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Graphical models for multivariate extremes

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arxiv 2402.02187 v1 pith:PDGVUKLM submitted 2024-02-03 stat.ME math.STstat.TH

classification stat.MEmath.STstat.TH
keywords graphicalmodelsextremalextremesgraphcasesdifferentdiscuss
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Graphical models in extremes have emerged as a diverse and quickly expanding research area in extremal dependence modeling. They allow for parsimonious statistical methodology and are particularly suited for enforcing sparsity in high-dimensional problems. In this work, we provide the fundamental concepts of extremal graphical models and discuss recent advances in the field. Different existing perspectives on graphical extremes are presented in a unified way through graphical models for exponent measures. We discuss the important cases of nonparametric extremal graphical models on simple graph structures, and the parametric class of H\"usler--Reiss models on arbitrary undirected graphs. In both cases, we describe model properties, methods for statistical inference on known graph structures, and structure learning algorithms when the graph is unknown. We illustrate different methods in an application to flight delay data at US airports.

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Cited by 3 Pith papers

Reviewed papers in the Pith corpus that reference this work. Sorted by Pith novelty score. Full citation record

  1. Estimating the H\"usler--Reiss variogram matrix by clipped moments

    math.ST 2026-07 conditional novelty 7.0 of 10

    A lower-tail-clipped moment method estimates the Hüsler–Reiss variogram matrix with reduced bias under weak tail dependence while preserving asymptotic normality.

  2. Conditional Extremes with Graphical Models

    stat.ME 2024-11 conditional novelty 7.0 of 10

    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.

  3. Directional variograms for multivariate extremes

    stat.ME 2026-07 accept novelty 6.0 of 10

    Directional half-space conditioning defines v-variograms with closed forms in standard multivariate Pareto models and a half-space-mass-driven bias–variance tradeoff that ensemble estimators can exploit.

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