Preprint
Sep 2026
Inference for H{\"u}sler-Reiss block models
Estimating the H{\"u}sler-Reiss precision matrix is a fundamental problem for statistical inference in multivariate extremes. In high-dimensional settings, the number of unknown parameters grows quadratically with the dimension, making regularisation indispensable. Existing approaches regularise the estimation problem...
Capel Alexandre, Demangeot Marine, Meyer Nicolas et al.
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