Paper on conditional extremes on arXiv
November 27, 2024
The paper on conditional extremes model for graphs, led by my PhD student Aiden Farrell (jointly supervised with Emma Eastoe) is now on arXiv. While there have been multivariate extremes model for data observed on graphs, the novelty is the new approach for the residual distribution, which has usually been assumed multivariate gaussian. Here, we applied the multivariate asymmetric generalised Gaussian (MVAGG) distribution instead that enables fully parametric prediction. This complicates the computational inference, but Aiden developed a multi-step algorithm to address this issue.