Index 共PDSI兲 共Palmer 1965兲, or the slightly modified
version of the index, the Palmer hydrological drought index
共PHDI兲, probably have found the most widespread application.
Although most of the proposed indexes have been developed with
the intent to monitor current drought conditions, some of them
can be used to forecast the possible evolution of an ongoing
drought in order to adopt appropriate mitigation measures and
drought policies for water resources management under shortage
risk conditions.
Several authors have proposed methods that enable forecasts
or assessments of the probable evolution of SPI or Palmer in-
dex. Rao and Padmanabhan 共1984兲 investigated the stochastic
features of yearly and monthly PHDI and fitted stochastic models
to simulate and forecast PHDI series. Cancelliere et al. 共1996兲
proposed a procedure for short- to midterm forecasting of PHDI
and tested its applicability to Mediterranean regions by com-
puting the probability that an ongoing drought will end in the
following months. Other authors 共Lohani et al. 1998兲 proposed a
forecasting procedure of the Palmer index based on the first-
order Markov chains, which enables the forecast of drought
conditions for future months based on the current drought class
described by PHDI values. Recently, Kim and Valdes 共2003兲
have used PDSI as a drought parameter to forecast drought using
a conjunction of dyadic wavelet transforms and neural network.
More recently, Moreira et al. 共2006兲 have analyzed SPI drought
class transitions using loglinear models, whereas Cancelliere et al.
共2007兲 have proposed a stochastic model to forecast SPI values
at short to medium term, as well as to estimate transition prob-

588 / JOURNAL OF HYDROLOGIC ENGINEERING © ASCE / JUNE 2009

J. Hydrol. Eng., 2009, 14(6): 588-595

 abilities ofSPI classes corresponding to drought of different
severities.
Despite the fact that forecasting when a drought is likely to
begin or to come to an end is still extremely difficult 共Cordery
and McCall 2000兲, important progress is being made in relation
to the possibilities of using information provided by large-
scale climatic indexes, such as the North Atlantic Oscillation
共NAO兲 共Walker and Bliss 1932兲 and the European Blocking 共EB兲
共Wallace and Gutzler 1981兲, as a support to forecasting droughts.
Indeed, use of such indexes could allow for an improved forecast-
ing ability of the models, as well as for a longer time horizon of
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forecasting, provided they exert some influence on the climatic
variability in a region.
The aim of the paper is to develop models for forecasting
PHDI series in Sicily 共Italy兲 based on artificial neural networks
共ANNs兲, and extending such models in order to include informa-
tion deriving from large scale climatic indexes. In particular, an
evaluation of whether considering NAO and EB indexes informa-
tion leads to improvements in the forecasting PHDI values is
carried out by means of Monte Carlo analysis.
The PHDI was selected due to its capability to assess water
deficiencies at large geographical scale allowing a reasonable
comparison of drought conditions both in space and time,
whereas the adoption of ANNs is justified by their ability in mod-
eling and forecasting nonlinear and nonstationary time series in
hydrology, due to their intrinsic nonlinear property and flexibility
for modeling 共ASCE 2000a,b兲.
Palmer Drought Index
The original PDSI was developed as a descriptor of meteorologi-
cal drought and its computation is based on the comparison be-
tween the actual precipitation over an area with the amount of
precipitation required to maintain the average supply of that area
共climatically appropriate for existing conditions兲 共Palmer 1965兲.
The method is based on the estimation of a soil water balance,
usually on a monthly basis, over a calibration period using his-
torical records of hydrological variables to derive climatic coeffi-
cients needed for the computation of the monthly values of the
index.
As the evaluation of the original PDSI relies on a backtracking
procedure to determine the beginning and the end of the drought,
it cannot be used for real time monitoring. Therefore, the slightly
modified version of the index, the PHDI, is generally used for
operational purposes and has been applied here.
Computation of PHDI is based on the application of the recur-
sive formula
Hi
PHi = 0.897PHi−1 +
3
where i = 12共y − 1兲 + t; y = 1 , . . . , n indicates the year; t = 1 , . . . , 12
the month; and
Hi = 共Pi − P̂i兲Kt
Pi being the precipitation on interval i, P̂i the climatologically
appropriate precipitation for existing conditions at the same inter-
val, and Kt a monthly standardization factor.
PHDI values are centered around zero and range approxi-
mately between −5.0 and 5.0 with negative values indicating
drought of different severities.
J. Hydrol. Eng., 2009, 14(6): 588-595
Table 1. Dry and Wet Condition Classifications Based on the PHDI
Values 共Karl 1986兲
Index values Classification
PHDI艌 4.0 Extremely wet
3.0⬍ PHDI⬍ 4.0 Very wet
2.0⬍ PHDI⬍ 3.0 Moderately wet
1.0⬍ PHDI⬍ 2.0 Slightly wet
0.5⬍ PHDI⬍ 1.0 Incipient wet spell
−0.5⬍ PHDI⬍ 0.5 Near normal
−1.0⬍ PHDI⬍ −0.5 Incipient drought
−2.0⬍ PHDI⬍ −1.5 Mild drought
−3.0⬍ PHDI⬍ −2.0 Moderate drought
−4.0⬍ PHDI⬍ −3.0 Severe drought
PHDI⬍ −4.0 Extreme drought
A drought classification proposed by Karl 共1986兲 for the
United States and reported in Table 1, indicates extreme drought
for PHDI艋 −4.0 with an approximate cumulative frequency
less than 4%, severe drought for −3.9艋 PHDI艋 −3.0 共frequency
5–10%兲, and mild to moderate drought for −2.9艋 PHDI艋 −1.5
共frequency 11–27%兲. The index can also express wet conditions;
i.e., 0 is normal, +2 is moderate rainfall, etc.
The advantage of the Palmer index is that it is standardized to
local climate, so it can be applied to different countries to dem-
onstrate relative dry or wet conditions.
Although the Palmer index is mainly used in United States
共Lohani and Loganathan 1997; Kim and Valdes 2003兲, it has
been applied also to other areas such as Australia and South
Africa 共Smith et al. 1993兲, Europe 共Briffa et al. 1994兲, and Medi-
terranean areas 共Cancelliere et al. 1996兲 confirming that, despite
its limitations, PHDI can be considered an appropriate index for
drought monitoring.
North Atlantic Oscillation and European Blocking
Effects on Precipitation and Droughts in Europe
The NAO and EB have long been recognized as two of the pat-
terns of atmospheric variability in the Northern Hemisphere.
However, they have become the subject of a wider interest only
recently.
Historically, NAO has been defined as an index that measures
the difference of normalized surface pressure between two areas
over the North Atlantic Ocean, Ponta Delgada in the Azores and
Stykkisholmur in Iceland, but recently, researchers have shown
that, during the winter season, stations located in Iberia can be
used with some advantages over Ponta Delgada 共Hurrel 1995;
共1兲 Jones et al. 1997兲.
Several studies have established links between the NAO
phases and precipitation in western Europe and the Mediterranean
basin 共Hurrell 1995; Qian et al. 2000兲 showing a significant de-
pendence between these two variables. Such control exerted by
共2兲 NAO on the precipitation regime is related to corresponding
changes in the associated activity of North-Atlantic storm tracks
that affect the western European border 共Goodess and Jones
2002兲. Over the past decade NAO has remained in a positive
phase during winter, contributing significantly to the recent
wintertime warmth across Europe and to cold conditions in the
northwestern Atlantic 共Hurrell et al. 2001兲. During the positive
phases of NAO, the North Atlantic westerlies, which provide
JOURNAL OF HYDROLOGIC ENGINEERING © ASCE / JUNE 2009 / 589
 much of the atmospheric moisture to north Africa and Europe,
shift northward. This, in turn, results in drier conditions over
southern Europe, the Mediterranean Sea, and northern Africa
共Hurrell 1995兲.
The EB index characterizes the frequency of occurrence of
blocking events for European longitudes by using the 500 hPa
geopotential height 共Z500兲 data and the Tibaldi and Molteni
共1990兲 index.
During winter, the anticyclones usually are located in the
Greenland and Scandinavian polar areas, whereas in summer they
characterize the European East. Such events deserve particular
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attention because they could cause climatic anomalies by block-
ing the western currents for several weeks, so that the Atlantic
perturbations are forced to abandon their usual trajectories.
Therefore, together with the NAO index, the EB index consti-
tutes a second atmospheric circulation pattern for the European
area 共Rogers 1990; Tibaldi and Molteni 1990; Pavan et al.
2002a,b兲. As NAO and EB are strongly correlated, respectively,
with the first and third principal components of the Atlantic vari-
ability, they are uncorrelated.
The seasonal temperature and precipitation anomalies over the
European area are deeply connected to these two large-scale
patterns and high correlation among these patterns and precipita-
tion for the Mediterranean and the Alpine areas was proved by
Quadrelli et al. 共2001a,b兲.
ANN Forecasting Model
ANNs have been extensively used in the past two decades for the
development of a large number of forecasting models in many
scientific areas. ANNs are able to mimic a large class of nonlinear
functions, and therefore they are ideal candidates to develop em-
pirical 共regression type兲 models. An ANN model is based on a
connectionist approach to computation involving several transfor-
mation elements 共neurons兲, interconnected and distributed over
different layers.
In general, ANNs consist of an input layer, through which
information reaches the network, one or more hidden layers, into
which information is routed, and a layer of output, through which
the results are provided 共ASCE 2000a,b兲.
The advantages of ANNs over other regressive models are
that 共1兲 their application does not require a prior knowledge of
the process because ANNs have black-box properties; 共2兲 ANNs
are inherently nonlinear as neurons activate a nonlinear filter
called an activation function; and 共3兲 the generalizing capabilities
of ANNs make them attractive for a large class of problems in
hydrology.
In the present case, ANNs have been adopted to model the
relationship between future values of PHDI index and present
values of both PHDI and large-scale climatic indexes. Thus, in-
dependent variables, i.e., an input vector consisting of monthly
PHDI and climatic indexes data are used to generate the depen-
dent variable values, i.e., the output vector of monthly Palmer
index predictions.
Single hidden layer feed-forward networks have been used
in the present work. Based on experiments performed on this case
study, the logistic activation function for the neurons of input
and hidden layers and the linear function for the neurons of output
layer were chosen. Moreover, following Swingler 共1996兲 and
Berry and Linoff 共1997兲, the maximum number of neurons in
the hidden layer has been set equal to double the input layer
dimension in order to reduce calibration errors and to avoid over-
590 / JOURNAL OF HYDROLOGIC ENGINEERING © ASCE / JUNE 2009
J. Hydrol. Eng., 2009, 14(6): 588-595
fitting conditions. The number of ANN hidden neurons was cho-
sen to provide the best predictive capability in the validation
phase.
Preliminary Correlation Analysis between Palmer
Index Series in Sicily and Climatic Indexes Series
A preliminary correlation analysis between Palmer series in Sicily
and climatic indexes series 共NAO and EB兲 has been carried out
by means of Pearson and Kendall’s ␶ correlation coefficients.
Palmer series have been computed from areal averaged
monthly precipitation series from 1926 until 2003, obtained by
applying the Thiessen polygons method on 40 precipitation
stations in Sicily. The selected stations are included in the
drought monitoring bulletin published on the website of the
Sicilian Regional Agency for Waste and Water—Water Obser-
vatory, formerly the Hydrographic Service 关Rossi and Cancelliere
共2002兲, http://www.uirsicilia.it兴 in which drought indexes
共SPI and Palmer兲 are currently computed for real time drought
monitoring.
Regarding the NAO series, following Jones et al. 共1997兲, it
was decided to adopt the Gibraltar-Iceland NAO index developed
by the Climatic Research Unit of the University of East Anglia,
U.K., for the same period 共1926–2003兲 共http://gcmd.nasa.gov/
records兲. Finally, the EB series has been computed as the third
principal component of the Z500 from the reanalysis data 共NCEP兲
for the European area from 90°W to 60°E and from 20°N to
90°N. The available EB data set covers the observed period
1955–1999 共Cacciamani et al. 2007兲.
The correlation between the PHDI index in a given month and
the climatic index 共either NAO or EB兲, averaged over the previ-
ous h 共h = 1 , . . . , 4兲, months has been investigated, in agreement
with the procedure already applied by Vicente-Serrano 共2005兲 and
Lopez-Moreno et al. 共2007兲.
Let PHDIyj+k be the value of the Palmer index at month t + k
共t = 1 , . . . , 12; k = 0 , . . . , 3兲 and year y, and Z共h兲
y,t the value of the
climatic index 共either NAO or EB兲 at month t for a given time
averaging scale h 共h = 1 , . . . , 4兲.
The Pearson correlation coefficient between the two variables,
for a given time averaging scale h, has been computed as
兺ny=1共PHDIy,t+k − PHDI兲共Zy,t − Z̄兲
rt,k = 共3兲
关兺ny=1共PHDIy,t+k − PHDI兲2兺ny=1共Zy,t − Z̄兲2兴0.5
in which PHDI and Z̄ represent the mean values for the consid-
ered variables.
In order to compute Kendall’s ␶, let us consider the vector of
variables 共PHDIy,t+k , Zy,t兲. Two distinct pairs of observations
共PHDI j,t+k , Z j,t兲 and 共PHDIm,t+k , Zm,t兲 are said to be concordant if
共PHDI j,t+k − PHDIm,t+k兲 共Z j,t − Zm,t兲 ⬎ 0, and discordant if
共PHDI j,t+k − PHDIm,t+k兲 共Z j,t − Zm,t兲 ⬍ 0. Kendall’s ␶ has been then
computed as ␶ = 共c − d兲 / 共c + d兲, where c denotes the number of
concordant pairs, and d is the number of discordant pairs.
Correlation analysis has been carried out for each month t.
As an example, in Tables 2 and 3, correlation values between
PHDI and the considered climatic series are shown for the month
of March considering the three periods of simultaneous observa-
tion of different length 共i.e., 1955–1999, 1970–1999, and 1980–
1999兲.
It is evident how the correlation significantly increases as the
 Table 2. Pearson and Kendall’s ␶ 共in Parentheses兲 Correlation Coefficient between NAO Series 共Averaged over 1 – 4 Months兲 and Palmer Series
Simultaneous and Shifted 1, 2, or 3 Months Ahead
Palmer
NAO averaging scale h
Period Month 共month兲 Same month 1 month ahead 2 months ahead 3 months ahead
1955–1999 March 1 −0.31 共−0.21兲 −0.22 共−0.15兲 −0.17 共−0.13兲 −0.17 共−0.11兲
2 −0.37 共−0.24兲 −0.33 共−0.18兲 −0.29 共−0.16兲 −0.29 共−0.16兲
3 −0.59 (−0.39) −0.55 (−0.34) −0.52 (−0.34) −0.50 (−0.34)
4 −0.56 (−0.40) −0.56 (−0.38) −0.51 (−0.34) −0.49 (−0.32)
1970–1999 March 1 −0.33 共−0.25兲 −0.24 共−0.18兲 −0.24 共−0.15兲 −0.24 共−0.15兲
2 −0.39 共−0.25兲 −0.33 共−0.17兲 −0.31 共−0.15兲 −0.33 共−0.17兲
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3 −0.60 (−0.37) −0.58 (−0.34) −0.56 (−0.35) −0.55 (−0.36)

4 −0.61 (−0.43) −0.66 (−0.46) −0.62 (−0.45) −0.60 (−0.38)
1980–1999 March 1 −0.52 (−0.30) −0.51 (−0.31) −0.47 共−0.26兲 −0.48 共−0.28兲
2 −0.55 (−0.42) −0.45 (−0.32) −0.38 共−0.27兲 −0.39 (−0.32)
3 −0.79 (−0.46) −0.76 (−0.45) −0.69 (−0.38) −0.66 (−0.42)
4 −0.81 (−0.52) −0.82 (−0.61) −0.73 (−0.56) −0.69 (−0.49)
Note: Bold type= significant values for a significance level ␣ = 5%.

Table 3. Pearson and Kendall’s ␶ 共in Brackets兲 Correlation Coefficient between EB Series 共Averaged over 1 – 4 months兲 and Palmer Series Simultaneous
and Shifted 1, 2, or 3 Months Ahead
Palmer
EB averaging scale h
Period Month 共month兲 Same month 1 month ahead 2 months ahead 3 months ahead
1955–1999 March 1 0.40 共0.26兲 0.39 共0.25兲 0.39 共0.28兲 0.40 共0.28兲
2 0.25 共0.14兲 0.21 共0.12兲 0.19 共0.13兲 0.19 共0.14兲
3 0.37 共0.24兲 0.35 共0.25兲 0.37 共0.27兲 0.38 共0.29兲
4 0.44 (0.30) 0.43 (0.34) 0.44 (0.36) 0.45 (0.37)
1970–1999 March 1 0.44 (0.30) 0.41 共0.27兲 0.45 (0.30) 0.45 (0.30)
2 0.26 共0.16兲 0.24 共0.17兲 0.28 共0.18兲 0.32 共0.23兲
3 0.42 共0.28兲 0.42 (0.30) 0.49 (0.32) 0.52 (0.36)
4 0.51 (0.37) 0.52 (0.41) 0.60 (0.43) 0.62 (0.47)
1980–1999 March 1 0.59 (0.38) 0.60 (0.36) 0.63 (0.40) 0.65 (0.40)
2 0.42 (0.31) 0.43 (0.35) 0.42 (0.37) 0.45 (0.37)
3 0.62 (0.37) 0.64 (0.42) 0.68 (0.43) 0.72 (0.47)
4 0.63 (0.44) 0.65 (0.47) 0.71 (0.51) 0.74 (0.53)
Note: Bold type= significant values for a significance level ␣ = 5%.

Table 4. Pearson and Kendall’s ␶ 共in Brackets兲 Correlation Coefficient between EB Series 共Averaged over 1 – 4 Months兲 and Palmer Series Simultaneous
and Shifted 1, 2, or 3 Months Ahead
Palmer
EB averaging scale h
Period Month 共month兲 Same month 1 month ahead 2 months ahead 3 months ahead
1955–1999 June 1 −0.23 共−0.06兲 −0.17 共−0.02兲 −0.22 共−0.09兲 −0.21 共−0.16兲
2 −0.08 共−0.05兲 −0.06 共−0.04兲 −0.13 共−0.13兲 −0.16 共−0.19兲
3 −0.04 共0.02兲 0.02 共0.07兲 −0.06 共−0.01兲 −0.03 共−0.04兲
4 −0.16 共−0.02兲 −0.14 共−0.01兲 −0.19 共−0.06兲 −0.13 共−0.07兲
1970–1999 June 1 −0.29 共−0.04兲 −0.23 共−0.05兲 −0.28 共−0.11兲 −0.24 共−0.15兲
2 −0.09 共−0.01兲 −0.11 共−0.07兲 −0.17 共−0.17兲 −0.14 共−0.18兲
3 −0.13 共0.04兲 −0.10 共0.01兲 −0.13 共−0.07兲 −0.05 共−0.04兲
4 −0.27 共0.01兲 −0.30 共−0.05兲 −0.29 共−0.07兲 −0.17 共−0.05兲
1980-1999 June 1 −0.19 共0.00兲 −0.13 共−0.02兲 −0.20 共−0.01兲 −0.25 共−0.12兲
2 −0.05 共0.08兲 −0.10 共−0.07兲 −0.20 共−0.13兲 −0.24 共−0.18兲
3 −0.06 共0.09兲 −0.04 共−0.01兲 −0.11 共−0.08兲 −0.06 共−0.08兲
4 −0.11 共0.11兲 −0.12 共0.00兲 −0.18 共−0.04兲 −0.11 共−0.02兲

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J. Hydrol. Eng., 2009, 14(6): 588-595

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Fig. 1. R2 between observed and predicted PHDI by using the
two proposed approaches for the months of January–March 共time
horizon= 1 , 2 , 3 , 4 months ahead兲
period considered coincides with the last three or two decades
and, generally, as the averaged period coincides with 3 or
4 months. The null hypothesis of no correlation is rejected at
␣ = 5% significance level using Student’s t-test or the Kendall’s ␶
test for most of the values, especially those corresponding to the
last decades.
Nevertheless, different results have been obtained for different
months of the year. For example, in Table 4 Pearson and Ken-
dall’s correlation coefficients obtained through the correlation
analysis between PHDI and the NAO index series for the month
of June are shown. It can be inferred that the correlation in this
case is rather poor.
Higher values of correlation generally correspond to the
months from January to March for the NAO index and January
to March and September to November for the EB.
Such a kind of correlation can be justified by the fact that over
the past three decades during the winters the Oscillation has re-
mained in one extreme phase and both precipitation and tempera-
ture values have revealed a negative trend over Southern Europe
and the Mediterranean 共Hurrel, 1995兲.
From a qualitative point of view, the significant correlations
shown in Tables 2 and 3 allow one to consider the NAO and EB
indexes as potential candidates to be included as exogenous vari-
ables within a forecasting model for Palmer series.
Application of the Model
The prediction of monthly Palmer index values has been per-
formed for up to 4 months into the future by using ANN models.
In particular, first the prediction of the Palmer index at month t
+ k, PHDI共t + k兲, 共k = 1 , . . . , 4兲, has been carried out by selecting as
predictor variable the value of the index in the current month,
PHDI共t兲. The adopted ANNs have one output neuron correspond-
ing to the predicted Palmer index values.
In order to take into account seasonal effects and, at the same
time, to have a calibration set of adequate length, four different
ANNs have been considered, each valid for a 3 month period
within the year 共namely January–March, April–June, etc.兲. Fur-
ther, two forecasting schemes have been adopted to forecast at
different time horizons. In the first scheme, named the Direct
approach, different ANNs have been developed for each forecast-
ing horizon k. In the second scheme, named the Iterative ap-
proach, ANNs able to predict 1 month ahead have been
592 / JOURNAL OF HYDROLOGIC ENGINEERING © ASCE / JUNE 2009
J. Hydrol. Eng., 2009, 14(6): 588-595
Fig. 2. R2 between observed and predicted PHDI by using the
two proposed approaches for the months of July–September 共time
horizon= 1 , 2 , 3 , 4 months ahead兲
considered, and forecasted values are then used as input to fore-
cast at k ⬎ 1. Thus, in the first scheme the model predictions are
based on the observed values of the input variables even if
far away in time, whereas, in the second scheme, predictions for
k ⬎ 1 are based on the Palmer index values estimated for the
previous time step.
The simultaneous observation period for all the adopted in-
dexes is 1955–1999. In order to take into account the higher cor-
relation observed in the last decades and, at the same time, to
ensure a sufficient number of available data for model calibration,
the period 1970–1999 has been chosen for further analyses. The
choice of such a period could represent a limitation for the long-
term forecasting capability of the model, namely for cases when
climatic conditions are similar to those observed on the period
1955–1969.
The selected period has been preliminarily divided into a cali-
bration set 共1970–1989兲 and a validation set 共1990–1999兲.
After training the networks, the Nash–Sutcliffe R2 criteria
共Nash and Sutcliffe 1970兲 for assessing the agreement between
observed and predicted Palmer index values has been computed
with reference to the calibration and validation sets.
The obtained R2 for the months of January–March considering
the two proposed forecasting approaches are shown in Fig. 1.
Obviously, the two approaches coincide for Lag 1 and there-
fore the corresponding R2 are the same. However, as the lag in-
creases, the Iterative model seems to improve the predictive
capability with respect to the Direct model, in particular for Lags
3 and 4. Similar results, not shown here, related to the predictive
capability of the two adopted forecasting approaches, have been
obtained for the months of October–December.
Different results have been observed for the months of July–
September as shown in Fig. 2.
For this period of the year the Iterative model, in fact, exhibits
a slightly worse predictive capability than the Direct model for
Lags 3 and 4. The same results, showing the similar predictive
capability of the two adopted forecasting approaches, have been
obtained for the months of April–June.
The comparison of the two forecasting approaches reveals that
none of them appears preferable to the other. Although, in prin-
ciple, the Iterative approach should be preferred due to its parsi-
mony of parameters, it appears inapplicable to cases in which
different predictors, besides past values of PHDI index, are
adopted, such as climatic indexes.
Downloaded from ascelibrary.org by Universidad Politecnica De Valencia on 06/05/19. Copyright ASCE. For personal use only; all rights reserved.
Fig. 3. R2 between observed and predicted PHDI by using the
ANN model for the months of January–March 共time horizon
= 1 , 2 , 3 , 4 months ahead, Direct approach兲
Thus, an extension of the Direct model is proposed here in
order to include information deriving from large scale climatic
indexes and to assess whether considering the information of
NAO and EB indexes leads to improvements in forecasting PHDI
values. A similar extension of the Iterative model has not been
implemented as it would require the use of other models to fore-
cast future NAO and EB values.
Next, prediction of the PHDI共t + k兲 was carried out by select-
ing as predictor variables PHDI共t兲 and NAO共t兲 or PHDI共t兲 and
EB共t兲. On the basis of the preliminary correlation analysis, both
NAO and EB have been averaged over the previous 4 months.
Further, in order to assess whether increases in R2 obtained
when NAO and/or EB are considered as exogenous variables are
due to the higher number of model parameters or to an effective
dependence between the Palmer values in Sicily and the climatic
indexes, R2 confidence intervals have been computed through a
Monte Carlo procedure. More specifically, 100 NAO series and
100 EB series uncorrelated with the observed Palmer series have
been generated and the corresponding 100 ANN predictions and
the associated R2 values have been computed for the proposed
models. Confidence intervals at 10% significance level have then
been estimated by considering the lower and upper 5% sample
quantiles of the R2 series. Thus, if R2 computed on observed
series lie above the upper confidence limits, the better predictive
capabilities of the models are presumably due to an effective in-
fluence of the NAO and EB indexes and not to the higher number
of model parameters.
The computed R2 corresponding to the ANNs for the months
of January–March considering different input variables are pre-
sented in Fig. 3. Also in Fig. 3, the values of R2 obtained through
application of ANNs having only PHDI共t兲 as the predictor vari-
able, following the Direct approach, are also shown.
For each model, observed R2 values are reported as bars,
whereas the intervals between the lower and upper 5% quantiles
of generated R2 values are indicated as black lines.
From Fig. 3 the following considerations can be made. First,
including climatic indexes as predictor variables leads to an im-
provement of the predictive capability for the months of January–
March. This is particularly evident for the case when the EB
index is taken into account and for increasing forecasting time
horizon.
Further, the R2 values obtained through the models with EB or
NAO as predictor variables always lie above the upper confidence
limit thus indicating that the improvement in prediction ability
JOURNAL OF HYDROLOGIC ENGINEERING © ASCE / JUNE 2009 / 593
J. Hydrol. Eng., 2009, 14(6): 588-595
Fig. 4. R2 between observed and predicted PHDI by using the
ANN model for the months of July–September 共time horizon
= 1 , 2 , 3 , 4 months ahead, Direct approach兲
when climatic indexes are included in the model is significant.
Similar results 共here not shown for brevity兲 have been obtained
for the months of October–December.
Nonetheless, different results have been observed for the
months of July–September as shown in Fig. 4.
For this period of the year, considering the climatic indexes as
predictor variables does not improve significantly the predictive
capabilities of the model with respect to the case when only cur-
rent value of Palmer index is taken into account.
Indeed, although some small differences in R2 can be ob-
served, the R2 values obtained through the models having EB or
NAO as predictor variable generally lie within the confidence
intervals. This was somehow expected, due to the limited corre-
lation observed between Palmer index and climatic indexes in
such months.
Similar results, indicating no influence of climatic indexes
on forecasting PHDI, have been obtained for the months of April–
June.
Finally, Fig. 5 illustrates the observed and forecasted PHDI
time series at Lag 3 related to the months of January–March. The
plot confirms from a qualitative point of view the better predictive
capability obtained through the application of the model based on
the EB index with respect to the model based only on the PHDI
index or the one based on NAO index.
Fig. 6 illustrates the observed and forecasted PHDI time series
at Lag 2 related to the months of July–September 共validation
period兲. From Fig. 6 the very similar predictive capability of all
investigated models is confirmed.
Conclusions
Advances in understanding the influence of large-scale climatic
patterns on the climate in a region can potentially contribute to a
better forecast of drought conditions. In the present paper an at-
tempt is made to verify whether the use of the North Atalantic
Oscillation and European Blocking indexes could improve fore-
casting of Palmer PHDI index, with reference to the Sicily region.
First, the influence of NAO and EB indexes on Palmer index
series, computed on areal monthly precipitation from 1955 until
1999 in Sicily, has been investigated by means of a correla-
tion analysis. Results indicate that NAO series are significantly
anticorrelated with Palmer index series for winter months and
especially in the last decades. The EB series are significantly
Downloaded from ascelibrary.org by Universidad Politecnica De Valencia on 06/05/19. Copyright ASCE. For personal use only; all rights reserved.

Fig. 5. Observed and predicted PHDI varying the ANNs models for the months of January–March 共validation phase, Direct approach兲

correlated with Palmer index series both for winter and autumn
months and especially in the last decades.
The prediction of the PHDI index for up to 4 months ahead
was, at first, carried out by adopting as predictor variable the
observed index in the previous months.
Two forecasting schemes have been adopted to forecast at
different time horizons. In the first scheme, named the Direct
approach, different ANNs have been developed for each forecast-
ing horizon. In the second scheme, named the Iterative approach,
ANNs able to predict 1 month ahead have been considered, and
forecasted values are then used as input to forecast at lag ⬎1.
The comparison between the two forecasting schemes has
shown some improvements in terms of predictive capability
when the Iterative approach for the winter and autumn months
is applied. No significant differences in predictive quality for
the other months have been obtained varying the forecasting
approaches.
Therefore, the information provided by NAO and EB indexes
has been included, following the Direct approach, within a fore-
casting model for the evaluation of the PHDI future values.
The comparison between the prediction for winter and autumn
months 共for which an high correlation between Palmer index and
climatic indexes has been shown兲 obtained by either including or
not including the NAO and EB indexes within the model, indi-
cates some improvements in terms of R2 when the NAO and
especially EB are considered.
A different model behavior has been observed for the spring
and summer predictions, for which no significant improvements
in terms of model predictive capability due to the introduction of
the climatic indexes as input variables have been observed.
The overall conclusion of the paper is that NAO and EB in-
dexes exert some influence on drought evolution in Sicily. Thus,
information provided by such indexes can be usefully adopted to
improve the forecast of drought events in terms of PHDI values
both in autumn and winter period.
Further research is needed to extend the Iterative model in
order to include information deriving from large scale climatic
indexes.

Fig. 6. Observed and predicted PHDI varying the ANNs models for the months of July–September months 共validation phase, Direct
approach兲

594 / JOURNAL OF HYDROLOGIC ENGINEERING © ASCE / JUNE 2009

J. Hydrol. Eng., 2009, 14(6): 588-595

 Acknowledgments
The present research has been developed with the partial financial
support of the Italian project MIUR PRIN 2005 “Drought indexes
forecasting and definition of water supply systems operating
rules.” In particular, the writers acknowledgement Dr. Carlo Cac-
ciamani 共ARPA Emilia Romagna兲 for his contributions and for
the information provided about climatic indexes.
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