Estimating an extreme Bayesian network via scalings
نویسندگان
چکیده
A recursive max-linear vector models causal dependence between its components by expressing each node variable as a function of parental nodes in directed acyclic graph and some exogenous innovation. Motivated extreme value theory, innovations are assumed to have regularly varying distribution tails. We propose scaling technique order determine the variables. All parameters then estimated from scalings. Furthermore, we prove asymptotic normality scalings based on empirical spectral measure. Finally, apply our structure learning estimation algorithm financial data food dietary interview data.
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2021
ISSN: ['0047-259X', '1095-7243']
DOI: https://doi.org/10.1016/j.jmva.2020.104672