Estimating an extreme Bayesian network via scalings

DOI10.1016/j.jmva.2020.104672zbMath1461.62083arXiv1912.03968OpenAlexW3087358024MaRDI QIDQ2657186

Mario Krali, Claudia Klüppelberg

Publication date: 12 March 2021

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.03968

zbMATH Keywords

regular variationdirected acyclic graphBayesian networkgraphical modelstructural equation modelstructure learningextreme value statisticscausal orderrecursive max-linear model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to biology and medical sciences; meta analysis (62P10) Applications of graph theory (05C90) Order statistics; empirical distribution functions (62G30) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Large deviations (60F10) Probabilistic graphical models (62H22) Graphical methods in numerical analysis (65S05) Algebraic statistics (62R01)

Related Items

Causality in extremes of time series, Causal modelling of heavy-tailed variables and confounders with application to river flow, Recursive max-linear models with propagating noise, Tail probabilities of random linear functions of regularly varying random vectors, Conditional independence in max-linear Bayesian networks

Uses Software

• R

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A continuous updating weighted least squares estimator of tail dependence in high dimensions
• Dense classes of multivariate extreme value distributions
• An M-estimator for tail dependence in arbitrary dimensions
• Extremal dependence measure and extremogram: the regularly varying case
• Max-linear models on directed acyclic graphs
• Copula structure analysis based on extreme dependence
• \(k\)-means clustering of extremes
• Dimension reduction in multivariate extreme value analysis
• The Extremal Dependence Measure and Asymptotic Independence
• Statistics of Extremes
• Graphical Models for Extremes
• Heavy-Tail Phenomena
• The Transitive Reduction of a Directed Graph
• An M-Estimator of Spatial Tail Dependence
• Decompositions of dependence for high-dimensional extremes