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Conditional tail independence in Archimedean copula models

Part of: Nonparametric inference Stochastic processes Multivariate analysis

Published online by Cambridge University Press:  01 October 2019

Michael Falk ,
Simone A. Padoan  and
Florian Wisheckel Open the ORCID record for Florian Wisheckel [Opens in a new window]
Michael Falk*
Affiliation:
University of Würzburg
Simone A. Padoan*
Affiliation:
Bocconi University of Milan
Florian Wisheckel*
Affiliation:
University of Würzburg
*
* Postal address: Chair of Mathematics VIII, University of Würzburg, Emil-Fischer-Str. 30, 97074 Würzburg, Germany.
*** Postal address: Department of Decision Sciences, Bocconi University of Milan, via Roentgen, 1 20136 Milan, Italy.
* Postal address: Chair of Mathematics VIII, University of Würzburg, Emil-Fischer-Str. 30, 97074 Würzburg, Germany.
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Abstract

Consider a random vector $\textbf{U}$ whose distribution function coincides in its upper tail with that of an Archimedean copula. We report the fact that the conditional distribution of $\textbf{U}$, 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.

Keywords

Archimedean copulaconditional distributionasymptotic tail independencedomain of attractionextreme value distributionArchimax copulaD-norm

MSC classification

Primary: 60G70: Extreme value theory; extremal processes
Secondary: 62G32: Statistics of extreme values; tail inference 62H05: Characterization and structure theory

Information

Type
Research Papers
Information
Journal of Applied Probability , Volume 56 , Issue 3 , September 2019 , pp. 858 - 869
Copyright
© Applied Probability Trust 2019 

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