Symmetric representations of bivariate distributions

Victor Domansky

Statistics & Probability Letters, 2013, vol. 83, issue 4, 1054-1061

Abstract: We construct symmetric decompositions of bivariate distributions with given mean values into convex combinations of distributions with supports containing not more than three points and with the same mean values. We use these decompositions for constructing representations of bivariate random variables by means of a Brownian motion stopped at random times.

Keywords: Bivariate probability distributions; Mean values; Extreme points of convex sets; Convex combinations of distributions (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1016/j.spl.2012.12.026

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