Authors: Bücher, Axel
Kinsvater, Paul
Kojadinovic, Ivan
Title: Detecting breaks in the dependence of multivariate extreme-value distributions
Language (ISO): en
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.
Subject Headings: copula
sequential empirical processes
resampling
Pickands dependence function
multivariate block maxima
hydrological applications
URI: http://hdl.handle.net/2003/34072
http://dx.doi.org/10.17877/DE290R-7306
Issue Date: 2015
Appears in Collections:Sonderforschungsbereich (SFB) 823

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