4 papers · 1 filter
Structured linear factor models for tail dependence
Alexis Boulin, Axel Bücher
A common object to describe the extremal dependence of a -variate random vector is the stable tail dependence function . Various parametric models have emerged, with a po…
Estimating Max-Stable Random Vectors with Discrete Spectral Measure using Model-Based Clustering
Alexis Boulin
This study introduces a novel estimation method for the entries and structure of a matrix in the linear factor model . This is applied to…
High-dimensional variable clustering based on maxima of a weakly dependent random process
Alexis Boulin, Elena Di Bernardino, Thomas Laloë +1
We propose a new class of models for variable clustering called Asymptotic Independent block (AI-block) models, which defines population-level clusters based on the independence of…
Non-parametric estimator of a multivariate madogram for missing-data and extreme value framework
Alexis Boulin, Elena Di Bernardino, Thomas Laloë +1
The modeling of dependence between maxima is an important subject in several applications in risk analysis. To this aim, the extreme value copula function, characterised via the ma…