Max-linear models in random environment

Claudia Klüppelberg and Ercan Sönmez

Journal of Multivariate Analysis, 2022, vol. 190, issue C

Abstract: We extend previous work of max-linear models on finite directed acyclic graphs to infinite graphs as well as random graphs, and investigate their relations to classical percolation theory, more particularly the impact of Bernoulli bond percolation on such models. We show that the critical probability of percolation on the oriented square lattice graph Z2 describes a phase transition in the obtained model. Focus is on the dependence introduced by this graph into the max-linear model. We discuss natural applications in communication networks, in particular, concerning the propagation of influences.

Keywords: Bernoulli bond percolation; Extreme value theory; Graphical model; Infinite graph; Percolation; Recursive max-linear model (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.jmva.2022.104999

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