The optimization problems with probability distributions solutions (Q2737535)
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scientific article; zbMATH DE number 1645727
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| English | The optimization problems with probability distributions solutions |
scientific article; zbMATH DE number 1645727 |
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19 September 2002
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dependent random variables
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joint distribution
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Cramer-Pearson indicator
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Farlie-Gumbel-Morgenstern probability distributions
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The optimization problems with probability distributions solutions (English)
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The aim of the paper is to obtain Farlie-Gumbel-Morgenstern (FGM) probability distributions for a finite number of dependent random variables by minimizing the Cramér-Pearson \(\chi\) indicator divergence, with restrictions in the form of inequalities on the covariance of the random variables. The authors obtain, for two dependent random variables, a formula for their joint distribution provided that their covariance is finitely bounded, prove that this distribution belongs to the FGM family, and decompose the joint distribution resulted formula into a FGM component and a linear component. The results for the case of two (dependent) random variables are then extended to the finite set of \(n\) random variables.NEWLINENEWLINEFor the entire collection see [Zbl 0938.00016].
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0.731325626373291
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0.7306639552116394
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0.7290172576904297
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