This study tests stationary and non-stationary approaches for modelling data series of hydro-meteorological variables. Specifically, the authors considered annual maximum rainfall accumulations observed in the Calabria region (southern Italy), and attention was focused on time series characterized by heavy rainfall events which occurred from 1 January 2000 in the study area. This choice is justified by the need to check if the recent rainfall events in the new century can be considered as very different or not from the events occurred in the past. In detail, the whole data set of each considered time series (characterized by a sample size N > 40 data) was analyzed, in order to compare recent and past rainfall accumulations, which occurred in a specific site. All the proposed models were based on the Two-Component Extreme Value (TCEV) probability distribution, which is frequently applied for annual maximum time series in Calabria. The authors discussed the possible sources of uncertainty related to each framework and remarked on the crucial role played by ergodicity. In fact, if the process is assumed to be non-stationary, then ergodicity cannot hold, and thus possible trends should be derived from external sources, different from the time series of interest: in this work, Regional Climate Models’ (RCMs) outputs were considered in order to assess possible trends of TCEV parameters. From the obtained results, it does not seem essential to adopt non-stationary models, as significant trends do not appear from the observed data, due to a relevant number of heavy events which also occurred in the central part of the last century.