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DTSTART;TZID=Europe/Brussels:20221013T130000
DTEND;TZID=Europe/Brussels:20221013T140000
DTSTAMP:20260413T192203
CREATED:20220913T114110Z
LAST-MODIFIED:20221205T150659Z
UID:1685-1665666000-1665669600@www.naxys.be
SUMMARY:Jeongjin Lee (University of Namur)
DESCRIPTION:Title: Partial Tail Correlation for Extremes \nAbstract: 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 theprojection theorem for the inner product space\, we derive the concept of partial tailcorrelation via projection theorem. We show that the partial tail correlation can beunderstood as the inner product of the prediction errors associated with transformed-linear prediction. Similar to Gaussian cases\, we connect partial tail correlation tothe inverse of the inner product matrix and show that a zero in this inverse impliesa partial tail correlation of zero. We develop a hypothesis test for the partial tailcorrelation of zero and demonstrate the performance in a simulation study as well asin two applications: extreme river discharges in the upper Danube basin and highnitrogen dioxide levels in Washington DC. \nThe seminar will take place in room S08 at the Faculty of Sciences
URL:https://www.naxys.be/event/jeongjin-lee-university-of-namur/
CATEGORIES:NAXYS Seminar
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