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Document type:
Zeitungsartikel 
Author(s):
Killiches, M. and Czado, C. 
Title:
Block-Maxima of Vines 
Abstract:
We examine the dependence structure of finite block-maxima of multivariate distributions. We provide a closed form expression for the copula density of the vector of the block-maxima. Further, we show how partial derivatives of three-dimensional vine copulas can be obtained by only one-dimensional integration. Combining these results allows the numerical treatment of the block-maxima of any three-dimensional vine copula for finite block-sizes. We look at certain vine copula specifications and ex...    »
 
Keywords:
Multivariate copula, vine copulas, finite block-maxima, scaled block-maxima, extreme-value scaling 
Journal title:
Extreme Value Modeling and Risk Analysis - Methods and Applications (Dipak K. Dey and Jun Yan) 
Year:
2015 
Year / month:
2015-12 
Quarter:
4. Quartal 
Month:
Dec 
Journal issue:
nicht anwendbar - Kapitel 6 
Reviewed:
ja 
Language:
en 
WWW:
_blank 
Publisher:
Chapman and Hall/CRC 
Print-ISSN:
978-1-4987-0129-7 
Status:
Erstveröffentlichung 
Accepted:
16.01.2015 
Date of publication:
21.12.2015 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text