A0664
Title: Clustering multivariate extremes
Authors: Shuyang Bai - University of Georgia (United States) [presenting]
He Tang - University of Georgia (United States)
Shiyuan Deng - University of Georgia (United States)
Abstract: The estimation of multivariate extreme models with a discrete spectral measure is investigated via clustering techniques such as spherical k-means. A method is proposed to consistently select the number of clusters. Large deviation analysis is also discussed, which assesses the quality of convergence of spectral estimation and how to convert spectral measure estimation to coefficient estimation of extremal factor models.
