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
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