Activity Number:
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237
- Graphical Models and Causality in Extremes
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Type:
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Topic Contributed
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Date/Time:
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Tuesday, August 9, 2022 : 8:30 AM to 10:20 AM
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Sponsor:
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Section on Risk Analysis
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Abstract #323124
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Title:
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Fast Algorithm for Extreme Graphical Models
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Author(s):
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Chen Zhou* and Phyllis Wan
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Companies:
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Erasmus University Rotterdam and Erasmus University Rotterdam
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Keywords:
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graphical models;
Lasso;
Huesler-Reiss model
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Abstract:
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In this paper, we consider the Huesler-Reiss graphical model for extremes. We propose a fast-performing one-step graphical-LASSO technique that consistently recovers the graphical structure. Its theoretical properties are studied and its performance is evaluated on simulated and real examples.
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Authors who are presenting talks have a * after their name.