K -Minimal Metrics

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 7 in The Methods of Distances in the Theory of Probability and Statistics, 2013, pp 169-197 from Springer

Abstract: Abstract The goals of this chapter are to: Define the notion of K-minimal metrics and describe their general properties; Provide representations of the K-minimal metrics with respect to several particular metrics such as the Lévy metric, Kolmogorov metric, and p-average metric; Consider K-minimal metrics when probability measures are defined on a general separable metric space; Provide relations between the multidimensional Kantorovich and Strassen theorems.

Keywords: Probability Measure; Marginal Distribution; Duality Theorem; Simple Metrics; Separable Space (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_7

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DOI: 10.1007/978-1-4614-4869-3_7

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