On optimal stationary couplings between stationary processes

DOI10.1214/EJP.V17-1797zbMATH Open1244.60020arXiv1108.4086OpenAlexW1966104965MaRDI QIDQ428625FDOQ428625

Authors: Ludger Rüschendorf, Tomonari Sei 

Publication date: 22 June 2012

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: By a classical result of Gray, Neuhoff and Shields (1975) the $$ distance between stationary processes is identified with an optimal stationary coupling problem of the corresponding stationary measures on the infinite product spaces. This is a modification of the optimal coupling problem from Monge--Kantorovich theory. In this paper we derive some general classes of examples of optimal stationary couplings which allow to calculate the $$ distance in these cases in explicit form. We also extend the $$ distance to random fields and to general nonmetric distance functions and give a construction method for optimal stationary $$-couplings. Our assumptions need in this case a geometric positive curvature condition.

Full work available at URL: https://arxiv.org/abs/1108.4086

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zbMATH Keywords

stationary processesMonge-Kantorovich theory\(\bar\rho\)-distanceoptimal stationary couplings

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stationary stochastic processes (60G10)

Cited In (8)

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• Optimal coupling of multivariate distributions and stochastic processes
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