论文标题
在多元极端的本地公制财产上
On the local metric property in multivariate extremes
论文作者
论文摘要
许多多元数据集表现出一种正依赖性形式,可以在所有变量之间或仅在特定亚组中本地出现。允许局部阳性的积极依赖性的流行概念是积极的关联。在这项工作中,我们介绍了从阈值超出阈值的多元极端的极端正相关的概念。通过极端关联的足够条件,我们表明极端关联概括了极端树模型。对于Hüsler-reiss发行的足够条件允许我们称为公制属性的参数描述。作为Hüsler-Reiss分布的参数是欧几里得距离矩阵,公制属性与电网理论和欧几里得几何学的研究有关。我们表明,公制性能可以针对图和研究替代可能性推断进行定位。这导致了局部公制的Hüsler-Reiss图形模型的两步估计程序。第二步允许一个简单的双重问题,该问题是通过梯度下降算法实现的。最后,我们在模拟和真实数据上演示了结果。
Many multivariate data sets exhibit a form of positive dependence, which can either appear globally between all variables or only locally within particular subgroups. A popular notion of positive dependence that allows for localized positivity is positive association. In this work we introduce the notion of extremal positive association for multivariate extremes from threshold exceedances. Via a sufficient condition for extremal association, we show that extremal association generalizes extremal tree models. For Hüsler--Reiss distributions the sufficient condition permits a parametric description that we call the metric property. As the parameter of a Hüsler--Reiss distribution is a Euclidean distance matrix, the metric property relates to research in electrical network theory and Euclidean geometry. We show that the metric property can be localized with respect to a graph and study surrogate likelihood inference. This gives rise to a two-step estimation procedure for locally metrical Hüsler--Reiss graphical models. The second step allows for a simple dual problem, which is implemented via a gradient descent algorithm. Finally, we demonstrate our results on simulated and real data.