Dimension reduction in multivariate extreme value analysis

DOI10.1214/15-EJS1002zbMath1308.62121MaRDI QIDQ2263712

Emilie Chautru

Publication date: 19 March 2015

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

Full work available at URL: https://projecteuclid.org/euclid.ejs/1426611768

zbMATH Keywords

multivariate extremesdimension reductionmixture modellatent variableextreme dependenceangular/spectral measure

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Statistics of extreme values; tail inference (62G32)

Related Items (7)

Estimating an extreme Bayesian network via scalings ⋮ \(k\)-means clustering of extremes ⋮ Tail inverse regression: dimension reduction for prediction of extremes ⋮ Principal component analysis for multivariate extremes ⋮ Bayesian Model Averaging Over Tree-based Dependence Structures for Multivariate Extremes ⋮ A multivariate extreme value theory approach to anomaly clustering and visualization ⋮ Sparse regular variation

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