$k$-means clustering of extremes

TL;DR

This paper adapts spherical $k$-means clustering to analyze extremal observations in data sets, using multivariate extreme value analysis to identify dependence patterns and classify extreme events.

Contribution

It introduces a novel application of spherical $k$-means for extremal data analysis, including a consistency proof and an alternative inference method for max-linear models.

Findings

Method effectively finds relevant extremal patterns.

Enables classification of extremal events.

Provides a new statistical inference approach for max-linear models.

Abstract

The $k$-means clustering algorithm and its variant, the spherical $k$-means clustering, are among the most important and popular methods in unsupervised learning and pattern detection. In this paper, we explore how the spherical $k$-means algorithm can be applied in the analysis of only the extremal observations from a data set. By making use of multivariate extreme value analysis we show how it can be adopted to find "prototypes" of extremal dependence and we derive a consistency result for our suggested estimator. In the special case of max-linear models we show furthermore that our procedure provides an alternative way of statistical inference for this class of models. Finally, we provide data examples which show that our method is able to find relevant patterns in extremal observations and allows us to classify extremal events.