Title of article :
Choosing joint distributions so that the variance of the sum is small
Author/Authors :
Knott، نويسنده , , Martin and Smith، نويسنده , , Cyril، نويسنده ,
Issue Information :
دوفصلنامه با شماره پیاپی سال 2006
Pages :
9
From page :
1757
To page :
1765
Abstract :
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.
Keywords :
convexity , Symmetry , Radial , Mellin , Antithetic
Journal title :
Journal of Multivariate Analysis
Serial Year :
2006
Journal title :
Journal of Multivariate Analysis
Record number :
1558496
Link To Document :
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