On estimation and order selection for multivariate extremes via clustering

Shiyuan Deng, He Tang and Shuyang Bai

Journal of Multivariate Analysis, 2025, vol. 208, issue C

Abstract: We investigate the estimation of multivariate extreme models with a discrete spectral measure using spherical clustering techniques. The primary contribution involves devising a method for selecting the order, that is, the number of clusters. The method consistently identifies the true order, i.e., the number of spectral atoms, and enjoys intuitive implementation in practice. Specifically, we introduce an extra penalty term to the well-known simplified average silhouette width, which penalizes small cluster sizes and small dissimilarities between cluster centers. Consequently, we provide a consistent method for determining the order of a max-linear factor model, where a typical information-based approach is not viable. Our second contribution is a large-deviation-type analysis for estimating the discrete spectral measure through clustering methods, which serves as an assessment of the convergence quality of clustering-based estimation for multivariate extremes. Additionally, as a third contribution, we discuss how estimating the discrete measure can lead to parameter estimations of heavy-tailed factor models. We also present simulations and real-data studies that demonstrate order selection and factor model estimation.

Keywords: Clustering; Factor models; Max-linear models; Multivariate extremes; Order selection; Silhouettes (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1016/j.jmva.2025.105426

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