One- versus multi-component regular variation and extremes of Markov trees

DOI10.1017/APR.2020.22zbMath1473.60086arXiv1902.02226OpenAlexW3087838215MaRDI QIDQ5005037

Johan Segers

Publication date: 4 August 2021

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.02226

zbMATH Keywords

regular variationconditional independencePickands dependence functiongraphical modelHüsler-Reiss distributionmultivariate Pareto distributionmax-linear modelMarkov treetail measuretime change formulatail treeroot change formula

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (6)

Tail measures and regular variation ⋮ Total positivity in multivariate extremes ⋮ Extremes of Markov random fields on block graphs: max-stable limits and structured Hüsler-Reiss distributions ⋮ Inference on extremal dependence in the domain of attraction of a structured Hüsler-Reiss distribution motivated by a Markov tree with latent variables ⋮ Max-linear graphical models with heavy-tailed factors on trees of transitive tournaments ⋮ Regular variation in Hilbert spaces and principal component analysis for functional extremes

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