Concentration bounds for the empirical angular measure with statistical learning applications
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Abstract (arXiv)
The angular measure on the unit sphere characterizes the first-order dependence structure of the components of a random vector in extreme regions and is defined in terms of standardized margins. Its statistical recovery is an important step in learning problems involving observations far away from the center. In the common situation that the components of the vector have different distributions, the rank transformation offers a convenient and robust way of standardizing data in order to build an empirical version of the angular measure based on the most extreme observations. However, the study of the sampling distribution of the resulting empirical angular measure is challenging. It is the purpose of the paper to establish finite-sample bounds for the maximal deviations between the empirical and true angular measures, uniformly over classes of Borel sets of controlled combinatorial complexity. The bounds are valid with high probability and, up to logarithmic factors, scale as the square root of the effective sample size. The bounds are applied to provide performance guarantees for two statistical learning procedures tailored to extreme regions of the input space and built upon the empirical angular measure: binary classification in extreme regions through empirical risk minimization and unsupervised anomaly detection through minimum-volume sets of the sphere.
Key facts. Cited by 8 papers in the map (data through 14 Oct 2026). Builds on 8 of its 61 references that are in the map. First posted on arXiv 7 Apr 2021.
Builds on
8 of 61 references.
References · 8
- 2016Decompositions of Dependence for High-Dimensional Extremescited by 13
- 2020Sparse Structures for Multivariate Extremescited by 12
- 2019k-means clustering of extremescited by 11
- 2019Principal Component Analysis for Multivariate Extremescited by 10
- 2015Sparsity in Multivariate Extremes with Applications to Anomaly Detectioncited by 9
- 2019Sparse regular variationcited by 8
- 2014Modelling across extremal dependence classescited by 5
- 2014Semi-parametric modeling of excesses above high multivariate thresholds with censored datacited by 1
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Citing papers per year: 2021: 1; 2022: 1; 2023: 2; 2024: 0; 2025: 1; 2026: 3.
8 papers.
- 2023A VAE Approach to Sample Multivariate Extremescited by 10
- 2023On Regression in Extreme Regionscited by 6
- 2021Spectral learning of multivariate extremescited by 3
- 2022Kernel PCA for multivariate extremescited by 1
- 2025Simulation of Multivariate Extremes: a Wasserstein-Aitchison GAN approachcited by 1
- 2026Extrapolation in Statistical Learning with Extreme Value Theorycited by 1
- 2026Out-of-Distribution generalization of quantile regression with heavy tailed inputs: an SVM approachcited by 0
- 2026Principal Component Analysis for Multivariate Extremescited by 0
- 2026Principal Component Analysis for Multivariate Extremes5 Jun 2026
- 2026Out-of-Distribution generalization of quantile regression with heavy tailed inputs: an SVM approach29 May 2026
- 2026Extrapolation in Statistical Learning with Extreme Value Theory3 May 2026
- 2025Simulation of Multivariate Extremes: a Wasserstein-Aitchison GAN approach30 Apr 2025
- 2023A VAE Approach to Sample Multivariate Extremes19 Jun 2023
- 2023On Regression in Extreme Regions6 Mar 2023
- 2022Kernel PCA for multivariate extremes23 Nov 2022
- 2021Spectral learning of multivariate extremes15 Nov 2021