Sparse regular variation

DOI10.1017/APR.2021.14zbMATH Open1479.62032arXiv1907.00686OpenAlexW3215539222MaRDI QIDQ5013249FDOQ5013249

Authors: Nicolas Meyer, Olivier Wintenberger 

Publication date: 29 November 2021

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

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.

Full work available at URL: https://arxiv.org/abs/1907.00686

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zbMATH Keywords

multivariate extremesregular variationspectral measure

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Estimation in multivariate analysis (62H12) Inference from stochastic processes and spectral analysis (62M15)

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Cited In (6)

• Tail inverse regression: dimension reduction for prediction of extremes
• Sparse representation of multivariate extremes with applications to anomaly detection
• Regular variation in Hilbert spaces and principal component analysis for functional extremes
• Regularity properties for sparse regression
• Concentration bounds for the empirical angular measure with statistical learning applications
• Multivariate Sparse Clustering for Extremes

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