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难处理似然的多变量极值模型代理似然估计AI 解读

Many multivariate extremes models have intractable likelihoods requiring practitioners to use alternative fitting methods. The tail pairwise dependence is a summary measure of the dependence in the tail of any multivariate regular variation model. We develop an objective function for model fitting that relies on the tail pairwise dependence as the link between our desired model (that does not have a likelihood) and a proxy model (that has a likelihood). We employ the…

用于时间序列极值建模与预测的变换线性新息算法AI 解读

The innovations algorithm is a classical recursive forecasting algorithm used in time series analysis. We develop the innovations algorithm for a class of nonnegative regularly varying time series models constructed via transformed-linear arithmetic. In addition to providing the best linear predictor, the algorithm also enables us to estimate parameters of transformed-linear regularly-varying moving average (MA) models, thus providing a tool for modeling. We first construct…