Choosing joint distributions so that the variance of the sum is small
The paper considers how to choose the joint distribution of several random variables each with a given marginal distribution so that their sum has a variance as small as possible. A theorem is given that allows the solution of this and of related problems for normal random variables. Several specific applications are given. Additional results are provided for radially symmetric joint distributions of three random variables when the sum is identically zero.
Year of publication: |
2006
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Authors: | Knott, Martin ; Smith, Cyril |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 97.2006, 8, p. 1757-1765
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Publisher: |
Elsevier |
Subject: | Convexity Antithetic Radial Symmetry Mellin |
Saved in:
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