Author:
Puccetti Giovanni,Wang Bin,Wang Ruodu
Abstract
The concept of complete mixability is relevant to some problems of optimal couplings with important applications in quantitative risk management. In this paper we prove new properties of the set of completely mixable distributions, including a completeness and a decomposition theorem. We also show that distributions with a concave density and radially symmetric distributions are completely mixable.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
30 articles.
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