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Extreme value copula estimation based on block maxima of a multivariate stationary time series

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  • Bucher, Axel
  • Segers, Johan

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  • Bucher, Axel & Segers, Johan, 2014. "Extreme value copula estimation based on block maxima of a multivariate stationary time series," LIDAM Reprints ISBA 2014019, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2014019
    Note: In : Extremes : statistical theory and applications in science, engineering and economics, vol. 17, p. 495-528 (2014)
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    Cited by:

    1. Einmahl, John & Kiriliouk, A. & Segers, J.J.J., 2016. "A Continuous Updating Weighted Least Squares Estimator of Tail Dependence in High Dimensions," Other publications TiSEM a3e7350b-4773-4bd8-9c3c-6, Tilburg University, School of Economics and Management.
    2. Bucher, Axel & Segers, Johan, 2017. "Inference for heavy tailed stationary time series based on sliding blocks," LIDAM Discussion Papers ISBA 2017018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    3. Berghaus, Betina & Segers, Johan, 2018. "Weak convergence of the weighted empirical beta copula process," Journal of Multivariate Analysis, Elsevier, vol. 166(C), pages 266-281.
    4. Bucher, Axel & Segers, Johan, 2015. "Maximum likelihood estimation for the Frechet distribution based on block maxima extracted from a time series," LIDAM Discussion Papers ISBA 2015023, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    5. Bücher, Axel & Kojadinovic, Ivan & Rohmer, Tom & Segers, Johan, 2014. "Detecting changes in cross-sectional dependence in multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 132(C), pages 111-128.
    6. Bücher, Axel & Volgushev, Stanislav & Zou, Nan, 2019. "On second order conditions in the multivariate block maxima and peak over threshold method," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 604-619.
    7. Zou, Nan, 2023. "Reweighted madogram-type estimator of Pickands dependence function," Statistics & Probability Letters, Elsevier, vol. 195(C).

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