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Deep Learning of Multivariate Extremes via a Geometric Representation

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arxiv 2406.19936 v2 pith:LMBRTDB4 submitted 2024-06-28 stat.ME math.STstat.MLstat.TH

classification stat.MEmath.STstat.MLstat.TH
keywords modellingapproachextremalextremesgeometricdeepdependencedata
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The study of geometric extremes, where extremal dependence properties are inferred from the deterministic limiting shapes of scaled sample clouds, provides an exciting approach to modelling the extremes of multivariate data. These shapes, termed limit sets, link together several popular extremal dependence modelling frameworks. Although the geometric approach is becoming an increasingly popular modelling tool, current inference techniques are limited to a low dimensional setting (d < 5), and generally require rigid modelling assumptions. In this work, we propose a range of novel theoretical results to aid with the implementation of the geometric extremes framework and introduce the first approach to modelling limit sets using deep learning. By leveraging neural networks, we construct asymptotically-justified yet flexible semi-parametric models for extremal dependence of high-dimensional data. We showcase the efficacy of our deep approach by modelling the complex extremal dependencies between meteorological and oceanographic variables in the North Sea off the coast of the UK.

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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. Flood risk estimation via geometric extremal graphical models

    stat.AP 2026-07 conditional novelty 7.0 of 10

    Using block-graph gauge functions, the paper fits the first geometric extremal graphical model to 10 river gauging stations, enabling single-model estimates of simultaneous flood probabilities.

  2. MOPED: A moving sum method for change point detection in pairwise extremal dependence

    stat.ME 2025-08 conditional novelty 6.0 of 10

    MOPED uses moving sums of tail pairwise dependence matrix estimates to detect multiple change points in extremal dependence, with a multiscale variant that pools thresholds and bandwidths.

  3. Piecewise-linear modeling of multivariate geometric extremes

    stat.ME 2024-12 conditional novelty 6.0 of 10

    A piecewise-linear gauge function with explicit volume computation enables fast semi-parametric inference for multivariate geometric extremes, plus KDE-based radial quantile estimation.

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