Modelling multivariate extreme value distributions via Markov trees | Vidéo | Carmin.tv

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Modelling multivariate extreme value distributions via Markov trees

De Johan Segers

Apparaît dans la collection : Adaptive and High-Dimensional Spatio-Temporal Methods for Forecasting / Méthodes spatio-temporelles adaptatives et en grande dimension pour la prédiction

Multivariate extreme value distributions are a common choice for modelling multivariate extremes. In high dimensions, however, the construction of flexible and parsimonious models is challenging. We propose to combine bivariate extreme value distributions into a Markov random field with respect to a tree. Although in general not an extreme value distribution itself, this Markov tree is attracted by a multivariate extreme value distribution. The latter serves as a tree-based approximation to an unknown extreme value distribution with the given bivariate distributions as margins. Given data, we learn an appropriate tree structure by Prim's algorithm with estimated pairwise upper tail dependence coefficients or Kendall's tau values as edge weights. The distributions of pairs of connected variables can be fitted in various ways. The resulting tree-structured extreme value distribution allows for inference on rare event probabilities, as illustrated on river discharge data from the upper Danube basin.

Informations sur la vidéo

Date de captation 26/09/2022
Date de publication 10/10/2022
Institut CIRM
Licence CC BY NC ND
Langue Anglais
Audience Chercheurs, Doctorants
Réalisateur(s) Luca Recanzone
Format MP4

Données de citation

DOI 10.24350/CIRM.V.19961603
Citer cette vidéo Segers, Johan (26/09/2022). Modelling multivariate extreme value distributions via Markov trees. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.19961603
URL https://dx.doi.org/10.24350/CIRM.V.19961603

Domaine(s)

Méthodologie

Bibliographie

HU, Shuang, PENG, Zuoxiang, et SEGERS, Johan. Modelling multivariate extreme value distributions via Markov trees. arXiv preprint arXiv:2208.02627, 2022. - https://arxiv.org/abs/2208.02627
ASENOVA, Stefka et SEGERS, Johan. Extremes of Markov random fields on block graphs. arXiv preprint arXiv:2112.04847, 2021. - https://doi.org/10.48550/arXiv.2112.04847

Codes MSC

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