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	The complete mixability and convex minimization problems with monotone marginal densities
	Wang, Bin ; Wang, Ruodu
	2011
关键词	Complete mixability Variance minimization Multivariate dependence Monotone densities Optimal coupling DEPENDENT RISKS COPULAS
英文摘要	Following the results of Ruschendorf and Uckelmann (2002) [20], we introduce the completely mixable distributions on R and prove that the distributions with monotone density and moderate mean are completely mixable. Using this method, we solve the minimization problem min(xi similar to p) E-f (X-1 + ... + X-n) for convex functions f and marginal distributions P with monotone density. Our results also provide valuable implications in variance minimization, bounds for the sum of random variables and risk theory. (C) 2011 Elsevier Inc. All rights reserved.; http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000293048300003&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=8e1609b174ce4e31116a60747a720701 ; Statistics & Probability; SCI(E); 31; ARTICLE; 10; 1344-1360; 102
语种	英语
出处	SCI
出版者	多变量分析杂志
内容类型	其他
源URL	[http://hdl.handle.net/20.500.11897/157580]
专题	数学科学学院
推荐引用方式 GB/T 7714	Wang, Bin,Wang, Ruodu. The complete mixability and convex minimization problems with monotone marginal densities. 2011-01-01.

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