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arXiv · 1506.03927

Conditional independence among max-stable laws

Ioannis Papastathopoulos·Kirstin Strokorb
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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.

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Ioannis Papastathopoulos, Kirstin Strokorb. 2015-09-17. Conditional independence among max-stable laws. https://arxiv.org/abs/1506.03927

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