The Institute for Statistics and Mathematics is pleased to invite you to the next research seminar, taking place on campus:

Olivier Wintenberger (Laboratoire de probabilités, statistique et modélisation, Sorbonne Université):
Multivariate Sparse Clustering for Extremes
Friday, March 24, 2023, 10:30 am, Room D4.0.127

Abstract:

Studying the tail dependence of multivariate extremes is a major challenge in extreme value analysis. Under a regular variation assumption, the dependence structure of the positive extremes is characterized by a measure, the spectral measure, defined on the positive orthant of the unit sphere. This measure gathers information on the localization of large events and often has sparse support since such events do not simultaneously occur in all directions. However, it is defined via weak convergence, which does not provide a natural way to capture this sparsity structure. In this talk, we introduce the notion of sparse regular variation, which allows better to learn the tail structure of a random vector X. We use this concept in a statistical framework and provide a procedure that captures clusters of extremal coordinates of X. This approach also includes the identification of a threshold above which the values taken by X are considered as extreme. It leads to an efficient algorithm called MUSCLE which we illustrate in numerical experiments. We end our presentation with an application to extreme variability for financial and meteorological data.

Joint work with Nicolas Meyer (IMAG, University of Montpellier).

We aim to stream all on-campus talks via Zoom. A direct link to the stream will be posted on our website.

For further information and the seminar schedule, please see:
www.wu.ac.at/en/statmath/research/resseminar