Max-stable models for multivariate extremes

Multivariate extreme-value analysis is concerned with the extremes in a multivariate random sample, that is, points of which at least some components have exceptionally large values. Mathematical theory suggests the use of max-stable models for univariate and multivariate extremes. A comprehensive account is given of the various ways in which max-stable models are described. Furthermore, a construction device is proposed for generating parametric families of max-stable distributions. Although the device is not new, its role as a model generator seems not yet to have been fully exploited.Comment: Invited paper for RevStat Statistical Journal. 22 pages, 3 figure

Infinite factorization of multiple non-parametric views

Combined analysis of multiple data sources has increasing application interest, in particular for distinguishing shared and source-specific aspects. We extend this rationale of classical canonical correlation analysis into a flexible, generative and non-parametric clustering setting, by introducing a novel non-parametric hierarchical mixture model. The lower level of the model describes each source with a flexible non-parametric mixture, and the top level combines these to describe commonalities of the sources. The lower-level clusters arise from hierarchical Dirichlet Processes, inducing an infinite-dimensional contingency table between the views. The commonalities between the sources are modeled by an infinite block model of the contingency table, interpretable as non-negative factorization of infinite matrices, or as a prior for infinite contingency tables. With Gaussian mixture components plugged in for continuous measurements, the model is applied to two views of genes, mRNA expression and abundance of the produced proteins, to expose groups of genes that are co-regulated in either or both of the views. Cluster analysis of co-expression is a standard simple way of screening for co-regulation, and the two-view analysis extends the approach to distinguishing between pre- and post-translational regulation

Extreme Dependence Models

Extreme values of real phenomena are events that occur with low frequency, but can have a large impact on real life. These are, in many practical problems, high-dimensional by nature (e.g. Tawn, 1990; Coles and Tawn, 1991). To study these events is of fundamental importance. For this purpose, probabilistic models and statistical methods are in high demand. There are several approaches to modelling multivariate extremes as described in Falk et al. (2011), linked to some extent. We describe an approach for deriving multivariate extreme value models and we illustrate the main features of some flexible extremal dependence models. We compare them by showing their utility with a real data application, in particular analyzing the extremal dependence among several pollutants recorded in the city of Leeds, UK.Comment: To appear in Extreme Value Modelling and Risk Analysis: Methods and Applications. Eds. D. Dey and J. Yan. Chapman & Hall/CRC Pres

Likelihood estimators for multivariate extremes

The main approach to inference for multivariate extremes consists in approximating the joint upper tail of the observations by a parametric family arising in the limit for extreme events. The latter may be expressed in terms of componentwise maxima, high threshold exceedances or point processes, yielding different but related asymptotic characterizations and estimators. The present paper clarifies the connections between the main likelihood estimators, and assesses their practical performance. We investigate their ability to estimate the extremal dependence structure and to predict future extremes, using exact calculations and simulation, in the case of the logistic model