A characterization of random variables with minimum L2-distance

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.

MoreLess

Year of publication:	1990
Authors:	Rüschendorf, L. ; Rachev, S. T.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 32.1990, 1, p. 48-54
Publisher:	Elsevier
Keywords:	L2 Wassertein-distance optimal couplings subgradients marginals

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005221323