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.
The data is transformed onto standard Laplace margins Y as per Section 3.1 of the main text
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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.