On c-optimal random variables

被引：52

作者：

Ruschendorf, L ^{[1
]}

机构：

[1] INST MATH STOCHASTIK, D-79104 FREIBURG, GERMANY

来源：

STATISTICS & PROBABILITY LETTERS | 1996年 / 27卷 / 03期

关键词：

optimal couplings; c-cyclically monotone functions; marginal problem;

D O I：

10.1016/0167-7152(95)00078-X

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A characterization is proved for random variables which are optimal couplings w.r.t. a general function c. It turns out that on very general probability spaces optimal couplings can be characterized by generalized subgradients of c-convex functions. An interesting application of optimal couplings are minimal l(p)-metrics.

引用

页码：267 / 270

页数：4

共 10 条

[1] OPTIMAL COUPLING OF MULTIVARIATE DISTRIBUTIONS AND STOCHASTIC-PROCESSES [J].