B0533
Title: Detecting breaks in the dependence of multivariate extreme-value distributions
Authors: Axel Buecher - Ruhr-Universitaet Bochum (Germany)
Paul Kinsvater - TU Dortmund University (Germany) [presenting]
Ivan Kojadinovic - CNRS UMR 5142 LMA University of Pau (France)
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 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.
