Recursive max-linear models with propagating noise

DOI10.1214/21-EJS1903zbMath1471.62353arXiv2003.00362MaRDI QIDQ2233590

Claudia Klüppelberg, Johannes J. Buck

Publication date: 11 October 2021

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2003.00362

zbMATH Keywords

extreme value analysis; regular variation; directed acyclic graph; Bayesian network; graphical model; max-linear model; noisy model

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60G70: Extreme value theory; extremal stochastic processes

62G32: Statistics of extreme values; tail inference

62H22: Probabilistic graphical models

Uses Software

• TETRAD