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arXiv · 1902.03947

Conditional Tail Independence in Archimedean Copula Models

Michael Falk·Simone Padoan·Florian Wisheckel
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Abstract

Consider a random vector $U$, whose distribution function coincides in its upper tail with that of an Archimedean copula. We report the fact that the conditional distribution of $U$, conditional on one of its components, has under a mild condition on the generator function independent upper tails, no matter what the unconditional tail behavior is. This finding is extended to Archimax copulas.

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Michael Falk, Simone Padoan, Florian Wisheckel. 2019-02-11. Conditional Tail Independence in Archimedean Copula Models. https://doi.org/10.1017/jpr.2019.48

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