Extreme partial least-squares

Meryem Bousebata, Geoffroy Enjolras and Stéphane Girard

Journal of Multivariate Analysis, 2023, vol. 194, issue C

Abstract: We propose a new approach, called Extreme-PLS, for dimension reduction in conditional extreme values settings. The objective is to find linear combinations of covariates that best explain the extreme values of the response variable in a non-linear inverse regression model. The asymptotic normality of the Extreme-PLS estimator is established in the single-index framework and under mild assumptions. The performance of the method is assessed on simulated data. A statistical analysis of French farm income data, considering extreme cereal yields, is provided as an illustration.

Keywords: Extreme-value analysis; Dimension reduction; Non-linear inverse regression; Partial least squares (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1016/j.jmva.2022.105101

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