Autor(en): | Bücher, Axel Kinsvater, Paul Kojadinovic, Ivan |
Titel: | Detecting breaks in the dependence of multivariate extreme-value distributions |
Sprache (ISO): | en |
Zusammenfassung: | 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. |
Schlagwörter: | 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 |
Erscheinungsdatum: | 2015 |
Enthalten in den Sammlungen: | Sonderforschungsbereich (SFB) 823 |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
---|---|---|---|---|
DP_1215_SFB823_Bücher_Kinsvater_Kojadinovic.pdf | DNB | 520.05 kB | Adobe PDF | Öffnen/Anzeigen |
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