A characterization of random variables with minimum L2-distance

L. Rüschendorf and S. T. Rachev

Journal of Multivariate Analysis, 1990, vol. 32, issue 1, 48-54

Abstract: A complete characterization of multivariate random variables with minimum L2 Wasserstein-distance is proved by means of duality theory and convex analysis. This characterization allows to determine explicitly the optimal couplings for several multivariate distributions. A partial solution of this problem has been found in recent papers by Knott and Smith.

Keywords: L2; Wassertein-distance; optimal; couplings; subgradients; marginals (search for similar items in EconPapers)
Date: 1990
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Citations: View citations in EconPapers (28)

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