On the Mai–Wang stochastic decomposition for ℓp-norm symmetric survival functions on the positive orthant

Christian Genest; Johanna G. Nešlehová

doi:10.1016/j.jmva.2024.105331

On the Mai–Wang stochastic decomposition for ℓ_p-norm symmetric survival functions on the positive orthant

Christian Genest^*
, Johanna G. Nešlehová

^*Corresponding author for this work

Publication: Scientific journal › Journal article › peer-review

Abstract

Recently, Mai and Wang (2021) investigated a class of ℓ_p-norm symmetric survival functions on the positive orthant. In their paper, they claim that the generator of these functions must be d-monotone. This note explains that this is not true in general. Luckily, most of the results in Mai and Wang (2021) are not affected by this oversight.

Original language	English
Article number	105331
Journal	Journal of Multivariate Analysis
Volume	203
DOIs	https://doi.org/10.1016/j.jmva.2024.105331
Publication status	Published - Sept 2024
Externally published	Yes

Bibliographical note

Publisher Copyright:
© 2024 The Author(s)

Keywords

Archimedean copula
d-monotone function
Multivariate max-id distribution

Access to Document

10.1016/j.jmva.2024.105331Licence: CC BY-NC

Cite this

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title = "On the Mai–Wang stochastic decomposition for ℓp-norm symmetric survival functions on the positive orthant",

abstract = "Recently, Mai and Wang (2021) investigated a class of ℓp-norm symmetric survival functions on the positive orthant. In their paper, they claim that the generator of these functions must be d-monotone. This note explains that this is not true in general. Luckily, most of the results in Mai and Wang (2021) are not affected by this oversight.",

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AU - Genest, Christian

AU - Nešlehová, Johanna G.

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AB - Recently, Mai and Wang (2021) investigated a class of ℓp-norm symmetric survival functions on the positive orthant. In their paper, they claim that the generator of these functions must be d-monotone. This note explains that this is not true in general. Luckily, most of the results in Mai and Wang (2021) are not affected by this oversight.

KW - Archimedean copula

KW - d-monotone function

KW - Multivariate max-id distribution

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DO - 10.1016/j.jmva.2024.105331

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