Detecting breaks in the dependence of multivariate extreme-value distributions
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Date
2015
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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.
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Keywords
copula, sequential empirical processes, resampling, Pickands dependence function, multivariate block maxima, hydrological applications