Estimating a directed tree for extremes

Ngoc Mai Tran, Johannes Buck, Claudia Klüppelberg

Research output: Contribution to journalArticlepeer-review

Abstract

We propose a new method to estimate a root-directed spanning tree from extreme data. Prominent example is a river network, to be discovered from extreme flow measured at a set of stations. Our new algorithm utilizes qualitative aspects of a max-linear Bayesian network, which has been designed for modelling causality in extremes. The algorithm estimates bivariate scores and returns a root-directed spanning tree. It performs extremely well on benchmark data and on new data. We prove that the new estimator is consistent under a max-linear Bayesian network model with noise. We also assess its strengths and limitations in a small simulation study.

Original languageEnglish
Pages (from-to)771-792
Number of pages22
JournalJournal of the Royal Statistical Society. Series B: Statistical Methodology
Volume86
Issue number3
DOIs
StatePublished - Jul 2024

Keywords

  • Bayesian network
  • causal inference
  • directed acyclic graph
  • extreme value analysis
  • graphical model
  • max-linear model

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