On optimal stationary couplings between stationary processes

Ludger Rüschendorf, Tomonari Sei

研究成果: Article査読

2 被引用数 (Scopus)

抄録

By a classical result of [10] the ρ{variant} 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 ρ{variant} distance in these cases in explicit form. We also extend the ρ{variant} distance to random fields and to general nonmetric distance functions and give a construction method for optimal stationary c-couplings. Our assumptions need in this case a geometric positive curvature condition.

本文言語English
ジャーナルElectronic Journal of Probability
17
DOI
出版ステータスPublished - 2012
外部発表はい

ASJC Scopus subject areas

  • 統計学および確率
  • 統計学、確率および不確実性

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