1 results
Conditional tail independence in Archimedean copula models
- Part of
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- Journal:
- Journal of Applied Probability / Volume 56 / Issue 3 / September 2019
- Published online by Cambridge University Press:
- 01 October 2019, pp. 858-869
- Print publication:
- September 2019
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- Article
- Export citation
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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.
