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

DOI10.1016/J.JMVA.2021.104760zbMATH Open1475.62165arXiv2011.13302OpenAlexW3154088554MaRDI QIDQ2034475FDOQ2034475

Ruodu Wang, Jan-Frederik Mai

Publication date: 22 June 2021

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

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 $pgeq1$.

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

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zbMATH Keywords

Archimedean copulasimulation algorithmmax-infinitely divisible\(d\)-monotone function

Mathematics Subject Classification ID

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

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Cited In (4)

• INTERRELATIONSHIPS BETWEEN l_P‐ISOTROPIC DENSITIES AND l_P‐ISOTROPIC SURVIVAL FUNCTIONS, AND DE FINETTI REPRESENTATIONS OF SCHUR‐CONCAVE SURVIVAL FUNCTIONS
• On the Mai-Wang stochastic decomposition for \(\ell_p\)-norm symmetric survival functions on the positive orthant
• About the exact simulation of bivariate (reciprocal) Archimax copulas
• \(L_p\)-norm spherical copulas

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