The paper introduces a graphical conditional extreme value model with asymmetric Gaussian residuals that captures both asymptotic dependence and independence and supports stepwise inference in high dimensions.
Empirical and model-based estimated for χi,j(u) are obtained for i, j∈ V , i > j, and u ∈ {0.8, 0.85, 0.9}, where V = {1,
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Conditional Extremes with Graphical Models
The paper introduces a graphical conditional extreme value model with asymmetric Gaussian residuals that captures both asymptotic dependence and independence and supports stepwise inference in high dimensions.