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research article

Decompositions of dependence for high-dimensional extremes

Cooley, D.
•
Thibaud, E.  
September 1, 2019
Biometrika

We propose two decompositions that help to summarize and describe high-dimensional tail dependence within the framework of regular variation. We use a transformation to define a vector space on the positive orthant and show that transformed-linear operations applied to regularly-varying random vectors preserve regular variation. We summarize tail dependence via a matrix of pairwise tail dependence metrics that is positive semidefinite; eigendecomposition allows one to interpret tail dependence in terms of the resulting eigenbasis. This matrix is completely positive, and one can easily construct regularly-varying random vectors that share the same pairwise tail dependencies. We illustrate our methods with Swiss rainfall and financial returns data.

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Type
research article
DOI
10.1093/biomet/asz028
Web of Science ID

WOS:000493047200008

Author(s)
Cooley, D.
Thibaud, E.  
Date Issued

2019-09-01

Publisher

OXFORD UNIV PRESS

Published in
Biometrika
Volume

106

Issue

3

Start page

587

End page

604

Subjects

Biology

•

Mathematical & Computational Biology

•

Statistics & Probability

•

Life Sciences & Biomedicine - Other Topics

•

Mathematical & Computational Biology

•

Mathematics

•

angular measure

•

dimension reduction

•

regular variation

•

tail dependence

•

multivariate

•

independence

•

inference

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
STAT  
Available on Infoscience
November 12, 2019
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/162856
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