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Detecting breaks in the dependence of multivariate extreme-value distributions
- Publication Year :
- 2015
-
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.<br />Comment: 32 pages, 5 figures, 2 tables
- Subjects :
- Statistics - Methodology
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.1505.00954
- Document Type :
- Working Paper