Benutzer: Gast  Login
Titel:

Block-Maxima of Vines

Dokumenttyp:
Zeitungsartikel
Autor(en):
Killiches, M. and Czado, C.
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...     »
Stichworte:
Multivariate copula, vine copulas, finite block-maxima, scaled block-maxima, extreme-value scaling
Zeitschriftentitel:
Extreme Value Modeling and Risk Analysis - Methods and Applications (Dipak K. Dey and Jun Yan)
Jahr:
2015
Jahr / Monat:
2015-12
Quartal:
4. Quartal
Monat:
Dec
Heft / Issue:
nicht anwendbar - Kapitel 6
Reviewed:
ja
Sprache:
en
Verlag / Institution:
Chapman and Hall/CRC
Print-ISSN:
978-1-4987-0129-7
Status:
Erstveröffentlichung
Angenommen (von Zeitschrift):
16.01.2015
Publikationsdatum:
21.12.2015
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
 BibTeX