Variance Minimization and Random Variables with Constant Sum

Ludger Rüschendorf and Ludger Uckelmann
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Ludger Rüschendorf: University of Freiburg, Institut für Mathematische Stochastik
Ludger Uckelmann: University of Freiburg, Institut für Mathematische Stochastik

A chapter in Distributions With Given Marginals and Statistical Modelling, 2002, pp 211-222 from Springer

Abstract: Abstract Abstract Motivated by the problem of variance minimization and the method of antithetic variates we consider the problem of construction of random variables with given marginals and constant sum. In the case of one dimensional symmetric, unimodal distributions we give a simple general construction. An alternative more complicated construction had been given previously by Knott and Smith (1998). In the multivariate case we consider the corresponding problem for affine transforms of products, elliptically contoured distributions, α-symmetric distributions and α-Cauchy distributions.

Keywords: Variance minimization; Monte Carlo simulation (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-94-017-0061-0_22

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DOI: 10.1007/978-94-017-0061-0_22

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