Variance minimization and random variables with constant sum
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Recommendations
- Choosing joint distributions so that the variance of the sum is small
- Variance reduction by the use of common and antithetic random variables
- The total hazard construction, antithetic variates and simulation of stochastic systems
- A Modified Version of Handscomb’s Antithetic Variates Theorem
- Antithetic variates revisited
Cited in
(22)- Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
- Extreme negative dependence and risk aggregation
- Range value-at-risk bounds for unimodal distributions under partial information
- On minimal copulas under the concordance order
- Centers of probability measures without the mean
- Negative dependence concept in copulas and the marginal free herd behavior index
- Multiprocess parallel antithetic coupling for backward and forward Markov chain Monte Carlo
- Choosing joint distributions so that the variance of the sum is small
- On the multidimensional extension of countermonotonicity and its applications
- Advances in complete mixability
- Joint Mixability
- On multivariate countermonotonic copulas and their actuarial application
- General convex order on risk aggregation
- Detecting complete and joint mixability
- Current open questions in complete mixability
- A note on joint mix random vectors
- Multivariate countermonotonicity and the minimal copulas
- An optimal transport-based characterization of convex order
- The complete mixability and convex minimization problems with monotone marginal densities
- Living on the edge: an unified approach to antithetic sampling
- The distributions of the mean of random vectors with fixed marginal distribution
- A universal approach to matching marginals and sums
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