13 citations · 48 across the 23 of their papers we have counts for
4 papers · 1 filter
Principal Component Analysis for Multivariate Extremes
Dan Cooley, Anne Sabourin, Troy Wixson
This chapter explores ways to reduce the dimensionality of the data while preserving key information relevant to the analysis of multivariate extreme values.
A Multivariate Extreme Value Theory Approach to Anomaly Clustering and Visualization
Maël Chiapino, Stéphan Clémençon, Vincent Feuillard +1
In a wide variety of situations, anomalies in the behaviour of a complex system, whose health is monitored through the observation of a random vector X = (X1,. .. , X d) valued in…
Identifying groups of variables with the potential of being large simultaneously
Maël Chiapino, Anne Sabourin, Johan Segers
Identifying groups of variables that may be large simultaneously amounts to finding out which joint tail dependence coefficients of a multivariate distribution are positive. The as…
Semi-parametric modeling of excesses above high multivariate thresholds with censored data
Anne Sabourin
How to include censored data in a statistical analysis is a recur-rent issue in statistics. In multivariate extremes, the dependence structure of large observations can be characte…