A CHARACTERIZATION OF RANDOM-VARIABLES WITH MINIMUM L2-DISTANCE

被引：98

作者：

RUSCHENDORF, L ^{[1
]}

RACHEV, ST ^{[1
]}

机构：

[1] UNIV CALIF SANTA BARBARA,SANTA BARBARA,CA 93106

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 1990年 / 32卷 / 01期

关键词：

L[!sup]2[!/sup] Wassertein-distance; marginals; optimal couplings; subgradients;

D O I：

10.1016/0047-259X(90)90070-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 complete characterization of multivariate random variables with minimum L2 Wasserstein-distance is proved by means of duality theory and convex analysis. This characterization allows to determine explicitly the optimal couplings for several multivariate distributions. A partial solution of this problem has been found in recent papers by Knott and Smith. © 1990.

引用

页码：48 / 54

页数：7

共 13 条

[1] THE FRECHET DISTANCE BETWEEN MULTIVARIATE NORMAL-DISTRIBUTIONS [J].