Please use this identifier to cite or link to this item:
https://hdl.handle.net/10356/84387
Title: | Modeling Spatial Extremes via Ensemble-of-Trees of Pairwise Copulas | Authors: | Yu, Hang Uy, Wayne Isaac T. Dauwels, Justin |
Keywords: | Graphical Models Computational Modeling |
Issue Date: | 2017 | Source: | Yu, H., Uy, W. I. T., & Dauwels, J. (2017). Modeling Spatial Extremes via Ensemble-of-Trees of Pairwise Copulas. IEEE Transactions on Signal Processing, 65(3), 571-586. | Series/Report no.: | IEEE Transactions on Signal Processing | Abstract: | Assessing the risk of extreme events in a spatial domain, such as hurricanes, floods, and droughts, presents a unique significance in practice. Unfortunately, the existing extreme-value statistical models are typically not feasible for practical large-scale problems. Graphical models, on the other hand, are capable of handling sizable number of variables, but have yet to be explored in the realm of extreme-value analysis. To bridge the gap, an extreme-value graphical model is introduced in this paper, i.e., an ensemble-of-trees of pairwise copulas (ETPC). In the proposed graphical model, extreme-value marginal distributions are stitched together by means of a pairwise copulas, which in turn are the building blocks of the ensemble of trees. Novel linear-complexity stochastic gradient-based algorithms are then developed for learning the ETPC model and inferring missing data. As a result, the ETPC model is applicable to extreme-value problems with thousands of variables. It can be proven that, under mild conditions, the ETPC model exhibits the favorable property of tail-dependence between an arbitrary pair of sites (variables); consequently, the model is able to reliably capture statistical dependence between extreme values at different sites. Experimental results for both synthetic and real data demonstrate the advantages of the ETPC model in modeling fitting, imputation, and computational efficiency. | URI: | https://hdl.handle.net/10356/84387 http://hdl.handle.net/10220/43582 |
ISSN: | 1053-587X | DOI: | 10.1109/TSP.2016.2614485 | Schools: | School of Electrical and Electronic Engineering | Rights: | © 2017 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works. The published version is available at: [http://dx.doi.org/10.1109/TSP.2016.2614485]. | Fulltext Permission: | open | Fulltext Availability: | With Fulltext |
Appears in Collections: | EEE Journal Articles |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
Modeling Spatial Extremes via Ensemble-of-Trees of Pairwise Copulas.pdf | 2.17 MB | Adobe PDF | View/Open |
SCOPUSTM
Citations
50
9
Updated on Mar 20, 2024
Web of ScienceTM
Citations
20
7
Updated on Oct 30, 2023
Page view(s) 50
540
Updated on Mar 28, 2024
Download(s) 50
168
Updated on Mar 28, 2024
Google ScholarTM
Check
Altmetric
Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.