相关论文: Extremal independence old and new
Extremal graphical models are sparse statistical models for multivariate extreme events. The underlying graph encodes conditional independencies and enables a visual interpretation of the complex extremal dependence structure. For the…
A central issue in the theory of extreme values focuses on suitable conditions such that the well-known results for the limiting distributions of the maximum of i.i.d. sequences can be applied to stationary ones. In this context, the…
Extreme value analysis is an essential methodology in the study of rare and extreme events, which hold significant interest in various fields, particularly in the context of environmental sciences. Models that employ the exceedances of…
We explore the dependence structure in the sampled sequence of large networks. We consider randomized algorithms to sample the nodes and study extremal properties in any associated stationary sequence of characteristics of interest like…
We introduce a nonparametric graphical model for discrete node variables based on additive conditional independence. Additive conditional independence is a three way statistical relation that shares similar properties with conditional…
The core arguments used in various proofs of the extremal principle and its extensions as well as in primal and dual characterizations of approximate stationarity and transversality of collections of sets are exposed, analyzed and refined,…
Extremal dependence between international stock markets is of particular interest in today's global financial landscape. However, previous studies have shown this dependence is not necessarily stationary over time. We concern ourselves with…
This article proposes a generalized notion of extreme multivariate dependence between two random vectors which relies on the extremality of the cross-covariance matrix between these two vectors. Using a partial ordering on the…
In this article, after recalling and discussing the conventional extremality, local extremality, stationarity and approximate stationarity properties of collections of sets and the corresponding (extended) extremal principle, we focus on…
We propose two model-free, permutation-based tests of independence between a pair of random variables. The tests can be applied to samples from any bivariate distribution: continuous, discrete or mixture of those, with light tails or heavy…
Regularly varying stochastic processes are able to model extremal dependence between process values at locations in random fields. We investigate the empirical extremogram as an estimator of dependence in the extremes. We provide conditions…
We give conditions to prove the existence of an Extremal Index for general stationary stochastic processes by detecting the presence of one or more underlying periodic phenomena. This theory, besides giving general useful tools to identify…
Extreme value statistics provides accurate estimates for the small occurrence probabilities of rare events. While theory and statistical tools for univariate extremes are well-developed, methods for high-dimensional and complex data sets…
The paper proposes another extension of the extremal principle. A new extremality model involving collections of arbitrary families of sets is studied. It generalizes the conventional model based on linear translations of given sets as well…
Accurate modelling of the joint extremal dependence structure within a stationary time series is a challenging problem that is important in many applications.\ Several previous approaches to this problem are only applicable to certain types…
Davis and Mikosch [7] introduced the extremogram as a flexible quantitative tool for measuring various types of extremal dependence in a stationary time series. There we showed some standard statistical properties of the sample extremogram.…
This paper surveys some recent results and progress on the extremal prob- lems in a given set consisting of all simple connected graphs with the same graphic degree sequence. In particular, we study and characterize the extremal graphs…
Decomposable dependency models possess a number of interesting and useful properties. This paper presents new characterizations of decomposable models in terms of independence relationships, which are obtained by adding a single axiom to…
This paper introduces a novel measure to quantify the directional dependence of extreme events between two variables. The proposed approach is designed to capture asymmetric tail dependence by studying conditional tail expectations of…
The field of extreme value statistics is concerned with modeling and predicting rare events. In a H\"usler-Reiss graphical model, a graph represents extremal conditional independence (CI) relations between random variables. These models are…