Optimal coupling of multivariate distributions and stochastic processes
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Publication:689356
DOI10.1006/JMVA.1993.1064zbMATH Open0788.60025OpenAlexW2046027298MaRDI QIDQ689356FDOQ689356
Ludger Rüschendorf, A. Tuero-Diaz, Juan Antonio Cuesta-Albertos
Publication date: 6 December 1993
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1006/jmva.1993.1064
Recommendations
Probability distributions: general theory (60E05) Measures of association (correlation, canonical correlation, etc.) (62H20) Stochastic processes (60G99)
Cited In (33)
- Multivariate comonotonicity
- Parametrization of Random Vectors in Polynomial Chaos Expansions via Optimal Transportation
- Construction of the Optimal Joint Distribution of Two Random Variables
- General construction and classes of explicit \(L^1\)-optimal couplings
- A fixed-point approach to barycenters in Wasserstein space
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- Worst case portfolio vectors and diversification effects
- Extremal dependence concepts
- Optimal solution of a Monge-Kantorovitch transportation problem
- On \(c\)-optimal random variables
- On lower bounds for the \(L^ 2\)-Wasserstein metric in a Hilbert space
- Optimal solutions of multivariate coupling problems
- Comonotone lower probabilities with robust marginal distributions functions
- Covariance and correlation matrices of an optimal stochastic system
- On the stochastic convergence of representations based on Wasserstein metrics
- Parseval's identity and optimal transport maps
- Detecting directional couplings from multivariate flows by the joint distance distribution
- Parametrized Kantorovich-Rubinštein theorem and application to the coupling of random variables
- Title not available (Why is that?)
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- Center-outward quantiles and the measurement of multivariate risk
- Corrigendum to ``A new characterization of comonotonicity and its application in behavioral finance.
- Coupling for minimal distance
- Jonction maximale. (The maximal junction)
- \(W_2\) barycenters for radially related distributions
- On The Existence Of A Measurable Optimal Coupling Of Probability Kernels
- A new ideal metric with applications to multivariate stable limit theorems
- Vector copulas
- Wide consensus aggregation in the Wasserstein space. Application to location-scatter families
- Comparison of conditional distributions in portfolios of dependent risks
- On the monotonicity of optimal transportation plans
- The geometry of optimal transportation
- Bayesian learning with Wasserstein barycenters
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