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math.PR2019★ 3 cited
Strong Convergence of Multivariate Maxima
Michael Falk, Simone A. Padoan, Stefano Rizzelli
It is well known and readily seen that the maximum of independent and uniformly on distributed random variables, suitably standardised, converges in total variation dis…
math.PR2019★ 1 cited
Conditional Tail Independence in Archimedean Copula Models
Michael Falk, Simone Padoan, Florian Wisheckel
Consider a random vector , whose distribution function coincides in its upper tail with that of an Archimedean copula. We report the fact that the conditional distribution of $U…