通过矩阵补全实现 Hüsler-Reiss 图形模型的统计推断

IF 4.3 3区 材料科学 Q1 ENGINEERING, ELECTRICAL & ELECTRONIC
Manuel Hentschel, Sebastian Engelke, Johan Segers
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引用次数: 0

摘要

多变量极端事件的严重性是由最大边际观测值之间的依赖性所驱动的。Hüsler-Reiss 分布是这种极端依赖性的一个通用模型,它可以用来计算极端事件的严重程度。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Statistical Inference for Hüsler–Reiss Graphical Models Through Matrix Completions
The severity of multivariate extreme events is driven by the dependence between the largest marginal observations. The Hüsler–Reiss distribution is a versatile model for this extremal dependence, a...
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CiteScore
7.20
自引率
4.30%
发文量
567
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