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

Christian Genest and Johanna G. Nešlehová

Journal of Multivariate Analysis, 2024, vol. 203, issue C

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.

Keywords: Archimedean copula; d-monotone function; Multivariate max-id distribution (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.jmva.2024.105331

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