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Learning the dependence structure of rare events: a non-asymptotic study
Published on Aug 20, 20151826 Views
Assessing the probability of occurrence of extreme events is a crucial issue in various fields like finance, insurance, telecommunication or environmental sciences. In a multivariate framework, the ta
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Chapter list
Learning the Dependence Structure of Rare Events: a non-asymptotic study00:00
Untitled00:15
Multivariate EVT & Extreme Dependence01:27
Framework01:36
Problematic02:25
Fundamental hypothesis and consequences02:48
General model in multivariate EVT03:45
φ rules the joint distribution of extremes04:30
Why considering the STDF?06:01
Intuition behind the STDF06:55
Alternative definition of STDF07:31
Estimation of the STDF08:27
Related work and goal08:33
Standard non parametric estimator of l08:52
Main Issue09:39
Solution10:38
Final result11:17
Idea for applications to Anomaly Detection12:26
Conclusion15:14
Some references15:48