Decompositions of dependence for high-dimensional extremes

We propose two decompositions that help to summarize and describe high-dimensional tail dependence within the framework of regular variation. We use a transformation to define a vector space on the positive orthant and show that transformed-linear operations applied to regularly-varying random vecto...

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Veröffentlicht in:Biometrika 2019-09, Vol.106 (3), p.587-604
Hauptverfasser: COOLEY, D., THIBAUD, E.
Format: Artikel
Sprache:eng
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Zusammenfassung:We propose two decompositions that help to summarize and describe high-dimensional tail dependence within the framework of regular variation. We use a transformation to define a vector space on the positive orthant and show that transformed-linear operations applied to regularly-varying random vectors preserve regular variation. We summarize tail dependence via a matrix of pairwise tail dependence metrics that is positive semidefinite; eigendecomposition allows one to interpret tail dependence in terms of the resulting eigenbasis. This matrix is completely positive, and one can easily construct regularly-varying random vectors that share the same pairwise tail dependencies. We illustrate our methods with Swiss rainfall and financial returns data.
ISSN:0006-3444
1464-3510
DOI:10.1093/biomet/asz028