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.
For computational purposes, we consider a single conditioning component i selected at ran- dom from V ; similar results can be obtained when conditioning on different components
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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.