Total positivity in multivariate extremes
From MaRDI portal
Publication:6136578
Abstract: Positive dependence is present in many real world data sets and has appealing stochastic properties that can be exploited in statistical modeling and in estimation. In particular, the notion of multivariate total positivity of order 2 () is a convex constraint and acts as an implicit regularizer in the Gaussian case. We study positive dependence in multivariate extremes and introduce , an extremal version of . This notion turns out to appear prominently in extremes, and in fact, it is satisfied by many classical models. For a H"usler--Reiss distribution, the analogue of a Gaussian distribution in extremes, we show that it is if and only if its precision matrix is a Laplacian of a connected graph. We propose an estimator for the parameters of the H"usler--Reiss distribution under as the solution of a convex optimization problem with Laplacian constraint. We prove that this estimator is consistent and typically yields a sparse model with possibly nondecomposable extremal graphical structure. Applying our methods to a data set of Danube River flows, we illustrate this regularization and the superior performance compared to existing methods.
Recommendations
- scientific article; zbMATH DE number 3896082
- Extremes for multivariate expectiles
- Inequalities for the extremal coefficients of multivariate extreme value distributions
- Multivariate extremes over a random number of observations
- scientific article; zbMATH DE number 34422
- Statistics of Multivariate Extremes
- scientific article; zbMATH DE number 3885130
- scientific article; zbMATH DE number 4100427
Cites work
- scientific article; zbMATH DE number 469373 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 1134987 (Why is no real title available?)
- scientific article; zbMATH DE number 1865935 (Why is no real title available?)
- scientific article; zbMATH DE number 6125590 (Why is no real title available?)
- scientific article; zbMATH DE number 5242364 (Why is no real title available?)
- A Conditional Approach for Multivariate Extreme Values (with Discussion)
- A dependence measure for multivariate and spatial extreme values: Properties and inference
- A folded Laplace distribution
- A general central limit theorem for FKG systems
- An \(M\)-estimator of spatial tail dependence
- Association of Random Variables, with Applications
- Brownian motion tree models are toric
- Causal discovery in heavy-tailed models
- Causality. Models, reasoning, and inference
- Classes of orderings of measures and related correlation inequalities. I. Multivariate totally positive distributions
- Conditional association and unidimensionality in monotone latent variable models
- Conditional independence among max-stable laws
- Correlation inequalities on some partially ordered sets
- Decompositions of dependence for high-dimensional extremes
- Dependence in elliptical partial correlation graphs
- Dependence measures for extreme value analyses
- Dependence modelling for spatial extremes
- Differentiating the pseudo determinant
- Domains of attraction of multivariate extreme value distributions
- Effective resistance is more than distance: Laplacians, simplices and the Schur complement
- Estimation of Hüsler–Reiss Distributions and Brown–Resnick Processes
- Estimation of positive definite M-matrices and structure learning for attractive Gaussian Markov random fields
- Exact simulation of max-stable processes
- Extremal dependence measure and extremogram: the regularly varying case
- Extremal dependence of random scale constructions
- Extreme value theory. An introduction.
- Extremes on river networks
- Factor copula models for replicated spatial data
- Geometry of cuts and metrics
- Graphical Models for Extremes
- Graphical models, exponential families, and variational inference
- High-dimensional covariance estimation by minimizing \(\ell _{1}\)-penalized log-determinant divergence
- Inference on extremal dependence in the domain of attraction of a structured Hüsler-Reiss distribution motivated by a Markov tree with latent variables
- Interpolation of scattered data: distance matrices and conditionally positive definite functions
- Inverse M-matrices and ultrametric matrices
- Latent tree models
- Limit theory for multivariate sample extremes
- Locally associated graphical models and mixed convex exponential families
- Markov chain models for threshold exceedances
- Maxima of normal random vectors: Between independence and complete dependence
- Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion
- Maximum likelihood estimation for totally positive log-concave densities
- Maximum likelihood estimation in Gaussian models under total positivity
- Model selection through sparse maximum likelihood estimation for multivariate Gaussian or binary data
- Modelling multivariate extreme value distributions
- Multivariate generalized Pareto distributions
- OSQP: an operator splitting solver for quadratic programs
- One- versus multi-component regular variation and extremes of Markov trees
- Optimization Algorithms for Graph Laplacian Estimation via ADMM and MM
- Phylogenetic trees and Euclidean embeddings
- Positive loadings and factor correlations from positive covariance matrices
- Positively correlated normal variables are associated
- Principal component analysis for multivariate extremes
- Properties of Euclidean and non-Euclidean distance matrices
- Recent developments in discrete convex analysis
- Regular conditional distributions of continuous max-infinitely divisible random fields
- Simplicial matrix-tree theorems
- Some characterizations of symmetric inverse M-matrices
- Spherical clustering in detection of groups of concomitant extremes
- Structure Learning for Extremal Tree Models
- Total positivity in Markov structures
- Total positivity in exponential families with application to binary variables
- Total positivity in multivariate extremes
- Unifying Markov properties for graphical models
- Variograms for spatial max-stable random fields
Cited in
(3)
This page was built for publication: Total positivity in multivariate extremes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6136578)
