On the disjoint and sliding block maxima method for piecewise stationary time series
分段平稳时间序列的不重叠与滑动区块最大值方法
Modeling univariate block maxima by the generalized extreme value distribution constitutes one of the most widely applied approaches in extreme value statistics. It has recently been found that, for an underlying stationary time series, respective estimators may be improved by calculating block maxima in an overlapping way. A proof of concept is provided that the latter finding also holds in situations that involve certain piecewise stationarities. A weak convergence result…