28.01.2019 15:00 Axel Bücher:
Extreme Value Analysis of Multivariate Time Series: Multiple Block sizes and Overlapping BlocksBC1 2.02.01 (8101.02.201) (Parkring 11, 85748 Garching-Hochbrück)
The core of the classical block maxima method in (multivariate) extreme value statistics consists of fitting an extreme value distribution to a sample of maxima over blocks extracted from an underlying time series. Traditionally, the maxima are taken over disjoint blocks of observations of a fixed size. Alternatively, the blocks can be chosen to be of varying size and to slide through the observation period, yielding a larger number of overlapping blocks. Nonparametric estimation of extreme value copulas based on sliding blocks is found to be more efficient than estimation based on disjoint blocks.