High-dimensional peaks-over-threshold inference
高维超阈值极值推断
Max-stable processes are increasingly widely used for modelling complex extreme events, but existing fitting methods are computationally demanding, limiting applications to a few dozen variables. |${r}$|-Pareto processes are mathematically simpler and have the potential advantage of incorporating all relevant extreme events, by generalizing the notion of a univariate exceedance. In this paper we investigate the use of proper scoring rules for high-dimensional…