Extremal independence old and new

02/14/2020

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by   Kirstin Strokorb, et al.

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On 12 February 2020 the Royal Statistical Society hosted a meeting to discuss the forthcoming paper “Graphical models for extremes” by Sebastian Engelke and Adrien Hitz [arXiv:1812.01734]. This short note is a supplement to my discussion contribution. It contains the proofs. It is shown that the traditional notion of extremal independence agrees with the newly introduced notion of extremal independence, which subsequently allows for a meaningful interpretation of disconnected graphs in the context of the discussion paper. The notation and references used in this note are adopted from the discussion paper.