Multiple block sizes and overlapping blocks for multivariate time series extremes
多元时间序列极值中的多重块长与重叠分块
Block maxima methods constitute a fundamental part of the statistical toolbox in extreme value analysis. However, most of the corresponding theory is derived under the simplifying assumption that block maxima are independent observations from a genuine extreme value distribution. In practice, however, block sizes are finite and observations from different blocks are dependent. Theory respecting the latter complications is not well developed, and, in the multivariate case,…