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Conditional tail independence in Archimedean copula models
Published online by Cambridge University Press: 01 October 2019
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.
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- © Applied Probability Trust 2019
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