Sparse regular variation
From MaRDI portal
Publication:5013249
DOI10.1017/apr.2021.14zbMath1479.62032arXiv1907.00686OpenAlexW3215539222MaRDI QIDQ5013249
Olivier Wintenberger, Nicolas Meyer
Publication date: 29 November 2021
Published in: Unnamed Author (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1907.00686
Estimation in multivariate analysis (62H12) Inference from stochastic processes and spectral analysis (62M15) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Bayesian model averaging for multivariate extremes
- Fast projection onto the simplex and the \(l_1\) ball
- Estimating a multidimensional extreme-value distribution
- Bivariate extreme statistics. I
- Asymptotic independence and support detection techniques for heavy-tailed multivariate data
- Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion
- Estimating the spectral measure of an extreme value distribution
- Bayesian Dirichlet mixture model for multivariate extremes: a re-parametrization
- Robust bounds in multivariate extremes
- Nonparametric estimation of the spectral measure of an extreme value distribution.
- Principal component analysis for multivariate extremes
- \(k\)-means clustering of extremes
- Dimension reduction in multivariate extreme value analysis
- Identifying groups of variables with the potential of being large simultaneously
- Sparse representation of multivariate extremes with applications to anomaly detection
- Max-stable models for multivariate extremes
- A New Class of Models for Bivariate Joint Tails
- Statistics for near independence in multivariate extreme values
- Non-Parametric Bayesian Inference on Bivariate Extremes
- Statistics of Extremes
- Determining the dependence structure of multivariate extremes
- A Mixture Model for Multivariate Extremes
- Heavy-Tail Phenomena
- Decompositions of dependence for high-dimensional extremes
This page was built for publication: Sparse regular variation
