Conditional independence among max-stable laws

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• 作者：Ioannis Papastathopoulos^a ; ^{i.papastathopoulos@ed.ac.uk" class="auth_mail" title="E-mail the corresponding author} ; Kirstin Strokorb^b ; ^{strokorb@math.uni-mannheim.de" class="auth_mail" title="E-mail the corresponding author}
• 关键词：primary ; 60G70 ; secondary ; 62H05
• 刊名：Statistics & Probability Letters
• 出版年：2016
• 出版时间：January 2016
• 年：2016
• 卷：108
• 期：Complete
• 页码：9-15
• 全文大小：364 K

文摘

Let class="mathmlsrc">class="formulatext stixSupport mathImg" data-mathURL="/science?_ob=MathURL&_method=retrieve&_eid=1-s2.0-S0167715215002874&_mathId=si1.gif&_user=111111111&_pii=S0167715215002874&_rdoc=1&_issn=01677152&md5=224a894d18cc840fc2fbdfa67d550c12" title="Click to view the MathML source">Xclass="mathContainer hidden">class="mathCode">$X$ be a max-stable random vector with positive continuous density. It is proved that the conditional independence of any collection of disjoint subvectors of class="mathmlsrc">class="formulatext stixSupport mathImg" data-mathURL="/science?_ob=MathURL&_method=retrieve&_eid=1-s2.0-S0167715215002874&_mathId=si1.gif&_user=111111111&_pii=S0167715215002874&_rdoc=1&_issn=01677152&md5=224a894d18cc840fc2fbdfa67d550c12" title="Click to view the MathML source">Xclass="mathContainer hidden">class="mathCode">$X$ 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.