The complete mixability and convex minimization problems with monotone marginal densities

Bin Wang and Ruodu Wang

Journal of Multivariate Analysis, 2011, vol. 102, issue 10, 1344-1360

Abstract: Following the results of Rüschendorf and Uckelmann (2002)Â [20], we introduce the completely mixable distributions on and prove that the distributions with monotone density and moderate mean are completely mixable. Using this method, we solve the minimization problem 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.

Keywords: Complete; mixability; Variance; minimization; Multivariate; dependence; Monotone; densities; Optimal; coupling (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (55)

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