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

Extremes

Volumn 17, Issue 3, 2014, Pages 495-528

  Bücher, Axel ^a   Segers, Johan ^b  

^a UNIVERSITY OF HEIDELBERG   (Germany)

^b UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

Author keywords

Absolutely regular process; Block maxima method; Empirical copula process; Extreme value copula; Pickands dependence function; Stationary time series; Weak convergence

Indexed keywords

EID: 84957429902     PISSN: 13861999     EISSN: 1572915X     Source Type: Journal    
DOI: 10.1007/s10687-014-0195-8     Document Type: Article

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