Conditional independence among max-stable laws

DOI10.1016/J.SPL.2015.08.008zbMATH Open1329.60158OpenAlexW1810787054MaRDI QIDQ893441FDOQ893441

Authors Ioannis Papastathopoulos, Kirstin Strokorb 

Publication date 19 November 2015

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

Full work available at URL https://arxiv.org/abs/1506.03927

zbMATH Keywords

conditional independenceexponent measureMarkov structuremax-stable random vectorMöbius inversion

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Abstract: Let $X$ be a max-stable random vector with positive continuous density. It is proved that the conditional independence of any collection of disjoint sub-vectors of $X$ given the remaining components implies their joint independence. We conclude that a broad class of tractable max-stable models cannot exhibit an interesting Markov structure.

Recommendations

• Dependence properties of multivariate max-stable distributions
• Max-sum equivalence of conditionally dependent random variables
• scientific article; zbMATH DE number 3898000
• Nonparametric inference for max-stable dependence
• Conditional independence and conditioned limit laws
• Conditional independence in max-linear Bayesian networks
• A note on marginal and conditional independence
• A note on the independence and total dependence of max i.d. distributions
• Maximal inequalities for dependent random variables
• scientific article; zbMATH DE number 3852112

Cites work

• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 3635280 (Why is no real title available?)
• scientific article; zbMATH DE number 3640715 (Why is no real title available?)
• scientific article; zbMATH DE number 469373 (Why is no real title available?)
• scientific article; zbMATH DE number 1134987 (Why is no real title available?)
• A construction principle for multivariate extreme value distributions
• Conditional sampling for max-stable processes with a mixed moving maxima representation
• Conditional sampling for spectrally discrete max-stable random fields
• Convergence to bivariate limiting extreme value distributions
• Dependence properties of multivariate max-stable distributions
• Gaussian Markov Random Fields
• Inequalities for the extremal coefficients of multivariate extreme value distributions
• Maxima of normal random vectors: Between independence and complete dependence
• Modelling multivariate extreme value distributions
• Modelling pairwise dependence of maxima in space
• On spatial extremes: with application to a rainfall problem
• On the distribution of a max-stable process conditional on max-linear functionals
• On the likelihood function of Gaussian max-stable processes
• Principles of combinatorics
• Regular conditional distributions of continuous max-infinitely divisible random fields
• Spatial modeling of extreme snow depth
• Stationary max-stable fields associated to negative definite functions
• Stationary max-stable processes with the Markov property
• Statistical inference for max-stable processes by conditioning on extreme events
• Statistics of Extremes
• The pairwise beta distribution: A flexible parametric multivariate model for extremes

Cited in

(10)

• Conditional independence and conditioned limit laws
• Extremal independence in discrete random systems
• Extremes of Markov random fields on block graphs: max-stable limits and structured Hüsler-Reiss distributions
• Inference on extremal dependence in the domain of attraction of a structured Hüsler-Reiss distribution motivated by a Markov tree with latent variables
• Max-sum equivalence of conditionally dependent random variables
• Total positivity in multivariate extremes
• Stochastic ordering in multivariate extremes
• On conditional independence and log-convexity
• Stability for maximal independent sets
• A Spatial Markov Model for Climate Extremes

This page was built for publication: Conditional independence among max-stable laws

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q893441)