Choosing joint distributions so that the variance of the sum is small

Martin Knott and Cyril Smith

Journal of Multivariate Analysis, 2006, vol. 97, issue 8, 1757-1765

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; Antithetic; Radial; Symmetry; Mellin (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (2)

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