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Segers, Johan
[UCL]
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A Markov tree is a random vector indexed by the nodes of a tree whose distribution is determined by the distributions of pairs of neighbouring variables and a list of conditional independence relations. Upon an assumption on the tails of the Markov kernels associated to these pairs, the conditional distribution of the self-normalized random vector when the variable at the root of the tree tends to infinity converges weakly to a random vector of coupled random walks called tail tree. If, in addition, the conditioning variable has a regularly varying tail, the Markov tree satisfies a form of one-component regular variation. Changing the location of the root, that is, changing the conditioning variable, yields a different tail tree. When the tails of the marginal distributions of the conditioning variables are balanced, these tail trees are connected by a formula that generalizes the time change formula for regularly varying stationary time series. The formula is most easily understood when the various one-component regular variation statements are tied up to a single multi-component statement. The theory of multi-component regular variation is worked out for general random vectors, not necessarily Markov trees, with an eye towards other models, graphical or otherwise. Keywords: Conditional independence; graphical model; H¨usler–Reiss distribution; max-linear model; Markov tree; multivariate Pareto distribution; Pickands dependence function; regular variation; root change formula; tail measure; tail tree; time change formula.

Bibliographic reference |
Segers, Johan. *One- versus multi-component regular variation and extremes of Markov trees.* ISBA Discussion Paper ; 2019/01 (2019) 21 pages |

Permanent URL |
http://hdl.handle.net/2078.1/214600 |