Applies PCA to re-scaled exceedances under regular variation and proves uniform convergence of empirical reconstruction risk plus consistency of the estimated optimal projection subspace.
H., de Haan, L., and Piterbarg, V
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Principal Component Analysis for Multivariate Extremes
Applies PCA to re-scaled exceedances under regular variation and proves uniform convergence of empirical reconstruction risk plus consistency of the estimated optimal projection subspace.