Concentration bounds for the extremal variogram
share
In extreme value theory, the extremal variogram is a summary of the tail dependence of a random vector. It is a central ingredient for learning extremal tree structures (arXiv:2012.06179) and has close connections to the estimation of Hüsler-Reiss models and extremal graphical models (arXiv:1812.01734). This note presents concentration results for the empirical version of the extremal variogram under general domain of attraction conditions. The results play a role in extending the findings in arXiv:2012.06179 to increasing dimensions. The note is also the first building block for penalized estimation of sparse Hüsler-Reiss graphical models.
READ FULL TEXT