Statistical Inference for Hüsler–Reiss Graphical Models Through Matrix Completions
通过矩阵补全进行 Hüsler–Reiss 图模型的统计推断
The severity of multivariate extreme events is driven by the dependence between the largest marginal observations. The Hüsler–Reiss distribution is a versatile model for this extremal dependence, and it is usually parameterized by a variogram matrix. In order to represent conditional independence relations and obtain sparse parameterizations, we introduce the novel Hüsler–Reiss precision matrix. Similarly to the Gaussian case, this matrix appears naturally in density…