RSS Discussion Meeting: ‘Graphical models for extremes’ by Engelke & Hitz

 
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RSS discussion paper meetings

Wednesday 12 February 2020, 05:00pm - 07:00pm

 
Location Royal Statistical Society, 12 Errol St, London EC1Y 8LX

About the event:

Discussion paper at 5 pm

Speakers: Sebastian Engelke, University of Geneva, Adrien S. Hitz, University of Oxford and Materialize.X, Enterprise Laboratory, London

Conditional independence, graphical models and sparsity are key notions for parsimonious statistical models and for understanding the structural relationships in the data. The theory of multivariate and spatial extremes describes the risk of rare events through asymptotically justified limit models such as max-stable and multivariate Pareto distributions. Statistical modelling in this field has been limited to moderate dimensions so far, partly owing to complicated likelihoods and a lack of understanding of the underlying probabilistic structures. We introduce a general theory of conditional independence for multivariate Pareto distributions that enables the definition of graphical models and sparsity for extremes. A Hammersley–Clifford theorem links this new notion to the factorization of densities of extreme value models on graphs. For the popular class of Hüsler–Reiss distributions we show that, similarly to the Gaussian case, the sparsity pattern of a general extremal graphical model can be read off from suitable inverse covariance matrices. New parametric models can be built in a modular way and statistical inference can be simplified to lower dimensional marginals. We discuss learning of minimum spanning trees and model selection for extremal graph structures, and we illustrate their use with an application to flood risk assessment on the Danube river

Preprint discussion papers available here

 
Wine reception at 7pm     
Registration alongside tea and coffee from 4.30 pm.

Attendance is free and open to all, whether fellows of the RSS or not, but pre-registration is required.

 

Organiser Name Judith Shorten

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