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.
| Original language | English |
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| Pages (from-to) | 9-15 |
| Journal | Statistics and Probability Letters |
| Volume | 108 |
| Early online date | 28 Sept 2015 |
| DOIs | |
| Publication status | Published - Jan 2016 |