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stat.ML2021
Spectral learning of multivariate extremes
Marco Avella Medina, Richard A. Davis, Gennady Samorodnitsky
We propose a spectral clustering algorithm for analyzing the dependence structure of multivariate extremes. More specifically, we focus on the asymptotic dependence of multivariate…
stat.ML2021
Extreme Bandits using Robust Statistics
Sujay Bhatt, Ping Li, Gennady Samorodnitsky
We consider a multi-armed bandit problem motivated by situations where only the extreme values, as opposed to expected values in the classical bandit setting, are of interest. We p…