Detecting breaks in the dependence of multivariate extreme-value distributions-Reference-Cited by-同舟云学术

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Detecting breaks in the dependence of multivariate extreme-value distributions

Published:2016-07-28 Issue:1 Volume:20 Page:53-89
ISSN:1386-1999
Container-title:Extremes
language:en
Short-container-title:Extremes

Author:

Bücher Axel,Kinsvater Paul,Kojadinovic Ivan

Funder

Deutsche Forschungsgemeinschaft

Publisher

Springer Science and Business Media LLC

Subject

Economics, Econometrics and Finance (miscellaneous),Engineering (miscellaneous),Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s10687-016-0268-y.pdf

Reference41 articles.

1. Aue, A., Horváth, L.: Structural breaks in time series. J. Time Series Anal. 34(1), 1–16 (2013)

2. Beirlant, J., Goegebeur, Y., Segers, J., Teugels, J.: Statistics of Extremes: Theory and Applications. Wiley Series in Probability and Statistics. Wiley, Chichester (2004)

3. Bücher, A., Kojadinovic, I.: A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing. Bernoulli 22(2), 927–968 (2016)

4. Bücher, A., Segers, J.: Extreme value copula estimation based on block maxima of a multivariate stationary time series. Extremes 17(3), 495–528 (2014)

5. Bücher, A., Kojadinovic, I., Rohmer, T., Segers, J.: Detecting changes in cross-sectional dependence in multivariate time series. J. Multivariate Anal. 132 (0), 111–128 (2014)

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2. Testing for equality between conditional copulas given discretized conditioning events;Canadian Journal of Statistics;2022-11-15

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