Primary, Simple, and Compound Probability Distances and Minimal and Maximal Distances and Norms

Svetlozar T. Rachev, Lev B. Klebanov, Stoyan V. Stoyanov and Frank J. Fabozzi
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Svetlozar T. Rachev: Stony Brook University, Department of Applied Mathematics and Statistics College of Business
Lev B. Klebanov: Charles University, Department of Probability and Statistics
Stoyan V. Stoyanov: EDHEC Business School EDHEC-Risk Institute
Frank J. Fabozzi: EDHEC Business School EDHEC-Risk Institute

Chapter Chapter 3 in The Methods of Distances in the Theory of Probability and Statistics, 2013, pp 33-66 from Springer

Abstract: Abstract The goals of this chapter are to: Formally introduce primary, simple, and compound probability distances; Provide examples of and study the relationship between primary, simple, and compound distances; Introduce the notions of minimal probability distance, minimal norms, cominimal functionals, and moment functions, which are needed in the study of primary, simple, and compound probability distances.

Keywords: Distal Compound; Moment Functions; Provide Examples; Primary Distance; Kantorovich Metric (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4614-4869-3_3

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DOI: 10.1007/978-1-4614-4869-3_3

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