X-Vine Models for Multivariate Extremes

Anna Kiriliouk, Jeongjin Lee and Johan Segers ()
Additional contact information
Anna Kiriliouk: Université de Namur
Jeongjin Lee: Université de Namur
Johan Segers: Université catholique de Louvain, LIDAM/ISBA, Belgium

No 2023038, LIDAM Discussion Papers ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Abstract: Regular vine sequences permit the organisation of variables in a random vector along a sequence of trees. Regular vine models have become greatly popular in dependence modelling as a way to combine arbitrary bivariate copulas into higher-dimensional ones, offering flexibility, parsimony, and tractability. In this project, we use regular vine structures to decompose and construct the exponent measure density of a multivariate extreme value distribution, or, equivalently, the tail copula density. Although these densities pose theoretical challenges due to their infinite mass, their homogeneity property offers simplifications. The theory sheds new light on existing parametric families and facilitates the construction of new ones, called X-vines. Computations proceed via recursive formulas in terms of bivariate model components. We develop simulation algorithms for X-vine multivariate Pareto distributions as well as methods for parameter estimation and model selection on the basis of threshold exceedances. The methods are illustrated by Monte Carlo experiments and a case study on US flight delay data.

Keywords: Exponent measure; graphical model; multivariate Pareto distribution; pair copula construction; regular vine; tail copula (search for similar items in EconPapers)
Pages: 43
Date: 2023-12-22
New Economics Papers: this item is included in nep-ecm and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://dial.uclouvain.be/pr/boreal/en/object/bore ... tastream/PDF_01/view (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aiz:louvad:2023038

Access Statistics for this paper

More papers in LIDAM Discussion Papers ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) Voie du Roman Pays 20, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Nadja Peiffer ().