Stochastic decomposition for _p-norm symmetric survival functions on the positive orthant

DOI10.1016/J.JMVA.2021.104760MaRDI QIDQ2034475zbMATH OpenOpenAlexFDO

Authors Jan-Frederik Mai, Ruodu Wang

Publication date 22 June 2021

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2011.13302

zbMATH Keywords

\(d\)-monotone functionArchimedean copulamax-infinitely divisiblesimulation algorithm

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Reliability and life testing (62N05)

Abstract: We derive a stochastic representation for the probability distribution on the positive orthant $(0,infty{)}^d$ whose association between components is minimal among all probability laws with $el{l}_p$-norm symmetric survival functions. It is given by a transformation of a uniform distribution on the standard unit simplex that is multiplied with an independent finite mixture of certain beta distributions and an additional atom at unity. On the one hand, this implies an efficient simulation algorithm for arbitrary probability laws with $el{l}_p$-norm symmetric survival function. On the other hand, this result is leveraged to construct an exact simulation algorithm for max-infinitely divisible probability distributions on the positive orthant whose exponent measure has $el{l}_p$-norm symmetric survival function. Both applications generalize existing results for the case $p=1$ to the case of arbitrary $pgeq1$.

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Cited in

(5)

• About the exact simulation of bivariate (reciprocal) Archimax copulas
• INTERRELATIONSHIPS BETWEEN l_P‐ISOTROPIC DENSITIES AND l_P‐ISOTROPIC SURVIVAL FUNCTIONS, AND DE FINETTI REPRESENTATIONS OF SCHUR‐CONCAVE SURVIVAL FUNCTIONS
• L_p-norm spherical copulas
• On the Mai-Wang stochastic decomposition for _p-norm symmetric survival functions on the positive orthant
• A class of multivariate max-infinitely divisible distributions based on random scaling

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