Consider a random vector U whose distribution function coincides in its upper tail with that of an Archimedean copula. We report the fact that the conditional distribution of 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.
Conditional tail independence in Archimedean copula models
Simone A. Padoan;
2019
Abstract
Consider a random vector U whose distribution function coincides in its upper tail with that of an Archimedean copula. We report the fact that the conditional distribution of 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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