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On c-optimal random variables

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  • Rüschendorf, Ludger

Abstract

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 lp-metrics.

Suggested Citation

  • Rüschendorf, Ludger, 1996. "On c-optimal random variables," Statistics & Probability Letters, Elsevier, vol. 27(3), pages 267-270, April.
    • Handle: RePEc:eee:stapro:v:27:y:1996:i:3:p:267-270
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    References listed on IDEAS

    as
    1. Smith, Cyril & Knott, Martin, 1992. "On Hoeffding-Fréchet bounds and cyclic monotone relations," Journal of Multivariate Analysis, Elsevier, vol. 40(2), pages 328-334, February.
    2. 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.
    3. Cuestaalbertos, J. A. & Ruschendorf, L. & Tuerodiaz, A., 1993. "Optimal Coupling of Multivariate Distributions and Stochastic Processes," Journal of Multivariate Analysis, Elsevier, vol. 46(2), pages 335-361, August.
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