• 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