A characterization of random variables with minimum $L^ 2$-distance

DOI10.1016/0047-259X(90)90070-XzbMath0688.62034OpenAlexW2091279789MaRDI QIDQ1263903

Ludger Rüschendorf, Svetlozar T. Rachev

Publication date: 1990

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(90)90070-x

zbMATH Keywords

duality theory convex analysis optimal couplings subgradients marginals complete characterization of multivariate random variables minimum L2-Wasserstein-distance

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Convex programming (90C25) Convex sets in topological linear spaces; Choquet theory (46A55)

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Cites Work

A characterization of random variables with minimum \(L^ 2\)-distance