Conditional independence and conditioned limit laws

DOI10.1016/J.SPL.2015.12.028MaRDI QIDQ273765zbMATH OpenOpenAlexFDO

Authors Ioannis Papastathopoulos

Publication date 22 April 2016

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1512.08635

zbMATH Keywords

extreme value theoryconditional independenceasymptotic independenceconditioned limit lawsrandom norming

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05)

Abstract: Conditioned limit laws constitute an important and well developed framework of extreme value theory that describe a broad range of extremal dependence forms including asymptotic independence. We explore the assumption of conditional independence of $X_1$ and $X_2$ given $X_0$ and study its implication in the limiting distribution of $(X_1,X_2)$ conditionally on $X_0$ being large. We show that under random norming, conditional independence is always preserved in the conditioned limit law but might fail to do so when the normalisation does not include the precise value of the random variable in the conditioning event.

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• scientific article; zbMATH DE number 992990 (Why is no real title available?)
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Cited in

(2)

• Conditional independence among max-stable laws
• Limit laws for random vectors with an extreme component

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