, Volume 20, Issue 1, pp 53–89 | Cite as

Detecting breaks in the dependence of multivariate extreme-value distributions

  • Axel BücherEmail author
  • Paul Kinsvater
  • Ivan Kojadinovic


In environmental sciences, it is often of interest to assess whether the dependence between extreme measurements has changed during the observation period. The aim of this work is to propose a statistical test that is particularly sensitive to such changes. The resulting procedure is also extended to allow the detection of changes in the extreme-value dependence under the presence of known breaks in the marginal distributions. Simulations are carried out to study the finite-sample behavior of both versions of the proposed test. Illustrations on hydrological data sets conclude the work.


Copula Hydrological applications Multivariate block maxima Pickands dependence function Resampling Sequential empirical processes 

AMS 2000 Subject Classifications

62G10 62H15 


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Copyright information

© Springer Science+Business Media New York 2016

Authors and Affiliations

  • Axel Bücher
    • 1
    Email author
  • Paul Kinsvater
    • 2
  • Ivan Kojadinovic
    • 3
  1. 1.Fakultät für MathematikRuhr-Universität BochumBochumGermany
  2. 2.Fakultät StatistikTechnische Universität DortmundDortmundGermany
  3. 3.Université de Pau et des Pays de l’AdourLaboratoire de mathématiques et applications, UMR CNRS 5142Pau CedexFrance

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