Conditional independence among max-stable laws

2015/06/12 by Ioannis Papastathopoulos, Papastathopoulos, Ioannis, Kirstin Strokorb +1
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.1506.03927

openalex publication_date 2015/06/12 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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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