Bayesian inference for multivariate extreme value distributions

Transcription

1 Bayesian inference for multivariate extreme value distributions Sebastian Engelke Clément Dombry, Marco Oesting Toronto, Fields Institute, May 4th, 2016

2 Main motivation For a parametric model Z F θ of multivariate max-stable distributions, the full LLHs are usually not available.

3 Main motivation For a parametric model Z F θ of multivariate max-stable distributions, the full LLHs are usually not available. Maximum likelihood estimation is infeasible.

4 Main motivation For a parametric model Z F θ of multivariate max-stable distributions, the full LLHs are usually not available. Maximum likelihood estimation is infeasible. Goal: Use full LLHs in Bayesian setup to improve frequentist efficiency,

5 Main motivation For a parametric model Z F θ of multivariate max-stable distributions, the full LLHs are usually not available. Maximum likelihood estimation is infeasible. Goal: Use full LLHs in Bayesian setup to improve frequentist efficiency, allow for Bayesian methods in multivariate extremes.

6 Max-stable distributions and partitions Let Z be a d-dimensional max-stable distribution and X 1,..., X n (with std. Fréchet margins) in its MDA.

7 Max-stable distributions and partitions Let Z be a d-dimensional max-stable distribution and X 1,..., X n (with std. Fréchet margins) in its MDA. Componentwise maxima M n = max n i=1 X i/n d Z.

8 Max-stable distributions and partitions Let Z be a d-dimensional max-stable distribution and X 1,..., X n (with std. Fréchet margins) in its MDA. Componentwise maxima M n = max n i=1 X i/n d Z. Partition Π n of the set {1,..., d} of occurrence times of maxima, i.e., j and k in the same set if M n,j and M n,k come from same X i Example: d = 4, n = 3, Π n = {{1}, {2, 3}, {4}}.

9 Max-stable distributions and partitions We have the weak limit as n (M n, Π n ) d (Z, Π), where Π is the limit partition of occurrence times of Z Example: d = 4, n = 3, Π n = {{1}, {2, 3}, {4}}.

10 Max-stable distributions and partitions We have the weak limit as n (M n, Π n ) d (Z, Π), where Π is the limit partition of occurrence times of Z. Π n and Π are distributions on the set P d of all partitions of {1,..., d} Example: d = 4, n = 3, Π n = {{1}, {2, 3}, {4}}.

11 Max-stable distributions and likelihoods P(Z z) = e V (z), where V is the exponent measure of Z.

12 Max-stable distributions and likelihoods P(Z z) = e V (z), where V is the exponent measure of Z. Likelihood of Z is L Z (z) = π P d L Z,Π (z, π), where the Stephenson Tawn LLH (2005, Biometrika) is joint LLH of Z and Π and has the explicit form π L Z,Π (z, π) = e V (z) { V π (j)(z)}, where V π (j) are partial derivatives of V in directions π (j), and the partition π = (π (1),..., π ( π ) ) consists of π sets. j=1

13 Max-stable distributions and likelihoods P(Z z) = e V (z), where V is the exponent measure of Z. Likelihood of Z is L Z (z) = π P d L Z,Π (z, π), where the Stephenson Tawn LLH (2005, Biometrika) is joint LLH of Z and Π and has the explicit form π L Z,Π (z, π) = e V (z) { V π (j)(z)}, where V π (j) are partial derivatives of V in directions π (j), and the partition π = (π (1),..., π ( π ) ) consists of π sets. Since P d is the dth Bell number (very large), the use of L Z (z) is infeasible. j=1

14 Parametric inference methods for Z F θ With information on partition (occurrence times observed): Stephenson and Tawn (2005, Biometrika) use partition information and the joint LLH L Z,Π (z, π). But: Possible bias if Π n Π.

15 Parametric inference methods for Z F θ With information on partition (occurrence times observed): Stephenson and Tawn (2005, Biometrika) use partition information and the joint LLH L Z,Π (z, π). But: Possible bias if Π n Π. Wadsworth (2015, Biometrika) proposes bias correction by using L Z,Πn (z, π).

16 Parametric inference methods for Z F θ With information on partition (occurrence times observed): Stephenson and Tawn (2005, Biometrika) use partition information and the joint LLH L Z,Π (z, π). But: Possible bias if Π n Π. Wadsworth (2015, Biometrika) proposes bias correction by using L Z,Πn (z, π). Without information on partition (occurrence times unobserved): Composite (pairwise) likelihood Padoan et al. (2010, JASA). But: Losses in efficiency.

17 Parametric inference methods for Z F θ With information on partition (occurrence times observed): Stephenson and Tawn (2005, Biometrika) use partition information and the joint LLH L Z,Π (z, π). But: Possible bias if Π n Π. Wadsworth (2015, Biometrika) proposes bias correction by using L Z,Πn (z, π). Without information on partition (occurrence times unobserved): Composite (pairwise) likelihood Padoan et al. (2010, JASA). But: Losses in efficiency. Dombry et al. (2013, Biometrika) introduces Gibbs sampler to obtain conditional partitions of L Π Z (π z).

18 Parametric inference methods for Z F θ With information on partition (occurrence times observed): Stephenson and Tawn (2005, Biometrika) use partition information and the joint LLH L Z,Π (z, π). But: Possible bias if Π n Π. Wadsworth (2015, Biometrika) proposes bias correction by using L Z,Πn (z, π). Without information on partition (occurrence times unobserved): Composite (pairwise) likelihood Padoan et al. (2010, JASA). But: Losses in efficiency. Dombry et al. (2013, Biometrika) introduces Gibbs sampler to obtain conditional partitions of L Π Z (π z). Thibaud et al. (2015, use this Gibbs sampler to choose Π automatically and obtain posterior L(θ z) in a Bayesian framework for Brown Resnick processes.

19 Goals Recall: MLE with L Z (z) is infeasible.

20 Goals Recall: MLE with L Z (z) is infeasible. Establish Bayesian framework which uses full LLHs for general max-stable distributions (without observed partition information).

21 Goals Recall: MLE with L Z (z) is infeasible. Establish Bayesian framework which uses full LLHs for general max-stable distributions (without observed partition information). Improve (frequentist) efficiency of estimates compared to existing methods (pairwise LLH,...)

22 Goals Recall: MLE with L Z (z) is infeasible. Establish Bayesian framework which uses full LLHs for general max-stable distributions (without observed partition information). Improve (frequentist) efficiency of estimates compared to existing methods (pairwise LLH,...) Without partition information.

23 Goals Recall: MLE with L Z (z) is infeasible. Establish Bayesian framework which uses full LLHs for general max-stable distributions (without observed partition information). Improve (frequentist) efficiency of estimates compared to existing methods (pairwise LLH,...) Without partition information. With partition information: ignore partition information.

24 Goals Recall: MLE with L Z (z) is infeasible. Establish Bayesian framework which uses full LLHs for general max-stable distributions (without observed partition information). Improve (frequentist) efficiency of estimates compared to existing methods (pairwise LLH,...) Without partition information. With partition information: ignore partition information. Explore applications of Bayesian methodology in multivariate extremes.

25 Bayesian framework Parametric model Z F θ with θ Θ. Observations from Z: Unobserved partitions: z 1,..., z n R d π 1,..., π n P d Model parameters: θ Θ

26 Bayesian framework Parametric model Z F θ with θ Θ. Observations from Z: Unobserved partitions: (latent variables) z 1,..., z n R d π 1,..., π n P d Model parameters: γ θ Θ Bayesian setup: Introduce prior γ on Θ and try to obtain the posterior distribution L(θ, π 1,..., π n z 1,... z n ).

27 Markov Chain Monte Carlo The posterior has to be evaluated by MCMC.

28 Markov Chain Monte Carlo The posterior has to be evaluated by MCMC. Gibbs sampler for partitions and Metropolis Hastings for θ, using L(θ, π 1,..., π n z 1,... z n ) γ(θ) γ(θ) n L(z i, π i ) i=1 π n i { i=1 j=1 V π (j) i } (z i )

29 Markov Chain Monte Carlo The posterior has to be evaluated by MCMC. Gibbs sampler for partitions and Metropolis Hastings for θ, using L(θ, π 1,..., π n z 1,... z n ) γ(θ) γ(θ) n L(z i, π i ) i=1 π n i { i=1 j=1 V π (j) i We need derivatives of the exponent measure V π (j)(z). } (z i )

30 Examples Logistic model with θ Θ = (0, 1): V π (j)(z) = θ 1 π(j) Γ( π(j) θ) Γ(1 θ) ( d k=1 z 1/θ k ) θ π (j) z 1 1/θ k k π (j)

31 Examples Logistic model with θ Θ = (0, 1): V π (j)(z) = θ 1 π(j) Γ( π(j) θ) Γ(1 θ) ( d k=1 z 1/θ k ) θ π (j) z 1 1/θ k k π (j) Many other models: Brown Resnick; cf. Thibaud et al. (2015, Biometrika) Extremal-t Reich Shaby Dirichlet...

32 Extremal dependence: max-stable data Simulate n = 100 samples z 1,... z n from the d-dim. max-stable logistic model for Z with parameter θ 0 {0.1, 0.7, 0.9}; see Dombry et al. (2016, Biometrika).

33 Extremal dependence: max-stable data Simulate n = 100 samples z 1,... z n from the d-dim. max-stable logistic model for Z with parameter θ 0 {0.1, 0.7, 0.9}; see Dombry et al. (2016, Biometrika). Run MC with uniform prior γ on (0, 1), and take empirical median of posterior L(θ z 1,... z n ) as point estimate ˆθ Bayes.

34 Extremal dependence: max-stable data Simulate n = 100 samples z 1,... z n from the d-dim. max-stable logistic model for Z with parameter θ 0 {0.1, 0.7, 0.9}; see Dombry et al. (2016, Biometrika). Run MC with uniform prior γ on (0, 1), and take empirical median of posterior L(θ z 1,... z n ) as point estimate ˆθ Bayes. 1 Theta estimates 10 Mean partition sizes Figure : Markov chains whose stationary distributions are the posterior of θ 0 (left) and the mean partition size (right); θ 0 = 0.1, d = 10.

35 Extremal dependence: max-stable data Simulate n = 100 samples z 1,... z n from the d-dim. max-stable logistic model for Z with parameter θ 0 {0.1, 0.7, 0.9}; see Dombry et al. (2016, Biometrika). Run MC with uniform prior γ on (0, 1), and take empirical median of posterior L(θ z 1,... z n ) as point estimate ˆθ Bayes. 1 Theta estimates 10 Mean partition sizes Figure : Markov chains whose stationary distributions are the posterior of θ 0 (left) and the mean partition size (right); θ 0 = 0.9, d = 10.

36 Extremal dependence: max-stable data Compare with pairwise composite LLH estimator ˆθ PL.

37 Extremal dependence: max-stable data Compare with pairwise composite LLH estimator ˆθ PL. θ 0 = 0.1 θ 0 = 0.7 θ 0 = 0.9 d Bias(ˆθ Bayes) s(ˆθ Bayes) Bias(ˆθ PL) s(ˆθ PL) Table : Sample bias and standard deviation of ˆθ Bayes and ˆθ PL, estimated from 1500 estimates; figures multiplied by Observations: Posterior median ˆθ Bayes is unbiased. Substantially reduced std. deviations by using full LLHs.

38 Extremal dependence: max-stable data θ 0 = 0.1 θ 0 = 0.7 θ 0 = 0.9 dimension d MSE(ˆθ Bayes) MSE(ˆθ PL) Table : Relative efficiencies (%) of ˆθ Bayes compared to ˆθ PL, estimated from 1500 estimates. Observations: Increasing efficiency gain for lower dependence and higher dimensions; see also Huser et al. (2015, Extremes)).

39 Extremal dependence: max-domain of attraction For i = 1,..., n, n = 100, simulate b = 50 samples x 1,i,... x b,i from outer power Clayton copula in MDA of logistic model with parameter θ 0.

40 Extremal dependence: max-domain of attraction For i = 1,..., n, n = 100, simulate b = 50 samples x 1,i,... x b,i from outer power Clayton copula in MDA of logistic model with parameter θ 0. Take block maxima z i = max j=1,...,b x j,i as input data.

41 Extremal dependence: max-domain of attraction For i = 1,..., n, n = 100, simulate b = 50 samples x 1,i,... x b,i from outer power Clayton copula in MDA of logistic model with parameter θ 0. Take block maxima z i = max j=1,...,b x j,i as input data. Compare ˆθ Bayes, ˆθ PL based on { z i } i, and ST estimator ˆθ ST and its bias-corrected version ˆθ W based on {( z i, π i )} i.

42 Extremal dependence: max-domain of attraction For i = 1,..., n, n = 100, simulate b = 50 samples x 1,i,... x b,i from outer power Clayton copula in MDA of logistic model with parameter θ 0. Take block maxima z i = max j=1,...,b x j,i as input data. Compare ˆθ Bayes, ˆθ PL based on { z i } i, and ST estimator ˆθ ST and its bias-corrected version ˆθ W based on {( z i, π i )} i. θ 0 = 0.1 θ 0 = 0.7 θ 0 = 0.9 dimension d ˆθ Bayes ˆθ PL ˆθ ST ˆθ W Table : Relative efficiencies as MSE(ˆθ Bayes)/MSE(ˆθ) (in %) for different estimators ˆθ; estimated from 1500 estimates. Observations: Efficiency gain by using full information remains large. Automatic choice of partition in ˆθ Bayes more robust than ST- likelihood with fixed partition; no bias correction needed.

43 More results and work in progress Estimation of marginal parameters: Simultaneous estimation of marginals and dependence parameters possible. Astonishing observation: This substantially reduces MSE for shape estimation (weak improvement for location and scale).

44 More results and work in progress Estimation of marginal parameters: Simultaneous estimation of marginals and dependence parameters possible. Astonishing observation: This substantially reduces MSE for shape estimation (weak improvement for location and scale). Bayesian hypothesis testing: Ex.: Testing asymptotic independence against dependence H 0 : θ 0 = 1 against H 1 = θ 0 (0, 1). Compare posterior probabilities P(H 0 z 1,..., z n ) and P(H 1 z 1,..., z n ). Many other tests are possible (symmetry, regression coefficients,...).

45 More results and work in progress Estimation of marginal parameters: Simultaneous estimation of marginals and dependence parameters possible. Astonishing observation: This substantially reduces MSE for shape estimation (weak improvement for location and scale). Bayesian hypothesis testing: Ex.: Testing asymptotic independence against dependence H 0 : θ 0 = 1 against H 1 = θ 0 (0, 1). Compare posterior probabilities P(H 0 z 1,..., z n ) and P(H 1 z 1,..., z n ). Many other tests are possible (symmetry, regression coefficients,...). Asymptotic limit results for posterior median.

46 References C. Dombry, S. Engelke, and M. Oesting. Exact simulation of max-stable processes. Biometrika, To appear. C. Dombry, F. Eyi-Minko, and M. Ribatet. Conditional simulation of max-stable processes. Biometrika, 100(1): , R. Huser, A. C. Davison, and M. G. Genton. Likelihood estimators for multivariate extremes. Extremes, 19:79 103, S. A. Padoan, M. Ribatet, and S. A. Sisson. Likelihood-based inference for max-stable processes. J. Amer. Statist. Assoc., 105: , A. Stephenson and J. A. Tawn. Exploiting occurrence times in likelihood inference for componentwise maxima. Biometrika, 92(1): , E. Thibaud, J. Aalto, D. S. Cooley, A. C. Davison, and J. Heikkinen. Bayesian inference for the Brown Resnick process, with an application to extreme low temperatures. Available from J. L. Wadsworth. On the occurrence times of componentwise maxima and bias in likelihood inference for multivariate max-stable distributions. Biometrika, 102: , 2015.