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math.ST2024
Lévy graphical models
Sebastian Engelke, Jevgenijs Ivanovs, Jakob D. Thøstesen
Conditional independence and graphical models are crucial concepts for sparsity and statistical modeling in higher dimensions. For Lévy processes, a widely applied class of stocha…
math.ST2024
Graphical models for infinite measures with applications to extremes
Sebastian Engelke, Jevgenijs Ivanovs, Kirstin Strokorb
Conditional independence and graphical models are well studied for probability distributions on product spaces. We propose a new notion of conditional independence for any measure…