Bayesian Non-Parametric Inference for Multivariate Peaks-over-Threshold Models.

We consider a constructive definition of the multivariate Pareto that factorizes the random vector into a radial component and an independent angular component. The former follows a univariate Pareto distribution, and the latter is defined on the surface of the positive orthant of the infinity norm unit hypercube. We propose a method for inferring the distribution of the angular component by identifying its support as the limit of the positive orthant of the unit p-norm spheres and introduce a projected gamma family of distributions defined through the normalization of a vector of independent random gammas to the space. This serves to construct a flexible family of distributions obtained as a Dirichlet process mixture of projected gammas. For model assessment, we discuss scoring methods appropriate to distributions on the unit hypercube. In particular, working with the energy score criterion, we develop a kernel metric that produces a proper scoring rule and presents a simulation study to compare different modeling choices using the proposed metric. Using our approach, we describe the dependence structure of extreme values in the integrated vapor transport (IVT), data describing the flow of atmospheric moisture along the coast of California. We find clear but heterogeneous geographical dependence.

Nonparametric dark energy reconstruction from supernova data.

Understanding the origin of the accelerated expansion of the Universe poses one of the greatest challenges in physics today. Lacking a compelling fundamental theory to test, observational efforts are targeted at a better characterization of the underlying cause. If a new form of mass-energy, dark energy, is driving the acceleration, the redshift evolution of the equation of state parameter w(z) will hold essential clues as to its origin. To best exploit data from observations it is necessary to develop a robust and accurate reconstruction approach, with controlled errors, for w(z). We introduce a new, nonparametric method for solving the associated statistical inverse problem based on Gaussian process modeling and Markov chain Monte Carlo sampling. Applying this method to recent supernova measurements, we reconstruct the continuous history of w out to redshift z=1.5.