This paper presents a strategy for diagnosing and interpreting hydrological nonstationarity, aiming to improve hydrological models and their predictive ability under changing hydroclimatic conditions. The strategy consists of four elements: (i) detecting potential systematic errors in the calibration data; (ii) hypothesizing a set of “nonstationary” parameterizations of existing hydrological model structures, where one or more parameters vary in time as functions of selected covariates; (iii) trialing alternative stationary model structures to assess whether parameter nonstationarity can be reduced by modifying the model structure; and (iv) selecting one or more models for prediction. The Scott Creek catchment in South Australia and the lumped hydrological model GR4J are used to illustrate the strategy. Streamflow predictions improve significantly when the GR4J parameter describing the maximum capacity of the production store is allowed to vary in time as a combined function of: (i) an annual sinusoid; (ii) the previous 365 day rainfall and potential evapotranspiration; and (iii) a linear trend. This improvement provides strong evidence of model nonstationarity. Based on a range of hydrologically oriented diagnostics such as flow‐duration curves, the GR4J model structure was modified by introducing an additional calibration parameter that controls recession behavior and by making actual evapotranspiration dependent only on catchment storage. Model comparison using an information‐theoretic measure (the Akaike Information Criterion) and several hydrologically oriented diagnostics shows that the GR4J modifications clearly improve predictive performance in Scott Creek catchment. Based on a comparison of 22 versions of GR4J with different representations of nonstationarity and other modifications, the model selection approach applied in the exploratory period (used for parameter estimation) correctly identifies models that perform well in a much drier independent confirmatory period.

The paper appraises two approaches for the treatment of heteroscedasticity and autocorrelation in residual errors of hydrological models. Both approaches use weighted least squares (WLS), with heteroscedasticity modeled as a linear function of predicted flows and autocorrelation represented using an AR(1) process. In the first approach, heteroscedasticity and autocorrelation parameters are inferred jointly with hydrological model parameters. The second approach is a two‐stage “postprocessor” scheme, where Stage 1 infers the hydrological parameters ignoring autocorrelation and Stage 2 conditionally infers the heteroscedasticity and autocorrelation parameters. These approaches are compared to a WLS scheme that ignores autocorrelation. Empirical analysis is carried out using daily data from 12 US catchments from the MOPEX set using two conceptual rainfall‐runoff models, GR4J, and HBV. Under synthetic conditions, the postprocessor and joint approaches provide similar predictive performance, though the postprocessor approach tends to underestimate parameter uncertainty. However, the MOPEX results indicate that the joint approach can be nonrobust. In particular, when applied to GR4J, it often produces poor predictions due to strong multiway interactions between a hydrological water balance parameter and the error model parameters. The postprocessor approach is more robust precisely because it ignores these interactions. Practical benefits of accounting for error autocorrelation are demonstrated by analyzing streamflow predictions aggregated to a monthly scale (where ignoring daily‐scale error autocorrelation leads to significantly underestimated predictive uncertainty), and by analyzing one‐day‐ahead predictions (where accounting for the error autocorrelation produces clearly higher precision and better tracking of observed data). Including autocorrelation into the residual error model also significantly affects calibrated parameter values and uncertainty estimates. The paper concludes with a summary of outstanding challenges in residual error modeling, particularly in ephemeral catchments.