Biometrika
Mar 03, 2026
Characterizing extremal dependence on a hyperplane
Authors
P Wan
Paper Information
-
Journal:
Biometrika -
DOI:
10.1093/biomet/asag015 -
Published:
March 03, 2026 -
Added to Tracker:
Mar 05, 2026
Abstract
Summary In this paper, we characterize the extremal dependence of d asymptotically dependent variables using a class of random vectors on the (d-1) -dimensional hyperplane perpendicular to the diagonal vector 1 = (1,… ,1). This translates analyses of multivariate extremes to analyses on a linear vector space, opening up possibilities for applying existing statistical techniques based on linear operations. As an example, we demonstrate how to obtain lower-dimensional approximations of tail dependence through principal component analysis. Additionally, we show that the widely used Hüsler–Reiss family is characterized by a Gaussian family residing on the hyperplane.
Author Details
P Wan
AuthorCitation Information
APA Format
P Wan
(2026)
.
Characterizing extremal dependence on a hyperplane.
Biometrika
, 10.1093/biomet/asag015.
BibTeX Format
@article{paper1014,
title = { Characterizing extremal dependence on a hyperplane },
author = {
P Wan
},
journal = { Biometrika },
year = { 2026 },
doi = { 10.1093/biomet/asag015 },
url = { https://doi.org/10.1093/biomet/asag015 }
}