Quantitative Relationships Between Minimal Distances and Minimal Norms

Svetlozar T. Rachev, Lev B. Klebanov, Stoyan V. Stoyanov and Frank J. Fabozzi
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Svetlozar T. Rachev: Stony Brook University, Department of Applied Mathematics and Statistics College of Business
Lev B. Klebanov: Charles University, Department of Probability and Statistics
Stoyan V. Stoyanov: EDHEC Business School EDHEC-Risk Institute
Frank J. Fabozzi: EDHEC Business School EDHEC-Risk Institute

Chapter Chapter 6 in The Methods of Distances in the Theory of Probability and Statistics, 2013, pp 145-167 from Springer

Abstract: Abstract The goals of this chapter are to: Explore the conditions under which there is equality between the Kantorovich and the Kantorovich–Rubinstein functionals; Provide inequalities between the Kantorovich and Kantorovich–Rubinstein functionals; Provide criteria for convergence, compactness, and completeness of probability measures in probability spaces involving the Kantorovich and Kantorovich–Rubinstein functionals; Analyze the problem of uniformity between the two functionals.

Keywords: Critical Suppliers; Prokhorov Metric; Fortet-Mourier Metrics; Kantorovich Metric; Prokhorov Theorem (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4614-4869-3_6

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DOI: 10.1007/978-1-4614-4869-3_6

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