Êtes-vous un étudiant de l'EPFL à la recherche d'un projet de semestre?
Travaillez avec nous sur des projets en science des données et en visualisation, et déployez votre projet sous forme d'application sur GraphSearch.
A recursive max-linear vector models causal dependence between its components by expressing each node variable as a max-linear function of its parental nodes in a directed acyclic graph and some exogenous innovation. Motivated by extreme value theory, innovations are assumed to have regularly varying distribution tails. We propose a scaling technique in order to determine a causal order of the node variables. All dependence parameters are then estimated from the estimated scalings. Furthermore, we prove asymptotic normality of the estimated scalings and dependence parameters based on asymptotic normality of the empirical spectral measure. Finally, we apply our structure learning and estimation algorithm to financial data and food dietary interview data. (C) 2020 Elsevier Inc. All rights reserved.
Etienne Michel François Bamas, Lars Rohwedder
Boi Faltings, Sujit Prakash Gujar, Dimitrios Chatzopoulos, Anurag Jain