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Generative modelling of multivariate geometric extremes using normalising flows

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arxiv 2505.02957 v1 pith:46BC22OM submitted 2025-05-05 stat.ME

classification stat.ME
keywords extremesflowsmethodologymultivariatenormalisingdimensionsefficientenables
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Leveraging the recently emerging geometric approach to multivariate extremes and the flexibility of normalising flows on the hypersphere, we propose a principled deep-learning-based methodology that enables accurate joint tail extrapolation in all directions. We exploit theoretical links between intrinsic model parameters defined as functions on hyperspheres to construct models ranging from high flexibility to parsimony, thereby enabling the efficient modelling of multivariate extremes displaying complex dependence structures in higher dimensions with reasonable sample sizes. We use the generative feature of normalising flows to perform fast probability estimation for arbitrary Borel risk regions via an efficient Monte Carlo integration scheme. The good properties of our estimators are demonstrated via a simulation study in up to ten dimensions. We apply our methodology to the analysis of low and high extremes of wind speeds. In particular, we find that our methodology enables probability estimation for non-trivial extreme events in relation to electricity production via wind turbines and reveals interesting structure in the underlying data.

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Cited by 3 Pith papers

Reviewed papers in the Pith corpus that reference this work. Sorted by Pith novelty score. Full citation record

  1. Flood risk estimation via geometric extremal graphical models

    stat.AP 2026-07 conditional novelty 7.0 of 10

    Using block-graph gauge functions, the paper fits the first geometric extremal graphical model to 10 river gauging stations, enabling single-model estimates of simultaneous flood probabilities.

  2. MOPED: A moving sum method for change point detection in pairwise extremal dependence

    stat.ME 2025-08 conditional novelty 6.0 of 10

    MOPED uses moving sums of tail pairwise dependence matrix estimates to detect multiple change points in extremal dependence, with a multiscale variant that pools thresholds and bandwidths.

  3. Piecewise-linear modeling of multivariate geometric extremes

    stat.ME 2024-12 conditional novelty 6.0 of 10

    A piecewise-linear gauge function with explicit volume computation enables fast semi-parametric inference for multivariate geometric extremes, plus KDE-based radial quantile estimation.

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