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A characterization of random variables with minimum L2-distance

Author

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  • Rüschendorf, L.
  • Rachev, S. T.

Abstract

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.

Suggested Citation

  • Rüschendorf, L. & Rachev, S. T., 1990. "A characterization of random variables with minimum L2-distance," Journal of Multivariate Analysis, Elsevier, vol. 32(1), pages 48-54, January.
    • Handle: RePEc:eee:jmvana:v:32:y:1990:i:1:p:48-54
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    More about this item

    Keywords

    L2 Wassertein-distance optimal couplings subgradients marginals;

    JEL classification:

    • L2 - Industrial Organization - - Firm Objectives, Organization, and Behavior

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