Sparse regular variation
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Publication:5013249
Abstract: Regular variation provides a convenient theoretical framework to study large events. In the multivariate setting, the dependence structure of the positive extremes is characterized by a measure - the spectral measure - defined on the positive orthant of the unit sphere. This measure gathers information on the localization of extreme events and has often a sparse support since severe events do not simultaneously occur in all directions. However, it is defined through weak convergence which does not provide a natural way to capture this sparsity structure.In this paper, we introduce the notion of sparse regular variation which allows to better learn the dependence structure of extreme events. This concept is based on the Euclidean projection onto the simplex for which efficient algorithms are known. We prove that under mild assumptions sparse regular variation and regular variation are two equivalent notions and we establish several results for sparsely regularly varying random vectors. Finally, we illustrate on numerical examples how this new concept allows one to detect extremal directions.
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Cited in
(6)- Regularity properties for sparse regression
- Regular variation in Hilbert spaces and principal component analysis for functional extremes
- Concentration bounds for the empirical angular measure with statistical learning applications
- Tail inverse regression: dimension reduction for prediction of extremes
- Sparse representation of multivariate extremes with applications to anomaly detection
- Multivariate Sparse Clustering for Extremes
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