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Activity Number: 237 - Graphical Models and Causality in Extremes
Type: Topic Contributed
Date/Time: Tuesday, August 9, 2022 : 8:30 AM to 10:20 AM
Sponsor: Section on Risk Analysis
Abstract #323124
Title: Fast Algorithm for Extreme Graphical Models
Author(s): Chen Zhou* and Phyllis Wan
Companies: Erasmus University Rotterdam and Erasmus University Rotterdam
Keywords: graphical models; Lasso; Huesler-Reiss model
Abstract:

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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