Detecting breaks in the dependence of multivariate extreme-value distributions

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.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.identifier.uri	http://hdl.handle.net/2003/34072
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-7306
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

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