论文标题
推断出由具有潜在变量的马尔可夫动机的结构化hüsler-reiss分布的吸引力领域的推断
Inference on extremal dependence in the domain of attraction of a structured Hüsler-Reiss distribution motivated by a Markov tree with latent variables
论文作者
论文摘要
马尔可夫树是一个概率的图形模型,用于随机向量索引,该矢量由无向树的节点编码变量之间的条件独立关系。从这样的马尔可夫树中局部最大值的部分最大值的一个可能的极限分布是最大稳定的hüsler-reiss分布,其参数矩阵从树中继承了其结构,每个边缘贡献一个自由依赖性参数。我们的中心假设是,在边际标准化时,数据生成分布在最大范围内吸引了所述Hüsler-Reiss分布,这一假设比根据图形模型生成数据的假设要弱得多。即使某些变量不可观察(潜在),我们也表明,在且仅当每个与潜在变量相对应的节点至少具有三个时,基础模型参数仍然可以识别。在某些变量潜在时,提出了基于矩的方法,最大的复合可能性和成对极端系数的三个估计程序,用于在多元峰上使用阈值数据。典型的应用程序是树木的形式,在某些位置,没有可用的数据。我们说明了塞纳河高水位的数据集的模型和可识别性标准,该数据集具有两个潜在变量。发现结构化的Hüsler-Reiss分布非常适合观察到的极端依赖模式。可识别的参数我们能够量化没有数据的位置之间的尾部依赖性。
A Markov tree is a probabilistic graphical model for a random vector indexed by the nodes of an undirected tree encoding conditional independence relations between variables. One possible limit distribution of partial maxima of samples from such a Markov tree is a max-stable Hüsler-Reiss distribution whose parameter matrix inherits its structure from the tree, each edge contributing one free dependence parameter. Our central assumption is that, upon marginal standardization, the data-generating distribution is in the max-domain of attraction of the said Hüsler-Reiss distribution, an assumption much weaker than the one that data are generated according to a graphical model. Even if some of the variables are unobservable (latent), we show that the underlying model parameters are still identifiable if and only if every node corresponding to a latent variable has degree at least three. Three estimation procedures, based on the method of moments, maximum composite likelihood, and pairwise extremal coefficients, are proposed for usage on multivariate peaks over thresholds data when some variables are latent. A typical application is a river network in the form of a tree where, on some locations, no data are available. We illustrate the model and the identifiability criterion on a data set of high water levels on the Seine, France, with two latent variables. The structured Hüsler-Reiss distribution is found to fit the observed extremal dependence patterns well. The parameters being identifiable we are able to quantify tail dependence between locations for which there are no data.