Jeongjin Lee (University of Namur)

Title: Partial Tail Correlation for Extremes

Abstract: We develop a method for investigating conditional extremal relationships between variables. We consider an inner product space constructed from transformed-linear combinations of independent regularly varying random variables. By developing the
projection theorem for the inner product space, we derive the concept of partial tail
correlation via projection theorem. We show that the partial tail correlation can be
understood as the inner product of the prediction errors associated with transformed-
linear prediction. Similar to Gaussian cases, we connect partial tail correlation to
the inverse of the inner product matrix and show that a zero in this inverse implies
a partial tail correlation of zero. We develop a hypothesis test for the partial tail
correlation of zero and demonstrate the performance in a simulation study as well as
in two applications: extreme river discharges in the upper Danube basin and high
nitrogen dioxide levels in Washington DC.

The seminar will take place in room S08 at the Faculty of Sciences