Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Bücher, Axel | - |
dc.contributor.author | Kinsvater, Paul | - |
dc.contributor.author | Kojadinovic, Ivan | - |
dc.date.accessioned | 2015-04-29T10:44:00Z | - |
dc.date.available | 2015-04-29T10:44:00Z | - |
dc.date.issued | 2015 | - |
dc.identifier.uri | http://hdl.handle.net/2003/34072 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-7306 | - |
dc.description.abstract | In environmental sciences, it is often of interest to assess whether the dependence between extreme measurements has changed during the observation period. The aim of this work is to propose a statistical test that is particularly sensitive to such changes. The resulting procedure is also extended to allow the detection of changes in the extreme-value dependence under the presence of known breaks in the marginal distributions. Simulations are carried out to study the finite-sample behavior of both versions of the proposed test. Illustrations on hydrological data sets conclude the work. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB 823;12/2015 | en |
dc.subject | copula | en |
dc.subject | sequential empirical processes | en |
dc.subject | resampling | en |
dc.subject | Pickands dependence function | en |
dc.subject | multivariate block maxima | en |
dc.subject | hydrological applications | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | Detecting breaks in the dependence of multivariate extreme-value distributions | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_1215_SFB823_Bücher_Kinsvater_Kojadinovic.pdf | DNB | 520.05 kB | Adobe PDF | View/Open |
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