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Stochastic decomposition for ℓp-norm symmetric survival functions on the positive orthant
Journal of Multivariate Analysis ( IF 1.6 ) Pub Date : 2021-04-16 , DOI: 10.1016/j.jmva.2021.104760
Jan-Frederik Mai , Ruodu Wang

We derive a stochastic representation for the probability distribution on the positive orthant (0,)d whose association between components is minimal among all probability laws with 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 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 p-norm symmetric survival function. Both applications generalize existing results for the case p=1 to the case of arbitrary p1.



中文翻译:

的随机分解 p正正态上的-范数对称生存函数

我们推导了正矫形器上概率分布的随机表示 0d 在所有具有 p-范数对称的生存函数。它是通过将标准单位单纯形上的均匀分布与特定β分布的独立有限混合物和一个附加原子相乘而得到的。一方面,这意味着一种有效的针对任意概率定律的仿真算法,其中p-范数对称生存函数。另一方面,该结果可用于构造精确的算法,以计算其指数度量为p-范数对称生存函数。两种应用程序都可以概括该案例的现有结果p=1个 在任意情况下 p1个

更新日期:2021-04-24
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