High-dimensional variables clustering based on sub-asymptotic maxima of a weakly dependent random process - Archive ouverte HAL
Communication Dans Un Congrès Année : 2022

High-dimensional variables clustering based on sub-asymptotic maxima of a weakly dependent random process

Résumé

The dependence structure between extreme observations can be complex. For that purpose, we see clustering as a tool for learning the complex extremal dependence structure. We introduce the Asymptotic Independent block (AI-block) model, a model-based clustering where population- level clusters are clearly defined using independence of clusters’ maxima of a multivariate random process. This class of models is identifiable allowing statistical inference. With a dedicated algorithm, we show that sample versions of the extremal correlation can be used to recover the clusters of variables without specifying the number of clusters. Our algorithm has a computational complexity that is polynomial in the dimension and it is shown to be strongly consistent in growing dimensions where observations are drawn from a stationary mixing process. This implies that groups can be learned in a completely nonparametric inference in the study of dependent processes where block maxima are only subasymptotic, i.e., approximately extreme value distributed.
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Dates et versions

hal-03888395 , version 1 (07-12-2022)

Identifiants

  • HAL Id : hal-03888395 , version 1

Citer

Alexis Boulin, Elena Di Bernardino, Thomas Laloë, Gwladys Toulemonde. High-dimensional variables clustering based on sub-asymptotic maxima of a weakly dependent random process. CMStatistics 2022 - 15th International Conference of the ERCIM WG on Computational and Methodological Statistics, Dec 2022, London, United Kingdom. ⟨hal-03888395⟩
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