Detecting distributional changes in samples of independent block maxima using probability weighted moments

DOI10.1007/S10687-016-0273-1zbMath1382.62025arXiv1507.06121OpenAlexW2395191307WikidataQ116752776 ScholiaQ116752776MaRDI QIDQ1675709

Philippe Naveau, Ivan Kojadinovic

Publication date: 2 November 2017

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.06121

zbMATH Keywords

weighted empirical processgeneralized extreme value distributionblock maximacumulative sum statistics (CUSUM)probability weighted moment estimator

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to environmental and related topics (62P12) Statistics of extreme values; tail inference (62G32)

Related Items (2)

On the disjoint and sliding block maxima method for piecewise stationary time series ⋮ Statistics for heteroscedastic time series extremes

Uses Software

• R
• ismev
• evd
• npcp

Cites Work

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• Return level bounds for discrete and continuous random variables
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• Extremes and related properties of random sequences and processes
• Weak convergence and empirical processes. With applications to statistics
• Nonparametric tests for change-point detection à la Gombay and Horváth
• On the block maxima method in extreme value theory: PWM estimators
• Introduction to empirical processes and semiparametric inference
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Time Series Regression with a Unit Root

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