Michael Lalancette EVA Talk Preview
From Anna Munro
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From Anna Munro
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Name: Michael Lalancette
Talk Title: Concentration and asymptotic normality of the empirical variogram, with application to structure learning
Abstract: Multivariate peaks-over-threshold methods often seek to fit a multivariate Pareto distribution to a subset of the data where at least one measured variable is large. An important property of multivariate Pareto distributions is a certain variogram matrix. For instance, if the data is attracted to a Hüsler-Reiss distribution, its extremal dependence structure is fully characterized by this matrix. In this talk we introduce novel theory for the empirical variogram, a natural nonparametric estimator of the variogram, both in the finite sample and asymptotic regimes.
This talk is an invited talk at EVA 2021. View the programme here.
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