Conditional independence among max-stable laws
Probability
2015-09-18 v2
Abstract
Let 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 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.
Cite
@article{arxiv.1506.03927,
title = {Conditional independence among max-stable laws},
author = {Ioannis Papastathopoulos and Kirstin Strokorb},
journal= {arXiv preprint arXiv:1506.03927},
year = {2015}
}
Comments
9 pages