Conditional independence among max-stable laws

DOI10.1016/J.SPL.2015.08.008zbMATH Open1329.60158arXiv1506.03927OpenAlexW1810787054MaRDI QIDQ893441FDOQ893441

Kirstin Strokorb, Ioannis Papastathopoulos

Publication date: 19 November 2015

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

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.

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

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zbMATH Keywords

conditional independence[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=M%EF%BF%BD%EF%BF%BDbius+inversion&go=Go M��bius inversion]exponent measureMarkov structuremax-stable random vector

Mathematics Subject Classification ID

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

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Cited In (9)

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

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