Neural Bayes estimation and selection of complex bivariate extremal dependence models

Abstract Likelihood-free approaches are appealing for performing inference on complex dependence models, either because it is not possible to formulate a likelihood function, or its evaluation is very computationally costly. This is the case for several models available in the multivariate extremes literature, particularly for the most flexible tail models, including those that interpolate between the two key dependence classes of ‘asymptotic dependence’ and ‘asymptotic independence’. We focus on approaches that leverage neural networks to approximate Bayes estimators. In particular, we explore the properties of neural Bayes estimators for parameter inference for several flexible but computationally expensive models to fit, with a view to aiding their routine implementation. Owing to the absence of likelihood evaluation in the inference procedure, classical information criteria such as the Bayesian information criterion cannot be used to select the most appropriate model. Instead, we propose using neural networks as neural Bayes classifiers for model selection. Our goal is to provide a toolbox for simple, fast fitting and comparison of complex extreme-value dependence models, where the best model is selected for a given data set and its parameters subsequently estimated using neural Bayes estimation. We apply our classifiers and estimators to analyse the pairwise extremal behaviour of changes in horizontal geomagnetic field fluctuations at three different locations.