Random Probability Measures with Given Mean and Variance

Lisa Bloomer and Theodore P. Hill ()
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Lisa Bloomer: Georgia Institute of Technology
Theodore P. Hill: Georgia Institute of Technology

Journal of Theoretical Probability, 2002, vol. 15, issue 4, 919-937

Abstract: Abstract This article describes several natural methods of constructing random probability measures with prescribed mean and variance, and focuses mainly on a technique which constructs a sequence of simple (purely discrete, finite number of atoms) distributions with the prescribed mean and with variances which increase to the desired variance. Basic properties of the construction are established, including conditions guaranteeing full support of the generated measures, and conditions guaranteeing that the final measure is discrete. Finally, applications of the construction method to optimization problems such as Plackett's Problem are mentioned, and to experimental determination of average-optimal solutions of certain control problems.

Keywords: Random distribution; random homeomorphisms; random probability measures; variance split; variance split array (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (2)

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DOI: 10.1023/A:1020688620366

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