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Preprints, Working Papers, ... Year : 2023

Shrinkage for Extreme Partial Least Squares

Abstract

This work focuses on dimension-reduction techniques for modelling conditional extreme values. Specifically, we investigate the idea that extreme values of a response variable can be explained by nonlinear functions derived from linear projections of an input random vector. In this context, the estimation of projection directions is examined, as approached by the Extreme Partial Least Squares (EPLS) method--an adaptation of the original Partial Least Squares (PLS) method tailored to the extreme-value framework. Further, a novel interpretation of EPLS directions as maximum likelihood estimators is introduced, utilizing the von Mises--Fisher distribution applied to hyperballs. The dimension reduction process is enhanced through the Bayesian paradigm, enabling the incorporation of prior information into the projection direction estimation. The maximum a posteriori estimator is derived in two specific cases, elucidating it as a regularization or shrinkage of the EPLS estimator. We also establish its asymptotic behavior as the sample size approaches infinity. A simulation data study is conducted in order to assess the practical utility of our proposed method. This clearly demonstrates its effectiveness even in moderate data problems within high-dimensional settings. Furthermore, we provide an illustrative example of the method's applicability using French farm income data, highlighting its efficacy in real-world scenarios.
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Dates and versions

hal-04251783 , version 1 (20-10-2023)
hal-04251783 , version 2 (14-03-2024)
hal-04251783 , version 3 (24-05-2024)
hal-04251783 , version 4 (29-05-2024)

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Identifiers

  • HAL Id : hal-04251783 , version 4

Cite

Julyan Arbel, Stéphane Girard, Hadrien Lorenzo. Shrinkage for Extreme Partial Least Squares. 2023. ⟨hal-04251783v4⟩
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