28.01.2019 15:00 Axel Bücher:
Extreme Value Analysis of Multivariate Time Series: Multiple Block sizes and Overlapping BlocksBC1 2.02.01 (Parkring 11, 85748 Garching)
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.