Parsimonious Factor Models for Asymmetric Dependence in Multivariate Extremes
刻画多元极值非对称依赖的简约因子模型
Modelling multivariate extreme events is essential when extrapolating beyond the range of observed data. Parametric models that are suitable for real-world extremes must be flexible -- particularly in their ability to capture asymmetric dependence structures -- while also remaining parsimonious for interpretability and computationally scalable in high dimensions. Although many models have been proposed, it is rare for any single construction to satisfy all of these…