关于两两相互作用的多元Pareto模型

IF 0.7 4区数学 Q3 STATISTICS & PROBABILITY

Stat Pub Date : 2023-09-10 DOI:10.1002/sta4.613

Michaël Lalancette

{"title":"关于两两相互作用的多元Pareto模型","authors":"Michaël Lalancette","doi":"10.1002/sta4.613","DOIUrl":null,"url":null,"abstract":"The rich class of multivariate Pareto distributions forms the basis of recently introduced extremal graphical models. However, most existing literature on the topic is focused on the popular parametric family of Hüsler–Reiss distributions. It is shown that the Hüsler–Reiss family is in fact the only continuous multivariate Pareto model that exhibits the structure of a pairwise interaction model, justifying its use in many high‐dimensional problems. Along the way, useful insight is obtained concerning a certain class of distributions that generalize the Hüsler–Reiss family, a result of independent interest.","PeriodicalId":56159,"journal":{"name":"Stat","volume":"38 1","pages":"0"},"PeriodicalIF":0.7000,"publicationDate":"2023-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"On pairwise interaction multivariate Pareto models\",\"authors\":\"Michaël Lalancette\",\"doi\":\"10.1002/sta4.613\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The rich class of multivariate Pareto distributions forms the basis of recently introduced extremal graphical models. However, most existing literature on the topic is focused on the popular parametric family of Hüsler–Reiss distributions. It is shown that the Hüsler–Reiss family is in fact the only continuous multivariate Pareto model that exhibits the structure of a pairwise interaction model, justifying its use in many high‐dimensional problems. Along the way, useful insight is obtained concerning a certain class of distributions that generalize the Hüsler–Reiss family, a result of independent interest.\",\"PeriodicalId\":56159,\"journal\":{\"name\":\"Stat\",\"volume\":\"38 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.7000,\"publicationDate\":\"2023-09-10\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Stat\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1002/sta4.613\",\"RegionNum\":4,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Stat","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1002/sta4.613","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}

引用次数: 1

摘要

丰富的多元帕累托分布构成了最近引入的极值图形模型的基础。然而，关于该主题的大多数现有文献都集中在流行的h sler - reiss分布的参数族上。结果表明，h sler - reiss族实际上是唯一表现出两两相互作用模型结构的连续多元Pareto模型，证明了它在许多高维问题中的应用。在此过程中，获得了关于推广h sler - reiss族的某类分布的有用见解，这是独立兴趣的结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

On pairwise interaction multivariate Pareto models

The rich class of multivariate Pareto distributions forms the basis of recently introduced extremal graphical models. However, most existing literature on the topic is focused on the popular parametric family of Hüsler–Reiss distributions. It is shown that the Hüsler–Reiss family is in fact the only continuous multivariate Pareto model that exhibits the structure of a pairwise interaction model, justifying its use in many high‐dimensional problems. Along the way, useful insight is obtained concerning a certain class of distributions that generalize the Hüsler–Reiss family, a result of independent interest.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Stat Decision Sciences-Statistics, Probability and Uncertainty

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： Stat is an innovative electronic journal for the rapid publication of novel and topical research results, publishing compact articles of the highest quality in all areas of statistical endeavour. Its purpose is to provide a means of rapid sharing of important new theoretical, methodological and applied research. Stat is a joint venture between the International Statistical Institute and Wiley-Blackwell. Stat is characterised by: • Speed - a high-quality review process that aims to reach a decision within 20 days of submission. • Concision - a maximum article length of 10 pages of text, not including references. • Supporting materials - inclusion of electronic supporting materials including graphs, video, software, data and images. • Scope - addresses all areas of statistics and interdisciplinary areas. Stat is a scientific journal for the international community of statisticians and researchers and practitioners in allied quantitative disciplines.