One-component regular variation and graphical modeling of extremes

DOI10.1017/JPR.2016.37MaRDI QIDQ2836228zbMATH OpenOpenAlexFDO

Authors Adrien Hitz, Robin J. Evans

Publication date 9 December 2016

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.03402

zbMATH Keywords

extremesgraphical modelhomogeneous distributionKaramata's theoremmultivariate exceedancesregular variation

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Limit theorems in probability theory (60F99) Extreme value theory; extremal stochastic processes (60G70) Multivariate analysis (62H99)

Abstract: The problem of inferring the distribution of a random vector given that its norm is large requires modeling a homogeneous limiting density. We suggest an approach based on graphical models which is suitable for high-dimensional vectors. We introduce the notion of one-component regular variation to describe a function that is regularly varying in its first component. We extend the representation and Karamata's theorem to one-component regularly varying functions, probability distributions and densities, and explain why these results are fundamental in multivariate extreme-value theory. We then generalize Hammersley-Clifford theorem to relate asymptotic conditional independence to a factorization of the limiting density, and use it to model multivariate tails.

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Cited in

(9)

• \(k\)th-order Markov extremal models for assessing heatwave risks
• Extremes and regular variation
• One- versus multi-component regular variation and extremes of Markov trees
• Sparse regular variation
• Graphical Models for Extremes
• Tail inverse regression: dimension reduction for prediction of extremes
• Regular variation in Hilbert spaces and principal component analysis for functional extremes
• On regression in extreme regions
• Identifying regions of concomitant compound precipitation and wind speed extremes over Europe

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