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Extreme partial least-squares

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  • Bousebata, Meryem
  • Enjolras, Geoffroy
  • Girard, Stéphane

Abstract

We propose a new approach, called Extreme-PLS, for dimension reduction in conditional extreme values settings. The objective is to find linear combinations of covariates that best explain the extreme values of the response variable in a non-linear inverse regression model. The asymptotic normality of the Extreme-PLS estimator is established in the single-index framework and under mild assumptions. The performance of the method is assessed on simulated data. A statistical analysis of French farm income data, considering extreme cereal yields, is provided as an illustration.

Suggested Citation

  • Bousebata, Meryem & Enjolras, Geoffroy & Girard, Stéphane, 2023. "Extreme partial least-squares," Journal of Multivariate Analysis, Elsevier, vol. 194(C).
    • Handle: RePEc:eee:jmvana:v:194:y:2023:i:c:s0047259x22000926
    DOI: 10.1016/j.jmva.2022.105101
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